8-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 8-K

CURRENT REPORT

PURSUANT TO SECTION 13 OR 15(d) OF

THE SECURITIES EXCHANGE ACT OF 1934

Date of Report (Date of earliest event reported): April 23, 2013

PennyMac Mortgage Investment Trust

(Exact Name of Registrant as Specified in Charter)

Maryland	001-34416	27-0186273
(State or Other Jurisdiction of	(Commission	(I.R.S. Employer
Incorporation or Organization)	File Number)	Identification No.)

6101 Condor Drive, Moorpark, California	93021
(Address of Principal Executive Offices)	(Zip Code)

(818) 224-7442

(Registrant’s telephone number, including area code)

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:

oWritten communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)

oSoliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)

oPre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))

oPre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Item 2.02 Results of Operations and Financial Condition.

On April 23, 2013, PennyMac Mortgage Investment Trust (the “Company”) issued a press release announcing its financial results for the fiscal quarter ended March 31, 2013.  A copy of the press release and the slide presentation used in connection with the Company’s earnings call held on April 23, 2013 are furnished as Exhibit 99.1 and Exhibit 99.2, respectively.

The information in Item 2.02 of this report, including the exhibits hereto, shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liabilities of Section 18, nor shall it be deemed incorporated by reference into any disclosure document relating to the Company, except to the extent, if any, expressly set forth by specific reference in such filing.

Item 9.01 Financial Statements and Exhibits.

(d) Exhibits.

Exhibit No.	Description
99.1	Press Release, dated April 23, 2013, issued by PennyMac Mortgage Investment Trust pertaining to its financial results for the fiscal quarter ended March 31, 2013.
99.2	Slide Presentation for use on April 23, 2013 in connection with PennyMac Mortgage Investment Trust’s earnings call pertaining to its financial results for the fiscal quarter ended March 31, 2013.

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SIGNATURE

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

	PENNYMAC MORTGAGE INVESTMENT TRUST
Dated: April 23, 2013	/s/ Anne D. McCallion
	Anne D. McCallion
	Chief Financial Officer

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EXHIBIT INDEX

Exhibit No.	Description
99.1	Press Release, dated April 23, 2013, issued by PennyMac Mortgage Investment Trust pertaining to its financial results for the fiscal quarter ended March 31, 2013.
99.2	Slide Presentation for use on April 23, 2013 in connection with PennyMac Mortgage Investment Trust’s earnings call pertaining to its financial results for the fiscal quarter ended March 31, 2013.

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EX-99.1

Exhibit 99.1

Media	Investors
Kevin Chamberlain	Christopher Oltmann
(818) 746-2877	(818) 746-2046

PennyMac Mortgage Investment Trust Reports First Quarter 2013 Results

Moorpark, CA April 23, 2013 — PennyMac Mortgage Investment Trust (NYSE: PMT) today reported net income of $53.3 million, or $0.90 per diluted share, for the first quarter of 2013, on net investment income of $119.1 million. In addition, PMT’s Board of Trustees has declared a cash dividend of $0.57 per common share of beneficial interest. This dividend will be paid on May 31, 2013 to common shareholders of record as of May 16, 2013.

Quarterly Highlights

Financial results:

·Diluted earnings per common share of $0.90, up 8 percent from the prior quarter

·Net investment income of $119.1 million, down 5 percent from the prior quarter

·Net income of $53.3 million, up 8 percent from the prior quarter

·Gain on investment portfolio of $64.0 million, up 68 percent from the prior quarter

·Return on average equity of 18 percent(1), up from 16 percent in the prior quarter

Mortgage investment activity results:

·Correspondent acquisitions of $8.5 billion in unpaid principal balance (UPB)(2), down 15 percent from the prior quarter

(1)  Return on equity calculated based on average shareholders’ equity for each month.

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·Conventional acquisitions of $4.8 billion in UPB, down 26 percent from the prior quarter

·Correspondent interest rate lock commitments (IRLCs) of $8.1 billion, down 22 percent from the prior quarter

·Conventional IRLCs of $4.2 billion, down 39 percent from the prior quarter

·Distressed mortgage loan purchases of $366 million in UPB

·Servicing portfolio reaches $17 billion in UPB

PMT earned $55.9 million in pretax income for the quarter ended March 31, 2013, a 14 percent decrease from the fourth quarter.  The following table presents the contribution of PMT’s Investment Activities and Correspondent Lending segments to pretax income:

	Quarter ended March 31, 2013
	Investment		Correspondent		Intersegment
Unaudited	activities		lending		elimination & other			Total
	(in thousands)
Revenues:
Net gain on mortgage loans acquired for sale	$	—	$	29,279	$	—		$	29,279
Net gain on investments	63,980		—		—			63,980
Interest	10,592		6,324		(41		)	16,875
Other	3,445		5,473		—			8,918
	78,017		41,076		(41		)	119,052
Expenses:
Loan fulfillment fess	—		25,938		3,284			29,222
Interest	5,630		5,647		(41		)	11,236
Loan servicing	7,940		150		—			8,090
Other	14,108		461		—			14,569
	27,678		32,196		3,243			63,117
Pretax income	$	50,339	$	8,880	$	(3,284	)	$	55,935

“First quarter results reflect the ongoing recovery of the housing market and increased competition within the mortgage market,” said Chairman and Chief Executive Officer Stanford L. Kurland.  “Earnings increased to $0.90 per diluted share, as our portfolio of distressed whole

(2)  Government loan acquisitions for the first quarter were $3.7 billion in UPB, for which PMT earned a sourcing fee of 3 basis points and interest income for its holding period.

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loans experienced valuation gains from continued strengthening of home prices and strong portfolio activity, while gains on mortgage loans acquired for sale decreased.”

During the quarter ended March 31, 2013, PMT recorded investment revenue on financial instruments totaling $110.1 million, as detailed in the following table:

	Quarter ended March 31, 2013
	Net gain
	(loss) on		Interest		Total
Unaudited	investments		income		revenue
	(dollars in thousands)
Assets:
Mortgage loans:
At fair value	$	63,980	$	10,497	$	74,477
Acquired for sale at fair value	29,279		6,323		35,602
Total mortgage loans	93,259		16,820		110,079
Other	—		24		24
Short-term investments	—		31		31
	$	93,259	$	16,875	$	110,134

Investment revenues decreased 12 percent from the fourth quarter, driven by a 56 percent quarter-over-quarter decrease in net gain on correspondent loans acquired for sale, offset by a 68 percent increase in net gain on mortgage loans at fair value.  PMT’s distressed whole loan portfolio realized net gain on investments of $64.0 million during the first quarter.  Net gains on mortgage loans acquired for sale at fair value through the correspondent lending business totaled $29.3 million, as correspondent margins declined from the prior quarter.

“Investment returns were solid for the quarter, particularly in distressed whole loans where we saw increased gains from valuation and strong liquidation activity,” continued Mr. Kurland.  “Home prices have continued to stabilize, with many of the previously hardest hit areas showing appreciating home prices.  Many loans in our portfolio are located in these areas, which contributed to the valuation gains.  Another contributing factor has been the increase in investor demand for reperforming loans over the past several months.  While correspondent originations were down, PMT’s investments in MSRs continued to grow, and we continue to view this asset as a very attractive opportunity.”

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Correspondent Lending

During the quarter, correspondent lending acquired $8.5 billion in UPB of loans, and IRLCs totaled $8.1 billion, compared to $10.0 billion and $10.3 billion, respectively, in the fourth quarter of 2012.  Of total correspondent acquisitions, conventional loans amounted to $4.8 billion, FHA loans were $3.7 billion, and jumbo loans were $8.1 million.  Pretax income attributable to the correspondent lending segment was $8.9 million for the quarter.  A combination of lower IRLCs and a compression of margins resulted in net gain on mortgage loans acquired for sale of $29.3 million, down from $66.5 million in the prior quarter.  Also impacting the segment’s results were $6.3 million of interest income, and $5.5 million of loan origination fee revenue, partially offset by $25.9 million in fulfillment fees and $5.6 million of interest expense.

The following schedule details the net gain on mortgage loans acquired for sale in the first quarter of 2013:

	Quarter ended
Unaudited	March 31, 2013
	($ in thousands)
MSR Value	$	56,217
Rep & warrant provision	(1,791		)
Cash investment(1)	(13,633		)
Market value adjustments of pipeline, inventory and hedges	(11,514		)
Net gain on mortgage loans acquired for sale	$	29,279

(1) Cash receipt at sale, net of cash hedge expense

For the quarter as a whole, margins expressed as the ratio of net gain on mortgage loans to locks were lower than the previous quarter.  While margins remain attractive, they may decrease in future periods if mortgage market origination volumes decline and competition increases.

Investment Activities Segment

Servicing

PMT’s servicing portfolio grew to $16.6 billion in UPB, compared to $12.2 billion in the fourth quarter of 2012.  Servicing fee revenue of $11.1 million and an impairment reversal of $2.5

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million were partially offset by amortization of $5.0 million and  hedging derivatives losses of $2.0 million for net loan servicing fees of $6.6 million, up from $605 thousand in the fourth quarter of 2012.

The following schedule details the net loan servicing fees in the first quarter of 2013:

Unaudited	Quarter ended  March 31, 2013
Servicing fees(1)	$	11,104
Effect of MSRs:
Amortization	(4,970		)
Impairment reversal of MSRs carried at lower of amortized cost or fair value	2,486
Change in fair value of MSRs carried at fair value	(67		)
Losses on hedging derivatives	(1,988		)
	(4,539		)
Net loan servicing fees	$	6,565

(1) Includes contractually specified servicing and ancillary fees.

Distressed Mortgage Investments

PMT’s distressed mortgage loan portfolio generated realized and unrealized gains totaling $64.0 million in the first quarter of 2013, compared to $38.1 million in the fourth quarter of 2012.  Of the gains in the first quarter of 2013, $8.4 million was realized through payoffs in which collections on the loan balances were at levels higher than their recorded fair values.

Valuation gains totaled $55.6 million in the first quarter of 2013, compared to $33.8 million in the fourth quarter.  The increase was driven by both the Company’s portfolio of nonperforming whole loans, which produced $32.6 million of valuation gains during the quarter, and the Company’s portfolio of performing loans, which produced $23.0 million of valuation gains.  The continued stabilization in home prices was once again a major driver of the unrealized gains on mortgage loans, but fair value appreciation of the loans as they progress toward their ultimate resolution also contributed meaningfully to gains on mortgage loans in the quarter.

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During the quarter, PMT acquired $366 million in UPB of nonperforming whole loans with an average acquisition price of 55% of UPB.  After the end of the quarter, PMT reached an agreement in principle to enter into forward purchase agreements for two pools of nonperforming mortgage loans with an initial total purchase price of $294 million.  Under the forward purchase agreements, the loans will be acquired by Citigroup from two unaffiliated third parties.(3)

The following schedule details the realized and unrealized gains on mortgage loans for the first quarter of 2013:

	Quarter ended March 31, 2013
Valuation changes:
Performing loans	$	22,984
Nonperforming loans	32,632
	55,616
Payoffs	8,364
	$	63,980

Expenses

Expenses for the first quarter of 2013 totaled $63.1 million, compared to $59.6 million in the fourth quarter of 2012.  The increase is primarily attributable to interest and loan servicing expenses, as well as an increase in management fees for the quarter.  Loan fulfillment fees decreased from $31.8 million in the fourth quarter to $29.2 million in the first quarter.  Included in the first quarter fulfillment fee expense is an expense of $3.3 million resulting from the transition to the revised mortgage banking agreement.  Interest expense increased as our recent acquisitions of distressed whole loans were financed through our repurchase facilities.  Management fees increased by $2.1 million as a result of incentive fees payable to our manager,

(3) These pending transactions are subject to the negotiation and execution of definitive documentation, continuing due diligence, and customary closing conditions. There can be no assurance that the committed amount will ultimately be acquired or that the transactions will be completed.

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which are linked to the company’s profitability.  Other expense items increased commensurately with increased business activity and asset growth.

The provision for income taxes declined by $13.4 million to $2.6 million in the first quarter, as a higher proportion of income was generated by business activities in PMT’s REIT qualifying entities.  This resulted in an effective income tax rate of 5%, down from 25% in the prior period.

Mr. Kurland concluded, “PMT’s first quarter results demonstrated the benefits of an investment vehicle focused on multiple opportunities in the residential mortgage space.  We continue investing in distressed mortgages, mortgage servicing rights, and the aggregation of loans through our correspondent lending activities.  We believe PMT’s distressed portfolio is well positioned as the housing market stabilizes and the growth opportunities for the correspondent business are significant.  We are targeting total correspondent acquisitions of approximately $4.0 to $5.0 billion per month by the end of the year.  Since the end of the quarter, there has been a modest decline in mortgage rates and as a result we expect correspondent lock volume in April to be back above $3.0 billion, with the jumbo program continuing to gain traction.  Today’s residential mortgage market holds many opportunities available to PMT and should drive continued earnings growth.”

Management’s slide presentation will be available in the Investor Relations section of the Company’s website at www.PennyMac-REIT.com beginning at 5:30 a.m. (Pacific Daylight Time) on Tuesday, April 23, 2013.

About PennyMac Mortgage Investment Trust

PennyMac Mortgage Investment Trust is a mortgage real estate investment trust (REIT) that invests primarily in residential mortgage loans and mortgage-related assets.  PennyMac Mortgage Investment Trust trades on the New York Stock Exchange under the symbol “PMT” and is externally managed by PNMAC Capital Management, LLC, a wholly owned subsidiary of Private National Mortgage Acceptance Company, LLC.  Additional information about PennyMac Mortgage Investment Trust is available at www.PennyMac-REIT.com.

This press release 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

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assumptions with respect to, among other things, the Company’s financial results, future operations, business plans and investment strategies, as well as industry and market conditions, all of which are subject to change.  Words like “believe,” “expect,” “anticipate,” “promise,” “plan,” and other expressions or words of similar meanings, as well as future or conditional verbs such as “will,” “would,” “should,” “could,” or “may” are generally intended to identify forward-looking statements.  Actual results and operations for any future period may vary materially from those projected herein and from past results discussed herein.  Factors which could cause actual results to differ materially from historical results or those anticipated include, but are not limited to:  changes in general business, economic, market and employment conditions from those expected; continued declines in residential real estate and disruption in the U.S. housing market; the availability of, and level of competition for, attractive risk-adjusted investment opportunities in residential mortgage loans and mortgage-related assets that satisfy our investment objectives and investment strategies; changes in our investment or operational objectives and strategies, including any new lines of business; the concentration of credit risks to which we are exposed; the availability, terms and deployment of short-term and long-term capital; unanticipated increases in financing and other costs, including a rise in interest rates; the performance, financial condition and liquidity of borrowers; increased rates of delinquency or decreased recovery rates on our investments; increased prepayments of the mortgage and other loans underlying our investments; changes in regulations or the occurrence of other events that impact the business, operation or prospects of government sponsored enterprises; changes in government support of homeownership; changes in governmental regulations, accounting treatment, tax rates and similar matters; and our ability to satisfy complex rules in order to qualify as a REIT for U.S. federal income tax purposes.  You should not place undue reliance on any forward-looking statement and should consider all of the uncertainties and risks described above, as well as those more fully discussed in reports and other documents filed by the Company with the Securities and Exchange Commission from time to time.  The Company undertakes no obligation to publicly update or revise any forward-looking statements or any other information contained herein, and the statements made in this press release are current as of the date of this release only.

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PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS

(In thousands, except share data)

	March 31,		December 31,
	2013		2012
	(unaudited)
ASSETS
Cash	$	19,376	$	33,756
Investments:
Short-term investments	45,024		39,017
Mortgage loans acquired for sale at fair value	1,123,348		975,184
Mortgage loans at fair value	1,366,922		1,189,971
Real estate acquired in settlement of loans	84,486		88,078
Mortgage servicing rights	180,441		126,776
Principal and interest collections receivable	31,391		29,204
Interest receivable	3,136		3,029
Derivative assets	15,186		23,706
Servicing advances	37,695		32,191
Due from affiliates	5,991		4,829
	2,893,620		2,511,985
Other assets	14,164		13,922
Total assets	$	2,927,160	$	2,559,663
LIABILITIES
Assets sold under agreements to repurchase:
Mortgage loans acquired for sale at fair value	1,035,486		894,906
Mortgage loans at fair value	576,018		353,805
Real estate acquired in settlement of loans	3,546		7,391
Derivative liabilities	2,079		967
Mortgage repurchase liability	6,231		4,441
Accounts payable and accrued liabilities	22,259		42,402
Contingent underwriting fees payable	5,883		5,883
Payable to affiliates	14,748		12,216
Income taxes payable	38,481		36,316
Total liabilities	1,704,731		1,358,327
SHAREHOLDERS’ EQUITY
Common shares of beneficial interest—authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding, 58,990,225 and 58,904,456 common shares, respectively	590		589
Additional paid-in capital	1,131,231		1,129,858
Retained earnings	90,608		70,889
Total shareholders’ equity	1,222,429		1,201,336
Total liabilities and shareholders’ equity	$	2,927,160	$	2,559,663

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PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF INCOME

(In thousands, except share data)

	Quarter Ended
	March 31, 2013			December 31, 2012
	(unaudited)
Investment Income
Net gain on mortgage loans acquired for sale	$	29,279		$	66,465
Net gain (loss) on investments:
Mortgage loans	63,980			38,108
	63,980			38,108
Interest income:
Short-term investments	31			10
Mortgage-backed securities	—			(3		)
Mortgage loans	16,820			20,247
Other	24			30
	16,875			20,284
Loan origination fees	5,473			5,665
Results of real estate acquired in settlement of loans	(3,253		)	(6,209		)
Net loan servicing fees	6,565			605
Other	133			(1		)
Net investment income	119,052			241,701
Expenses
Loan fulfillment fees	29,222			31,809
Interest	11,236			9,983
Loan servicing(1)	8,090			5,000
Management fees	6,492			4,472
Compensation	2,089			2,102
Professional services	2,384			2,732
Other	3,604			3,516
Total expenses	63,117			59,614
Income before provision for income taxes	55,935			65,303
Provision for income taxes	2,639			16,065
Net income	$	53,296		$	49,238
Earnings per share
Basic	$	0.90		$	0.83
Diluted	$	0.90		$	0.83
Weighted-average shares outstanding
Basic	58,927			58,904
Diluted	59,319			59,338
Dividends declared per share	$	0.57		$	0.57

(1)Servicing expenses include both specialty servicing for PMT’s distressed portfolio and its subservicing costs associated with the mortgage servicing rights from its correspondent loans.

(end)

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EX-99.2

Exhibit 99.2

PennyMac Mortgage Investment Trust April 23, 2013 First Quarter 2013 Earnings Report

1Q13 Earnings Report 2 This presentation contains forward-looking statements within the meaning of Section 21E of the Securities Exchange Act of 1934, as amended, regarding management’s beliefs, estimates, projections and assumptions with respect to, among other things, the Company’s financial results, future operations, business plans and investment strategies, as well as industry and market conditions, all of which are subject to change. Words like “believe,” “expect,” “anticipate,” “promise,” “plan,” and other expressions or words of similar meanings, as well as future or conditional verbs such as “will,” “would,” “should,” “could,” or “may” are generally intended to identify forward-looking statements. Actual results and operations for any future period may vary materially from those projected herein, from past results discussed herein, or illustrative examples provided herein. Factors which could cause actual results to differ materially from historical results or those anticipated include, but are not limited to: changes in general business, economic, market and employment conditions from those expected; continued declines in residential real estate and disruption in the U.S. housing market; the availability of, and level of competition for, attractive risk-adjusted investment opportunities in residential mortgage loans and mortgage-related assets that satisfy our investment objectives and investment strategies; changes in our investment or operational objectives and strategies, including any new lines of business; the concentration of credit risks to which we are exposed; the availability, terms and deployment of short-term and longterm capital; unanticipated increases in financing and other costs, including a rise in interest rates; the performance, financial condition and liquidity of borrowers; increased rates of delinquency or decreased recovery rates on our investments; increased prepayments of the mortgage and other loans underlying our investments; changes in regulations or the occurrence of other events that impact the business, operation or prospects of government sponsored enterprises; changes in government support of homeownership; changes in governmental regulations, accounting treatment, tax rates and similar matters; and our ability to satisfy complex rules in order to qualify as a REIT for U.S. federal income tax purposes. You should not place undue reliance on any forward-looking statement and should consider all of the uncertainties and risks described above, as well as those more fully discussed in reports and other documents filed by the Company with the Securities and Exchange Commission from time to time. The Company undertakes no obligation to publicly update or revise any forward-looking statements or any other information contained herein, and the statements made in this presentation are current as of the date of this presentation only. Forward-Looking Statements

1Q13 Earnings Report 3 First Quarter 2013 Highlights & Recent Developments • Net Income of $53.3 million on net investment income of $119.1 million • Diluted EPS of $0.90 per share and dividend of $0.57 per share • Business segment pre-tax earnings reflect the diversity and strength of PMT’s business model – Investment Activities : $50.3 million – Correspondent Lending : $8.9 million • Acquired distressed whole loan pools totaling $366 million in unpaid principal balance (UPB) • Correspondent loan purchase volume totaled $8.5 billion in UPB, down 15% from the fourth quarter – Lock volume of $8.1 billion in UPB, down 22% from the fourth quarter • MSR portfolio grew to $17 billion in UPB, up 36% from the fourth quarter • Subsequent to the end of the quarter, we committed to enter into forward purchase agreements for a total of $481 million(1) in UPB for two pools of nonperforming mortgage loans (1) These pending transactions are subject to the negotiation and execution of definitive documentation, continuing due diligence, and customary closing conditions. These proposed transactions are subject to negotiation and execution of definitive documentation, continuing due diligence, and customary closing conditions, There can be no assurance that we will acquire these assets or that the transaction will be completed.

Market Factors Impacting 1Q13 Results 4 Correspondent competitive landscape Distressed whole loan demand Ongoing improvement in home prices • Home prices continue to improve in most regions of the country and housing appears to be on a steady path to recovery • Shortage of home inventory and strong investor demand helping to increase prices • Rent vs. buy economics increasingly favoring home ownership, driving purchase demand • Refinance activity expected to benefit as loan-to-value ratios improve • Market becoming more competitive, with large players remaining active participants • Margins are decreasing but still remain above historical “norms” • Increasing number of smaller to mid-sized lenders looking to sell MSRs as margins tighten • Expect correspondent channel to increase as a share of the origination market • Market demand remains strong; smaller deals appear more attractive • Economics of retaining MSRs are changing, incenting smaller bulk portfolios and flow opportunities • Complexities of mortgage servicing also driving smaller institutions to sell • Pipeline of large deals appears be declining whereas smaller transactions are becoming more prevalent 1Q13 Earnings Report Bulk MSR deals and flow transactions • Market remains active, with over $5 billion in UPB of loan pools reviewed by PCM in 1Q13 • Improving real estate values have lowered competing investor yield targets, which is particularly evident in reperforming loan transactions • Scarcity of quality investment alternatives is driving greater investor interest in residential real estate as the market recovers

1Q13 Earnings Report 5 Opportunities in Residential Mortgage Finance Distressed Mortgage Whole Loans Illustrative Gross Levered Return(1) Correspondent Lending 16% - 29% 25% - 50% Bulk Mortgage Servicing Rights / IO Investments 16% - 25% PMT Strategy • Flow of loans available for sale remains robust and is expected to rise • PMT remains a patient buyer for pools that achieve our target returns • Delivering disciplined execution and faster turn times to maintain and grow market presence • Expanding the network of sellers, broadening product offerings and deepening existing relationships 8% - 14% Mortgage Backed and Asset Backed Securities • Mortgage spreads remain tight due to Fed MBS purchases, reduction in risk premiums, and strong demand • Limited return potential without taking significant risk Retained Interests on Securitization of Prime Jumbo Loans 12% - 19% • Re-launched jumbo program to selected sellers, achieving over $100 million in UPB of locks in 1Q13 • Results in attractive REIT-eligible investments through the retention of subordinate tranches from securitizations • Continuing to evaluate and expect legacy MSRs in the market • Attractive flow and mini-bulk basis opportunities increasing; flow commitments in place for ~$200 million/month, with a growing pipeline • May co-invest with PLS in the form of excess MSR / IO investment (1) Illustrative gross returns including the effect of leverage before corporate operating and other administrative expenses Opportunity

Mortgage Investment Activities

$1.5 $2.9 $6.1 $12.2 $16.6 $19 $33 $65 $127 $180 $0 $50 $100 $150 $200 $250 1Q12 2Q12 3Q12 4Q12 1Q13 $0 $4 $8 $12 $16 $20 MSR Portfolio MSR Asset $1.0 $1.8 $3.7 $6.5 $4.8 $0.8 $1.6 $2.6 $3.5 $3.7 $2.4 $4.6 $8.5 $10.4 $8.1 $0 $2 $4 $6 $8 $10 $12 1Q12 2Q12 3Q12 4Q12 1Q13 Government Jumbo Conventional Locks MSR Portfolio and MSR Asset Correspondent Purchase Volume and Mix 1Q13 Earnings Report 7 Correspondent Acquisitions Drive Continued Growth In MSR Investment (1) For Government loans, PMT earns a sourcing fee and interest income for its holding period and does not pay a fulfillment fee. (1) ($ in billions) • Correspondent loan purchases totaled $8.5 billion in 1Q13, down 15% Q/Q, and up 376% Y/Y – Conventional and jumbo loans comprised 53% of total locks and 56% of purchases – April lock volume projected to reach over $3 billion • Correspondent network reached 179 approved sellers • Targeting $4 – $5 billion in total correspondent acquisitions per month by December 2013 UPB • PMT’s MSR portfolio reached $16.6 billion at quarter end, rising 36% Q/Q, and ~1,000% Y/Y – Originated MSRs remain an attractive investment opportunity – The majority of loans underlying the MSRs have been originated in the historically low mortgage rate environment that has prevailed since mid-2012 UPB MSR ($ in billions) ($ in millions)

$3 $4 2003 - 2007 Avg. 2008-2012 Avg. 1Q13 Prime Non-Agency Jumbo Securitizations(2) ($ in billions) • Prime jumbo acquisitions reached $8 million in 1Q13, up from $2.1 million in 4Q12 – Lock volume in quarter reached $100 million • Targeting 3Q13 for first securitization transaction – Deal size of between $250 – $350 million – Retain all or part of I/O and subordinate tranches as investments – Revenues would be primarily interest income • Private label jumbo securitization represents a significant long-term growth opportunity – Private label jumbo securitization levels are a fraction of pre-crisis levels, but recent activity indicates that the market is recovering – As the mortgage market normalizes, we expect private label securitizations to play a much more significant role in housing finance o Policy makers seek to have the private market assume a greater role in mortgage finance Prime Jumbo Acquisitions and Private Label Securitization Opportunity 8 1Q13 Earnings Report $230 1Q13 private label jumbo securitizations in the market have surpassed full-year 2012 issuance $3.6 $49.3 $47.6 $0 $10 $20 $30 $40 $50 $60 Jan-13 Feb-13 Mar-13 PMT Prime Jumbo 1Q13 Lock Volume(1) ($ in millions) (1) Lock to funding pull-through rates assumed to be 65% for 1Q13 Jumbo locks (2) Source: Inside Mortgage Finance

$- $402 $357 $290 $366 $481 $- $100 $200 $300 $400 $500 $600 1Q12 2Q12 3Q12 4Q12 1Q13 QTD 2Q13 9 • Distressed whole loan purchases in 1Q13 reached $366 million in UPB – Comprised largely of nonperforming loans – Acquisition price to UPB averaged 55% in 1Q13 • Flow of distressed whole loans available for sale remains strong and is anticipated to rise – Our manager, PCM (PNMAC Capital Management) reviewed over $5 billion in UPB of distressed whole loans in 1Q13 • Subsequent to the end of the quarter, we committed to enter into forward purchase agreements for a total of $481 million(1) in UPB for two pools of nonperforming mortgage loans with an initial purchase price of $294 million Distressed Whole Loan Acquisitions Grow in 1Q13 Distressed Whole Loan Purchase Activity ($ in millions) UPB 1Q13 Earnings Report (1) These pending transactions are subject to the negotiation and execution of definitive documentation, continuing due diligence, and customary closing conditions. These proposed transactions are subject to negotiation and execution of definitive documentation, continuing due diligence, and customary closing conditions, There can be no assurance that we will acquire these assets or that the transaction will be completed. (1)

1Q13 Earnings Report 10 • Valuation gains on PMT’s $2.4 billion(1) distressed loan portfolio totaled $56 million in 1Q13 – Performing - $674 million(1) performing loan portfolio had valuation gains of $23 million – Nonperforming - $1,680 million(1) nonperforming loan portfolio had valuation gains of $33 million – Valuation gains were driven by strong operational performance, improved home price performance and strong investor demand • The housing market recovery is occurring in most major metro areas across the country – Lower-tier properties have led Y/Y price gains in most metro areas o Distressed loans predominately fall into the low and middle price tiers – Metro areas hardest hit by the housing downturn have seen the highest Y/Y growth – Rising home values consistent with appreciation in the market for other credit-risk assets Rising Home Values Drive Solid Valuation Gains On Distressed Whole Loans -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% LOW TIER MIDDLE TIER HIGH TIER Tiered Home Price Change by Metro Area(3) % change Y/Y Net Gain on Mortgage Loans Valuation Changes(2) (1) Unpaid principal balance (2) At fair value (3) Source: Case Shiller Tiered Index Level as of January 2013 Quarter ended ($ in thousands) March 31, 2013 Valuation Changes: Performing Loans 22,984 $ Nonperfoming Loans 32,632 55,616 $ 

Financial Results

1Q13 Earnings Report 12 • Mortgage related assets continued to grow, increasing 16% Q/Q to $2.8 billion • Growth primarily resulted from distressed whole loan acquisitions and a growing inventory of correspondent loans acquired for sale • MSRs continued their strong organic growth through correspondent loan acquisitions Growth in Mortgage Assets and Earnings Continued in 1Q13 Pretax Earnings and Net Income $1,226 $1,737 $2,089 $2,380 $2,755 $0 $500 $1,000 $1,500 $2,000 $2,500 $3,000 1Q12 2Q12 3Q12 4Q12 1Q13 MBS Distressed Whole Loans REO Correspondent Loans MSRs Mortgage Assets • Net income rose 8% Q/Q on a 68% increase in net gains on investments and an 84% decline in provision for income taxes • Total pretax earnings from the Investment Activities segment comprised 90% of total pretax earnings, up from 37% in 4Q12 ($ in millions) ($ in millions) Pretax Earnings Net Income $25 $38 $59 $65 $56 $19 $30 $40 $49 $53 $10 $20 $30 $40 $50 $60 $70 $80 $90 -$5 $5 $15 $25 $35 $45 $55 $65 $75 1Q12 2Q12 3Q12 4Q12 1Q13 Investments Correspondent Intersegment & Other Net Income

Quarter Ended ($ in thousands) March 31, 2013 December 31, 2012 Revenues: Net gain on investments 63,980 $ 38,108 $ Interest income 10,592 12,680 Other income 3,445 (5,605) Total revenues 78,017 45,183 Expenses: Interest 5,630 4,692 Servicing 7,940 4,932 Other 14,108 11,237 Total expenses 27,678 20,861 Pre-tax income 50,339 $ 24,322 $ 1Q13 Earnings Report 13 Investment Activities Deliver Strong Results • Pretax income increased 107% Q/Q, driven by a 68% increase in net gain on investments – Strong loan resolution activity, rising home prices and gains on payoffs drove the increase in net gain on investments • Rise in other income driven by net servicing income of $6.5 million • Expenses increased 33% Q/Q on higher management fees and servicing expense – Servicing expense increased 61%, driven by distressed loan resolution activity and MSR and distressed loan portfolio growth –Management fee expense increased due to incentive fees linked to PMT’s profitability Investment Activities Segment Pretax Income (Unaudited) • Cash proceeds from liquidation of distressed mortgage loans and REO totaled $93.2 million 1Q13 – Loan liquidation activity: $57.3 million – Sales of real estate acquired in settlement of loans: $31.8 – Principal payments on performing mortgage loans: $4.1 million

Quarter Ended ($ in thousands) March 31, 2013 December 31, 2012 Revenues: Interest income 6,324 $ 7,604 $ Net gain on mortgage loans acquired for sale 29,279 66,465 Other income 5,473 5,665 Total revenues 41,076 79,734 Expenses: Interest 5,647 5,291 Servicing 150 68 Loan fulfillment fees 25,938 31,809 Other 461 1,585 Total expenses 32,196 38,753 Pre-tax income 8,880 $ 40,981 $ 1Q13 Earnings Report 14 Correspondent Lending Pretax Earnings Declined On Lower Volumes • Correspondent segment pretax income fell 78% Q/Q to $8.9 million – Resulting from a 56% Q/Q decline in net gain on mortgage loans acquired for sale • Loan fulfillment fees decreased 18% Q/Q Correspondent Lending Segment Pretax Income (Unaudited) (1) (1) Excludes $3.3 million in fulfillment fee expense resulting from the transition to the revised mortgage banking agreement.

Net Gain On Mortgage Loans Acquired for Sale 1Q13 Earnings Report 15 • Net gain on mortgage loans acquired for sale reached $29.3 million in 1Q13 • Margins fell 26 bps Q/Q as a result of the following factors: – Higher mortgage rates during the quarter – Competitive pricing from large players Net gain on mortgage loans acquired for sale Net gain on mortgage loans acquired for sale margins ($ in millions) March 31, 2013 December 31, 2012 Net gain on mortgage loans acquired for sale 29.3 $ 66.5 $ Volume of conventional and jumbo interest rate lock commitments (IRLC) 4,240 $ 7,003 $ Ratio of net gain on mortgage loans acquired for sale to IRLC 0.69% 0.95% Quarter Ended Quarter ended ($ in thousands) March 31, 2013 MSR Value - originated in period 56,217 $ Rep & Warrant provision (1,791) Cash gain (loss), net of cash hedging gains (losses) (13,633) Decline in fair value of commitments to purchase loans (8,426) Decline in fair value related to loans and hedging instruments (3,088) Net gain on mortgage loans acquired for sale 29,279 $ 

• Net loan servicing fees reached $6.6 million in 1Q13, up from $605 thousand in 4Q12 - Impairment reversal of $2.5 million reflects the impact of higher mortgage rates, which rose 23bps (1) during the first quarter • As the servicing portfolio grows, its bottom line impact will become more meaningful 1Q13 Earnings Report 16 Net Servicing Fees Rise With Servicing Portfolio Growth Net Loan Servicing Fees(2) (1) Freddie Mac PMMS, 30 year fixed rate mortgage. (2) A component of the investment activities segment Quarter ended ($ in thousands) March 31, 2013 Servicing Fees 11,104 $ Effect of MSRs: Amortization (4,970) Impaiment reversal of loans carried at lower of amortized cost or fair value 2,486 Change in fair value of MSRs carried at fair value (67) (2,551) Hedge results (1,988) (4,539) Net loan servicing fees 6,565 $ 

Key Takeaways

Key Takeaways 1Q13 Earnings Report 18 • Today’s residential mortgage market holds many opportunities for PMT’s multi-investment strategy – Broad capabilities, through our affiliated manager and loan fulfillment and servicing provider, to pursue a wide range of opportunities – Expect to continue raising capital to pursue accretive opportunities • Correspondent lending margins may continue “normalizing”, but opportunities for further growth remain significant - Deepening client relationships and expanding the seller network to drive further volume growth - Non-agency jumbo and further expansion of product offerings - Expected growth in the correspondent channel’s share of the total origination market • The non-agency jumbo securitization market will provide an efficient means for generating attractive REIT-eligible investments for PMT • Distressed whole loans remain an attractive opportunity that is likely to remain viable through 2014 • Strong growth in MSR investments driving increased servicing revenue • Attractive mini-bulk and flow deals increasing; continue to evaluate legacy MSR opportunities

Appendix

Portfolio Acquisitions Are Progressing in Line With Expectations 1Q13 Earnings Report 20 (1) Ratio of unpaid principal balance remaining to unpaid principal balance at acquisition Purchase 1Q13 Purchase 1Q13 Purchase 1Q13 Purchase 1Q13 Balance ($mm) 182.7 $ 73.0 Balance ($mm) 195.5 $ 67.1 Balance ($mm) 146.2 $ 50.6 Balance ($mm) 277.8 $ 141.1 Pool Factor(1) 1.00 0.40 Pool Factor(1) 1.00 0.34 Pool Factor(1) 1.00 0.35 Pool Factor(1) 1.00 0.51 Current 6.2% 31.9% Current 5.1% 28.6% Current 1.2% 29.6% Current 5.0% 31.2% 30 1.6% 4.0% 30 2.0% 5.4% 30 0.4% 5.9% 30 4.0% 6.6% 60 5.8% 2.8% 60 4.1% 3.9% 60 1.3% 4.1% 60 5.1% 3.6% 90+ 37.8% 20.6% 90+ 42.8% 14.9% 90+ 38.2% 16.2% 90+ 26.8% 16.0% FC 46.4% 30.8% FC 45.9% 36.4% FC 58.9% 35.0% FC 59.1% 32.6% REO 2.3% 9.8% REO 0.0% 10.9% REO 0.0% 9.3% REO 0.0% 10.0% Purchase 1Q13 Purchase 1Q13 Purchase 1Q13 Purchase 1Q13 Balance ($mm) 515.1 $ 296.7 Balance ($mm) 259.8 $ 167.7 Balance ($mm) 542.6 $ 296.8 Balance ($mm) 49.0 $ 42.5 Pool Factor(1) 1.00 0.58 Pool Factor(1) 1.00 0.65 Pool Factor(1) 1.00 0.55 Pool Factor(1) 1.00 0.87 Current 2.0% 27.1% Current 11.5% 34.4% Current 0.6% 13.0% Current 0.2% 24.1% 30 1.9% 5.6% 30 6.5% 4.8% 30 1.3% 3.1% 30 0.1% 3.5% 60 3.9% 1.7% 60 5.2% 2.8% 60 2.0% 1.7% 60 0.2% 2.1% 90+ 25.9% 15.9% 90+ 31.2% 18.8% 90+ 22.6% 20.2% 90+ 70.4% 28.8% FC 66.3% 42.4% FC 43.9% 32.5% FC 73.0% 49.6% FC 29.0% 38.3% REO 0.0% 7.4% REO 1.7% 6.8% REO 0.4% 12.3% REO 0.0% 3.2% Purchase 1Q13 Purchase 1Q13 Purchase 1Q13 Balance ($mm) 402.5 $ 356.1 Balance ($mm) 357.2 $ 325.6 Balance ($mm) 290.3 $ 283.8 Pool Factor(1) 1.00 0.88 Pool Factor(1) 1.00 0.91 Pool Factor(1) 1.00 0.98 Current 45.0% 49.3% Current 0.0% 4.3% Current 3.1% 5.8% 30 4.0% 5.8% 30 0.0% 0.2% 30 1.3% 2.0% 60 4.3% 2.5% 60 0.1% 0.4% 60 5.4% 2.8% 90+ 31.3% 21.1% 90+ 49.1% 44.8% 90+ 57.8% 52.7% FC 15.3% 18.0% FC 50.8% 45.7% FC 32.4% 34.9% REO 0.1% 3.3% REO 0.0% 4.7% REO 0.0% 1.8% 4Q12 1Q12 2Q12 3Q12 No Pools Purchased in this Quarter. 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11