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): November 6, 2013

PennyMac Mortgage Investment Trust

(Exact name of registrant as specified in its charter)

Maryland	001-34416	27-0186273
(State or other jurisdiction	(Commission	(IRS Employer
of incorporation)	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)

Not Applicable

(Former name or former address, if changed since last report)

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:

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

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

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

o Pre-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 November 6, 2013, PennyMac Mortgage Investment Trust (the “Company”) issued a press release announcing its financial results for the fiscal quarter ended September 30, 2013.  A copy of the press release and the slide presentation used in connection with the Company’s recorded presentation of financial results were made available on November 6, 2013 and 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 November 6, 2013, issued by PennyMac Mortgage Investment Trust pertaining to its financial results for the fiscal quarter ended September 30, 2013.
99.2	Slide Presentation for use on November 6, 2013 in connection with a recorded presentation of financial results for the fiscal quarter ended September 30, 2013.

2

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: November 7, 2013
	/s/ Anne D. McCallion
	Anne D. McCallion
	Chief Financial Officer

3

EXHIBIT INDEX

Exhibit No.	Description
99.1	Press Release, dated November 6, 2013, issued by PennyMac Mortgage Investment Trust pertaining to its financial results for the fiscal quarter ended September 30, 2013.
99.2	Slide Presentation for use on November 6, 2013 in connection with a recorded presentation of financial results for the fiscal quarter ended September 30, 2013.

4

EX-99.1

Exhibit 99.1

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

PennyMac Mortgage Investment Trust Reports Third Quarter 2013 Results

Moorpark, CA November 6, 2013 – PennyMac Mortgage Investment Trust (NYSE: PMT) today reported net income of $39.7 million, or $0.57 per diluted share, for the third quarter of 2013, on net investment income of $86.1 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 November 29, 2013 to common shareholders of record as of November 15, 2013.

Quarterly Highlights

Financial results:

·Diluted earnings per common share of $0.57, down 34 percent from the prior quarter

·Net income of $39.7 million, down 27 percent from the prior quarter

·Net investment income of $86.1 million, down 26 percent from the prior quarter

·Book value per share of $21.22, up from $21.06 at June 30

·Issuance of $250 million in new common equity

·Return on average equity of 11 percent, down from 18 percent for the prior quarter(1)

Mortgage investment and correspondent activity results:

·Acquired two distressed mortgage loan pools totaling $930 million in UPB during the quarter

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

1

·Completed $550.5 million UPB jumbo securitization, retaining $367 million in senior, subordinate and Interest Only securities

·Completed initial investment in excess servicing spread from “mini bulk” MSRs acquired by PennyMac Financial Services, Inc. (NYSE: PFSI)

·Mortgage servicing rights (MSR) portfolio reached $23.7 billion in UPB

·Correspondent acquisitions of $7.7 billion in unpaid principal balance (UPB), down 11 percent from the prior quarter(2)

·Conventional conforming and jumbo acquisitions of $3.7 billion in UPB, down 15 percent from the prior quarter

·Correspondent interest rate lock commitments (IRLCs) of $6.7 billion, down 33 percent from the prior quarter

·Conventional conforming and jumbo IRLCs of $2.9 billion, down 44 percent from the prior quarter

Investment activity after the third quarter:

·Entered into an agreement to acquire $563 million in UPB of nonperforming whole loans, which are expected to settle in November(3)

·Acquired $62 million in excess servicing spread from a $10.3 billion UPB  portfolio of Fannie Mae MSRs acquired by PFSI from a third party

·Expected to enter into an agreement with PFSI relating to the acquisition of approximately $85 million in excess servicing spread from a $10.8 billion UPB portfolio of legacy Ginnie Mae MSRs that PFSI has entered into a letter of intent to acquire from a third party(4)

(2)  Government loan acquisitions for the third quarter were $4.0 billion in UPB and were or will be sold to an affiliate, for which PMT earned or will earn a sourcing fee of 3 basis points and interest income for its holding period. Correspondent acquisition volumes do not include $393 million in UPB of prime non-agency jumbo loans acquired on a bulk basis in August.

(3)  This pending transaction is subject to continuing due diligence and customary closing conditions. There can be no assurance that the committed amounts will ultimately be acquired or that the transaction will be completed.

(4)  The 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 amounts will ultimately be acquired or that either transaction will be completed at all.

2

“Higher mortgage rates in the third quarter drove a significant contraction in the mortgage origination market, which led to lower lock volume and reduced margins in PMT’s correspondent lending business.  However, our distressed whole loan portfolio continued to perform well, and we made significant new investments, deploying capital from the third quarter equity raise,” said Chairman and Chief Executive Officer Stanford L. Kurland. “Higher rates and an improving housing market have also helped create attractive investment opportunities.  We had the largest quarterly total for distressed whole loans acquired since PMT’s inception, and we completed our initial investments in excess servicing spread.  We expect these new investments to make meaningful contributions to earnings going forward.”

PMT earned $36.1 million in pretax income for the quarter ended September 30, 2013, a 47 percent decrease from its record-setting second quarter.  The following table presents the contribution of PMT’s Investment Activities and Correspondent Lending segments to pretax income:

	Quarter ended September 30, 2013
	Correspondent			Investment		Intersegment
Unaudited ($ in thousands)	Lending			Activities		Elimination			Total
Revenues:
Net gain on mortgage loans acquired for sale	$	11,031		$	—	$	—		$	11,031
Net gain on investments	—			49,086		—			49,086
Net interest income
Interest income	12,536			25,316		(2,574		)	35,278
Interest expense	9,171			12,900		(2,574		)	19,497
	3,365			12,416		—			15,781
Other	4,490			5,674		—			10,164
	18,886			67,176		—			86,062
Expenses:
Loan Fulfillment, Servicing and Management fees payable to PennyMac Financial Services, Inc.	18,968			18,636		—			37,604
Other	211			12,185		—			12,396
	19,179			30,821		—			50,000
Pretax income	$	(293	)	$	36,355	$	—		$	36,062
Total assets at period end	$	760,611		$	3,490,632	$	(2,012	)	$	4,249,231

Correspondent Lending Segment

For the quarter ended September 30, 2013, the Correspondent Lending Segment generated revenues of $18.9 million, a decline of 63 percent from the second quarter.  Net gain on mortgage loans acquired for sale was $11.0 million in the third quarter, down from $44.4 million in the prior quarter. Also contributing to the segment’s revenues were $3.4 million of net interest income and $4.5 million of other revenue, primarily loan origination fees.

3

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

	Quarter ended
Unaudited	September 30, 2013			June 30, 2013
	($ in thousands)
Receipt of MSRs in loan sale transactions	$	48,958		$	51,055
Provision for representation and warranties	(1,474		)	(1,437		)
Cash investment(1)	5,444			(39,614		)
Fair value changes of pipeline, inventory and hedges	(41,897		)	34,434
Net gain on mortgage loans acquired for sale	$	11,031		$	44,438

(1) Net cash receipt at sale and net cash hedge expense

Rising mortgage rates caused a significant decline in U.S. mortgage originations driving increased competition, reduced volumes, and lower margins during the quarter.  PMT acquired $7.7 billion in UPB of loans in correspondent lending in the third quarter, and IRLCs totaled $6.7 billion, compared to $8.6 billion and $10.0 billion, respectively, in the second quarter.  Of the correspondent lending acquisitions, conventional loans were $3.6 billion, government insured or guaranteed loans were $4.0 billion, and jumbo loans were $74 million.

The Correspondent Lending segment generated a pretax loss of $0.3 million, versus $28.1 million of pretax income in the second quarter.  The loss was largely driven by declining margin and lock volume, along with fulfillment fees that are based on loan funding volumes which were higher than lock volumes in the third quarter.

In September, PMT completed a non-agency securitization of $550.5 million in UPB of jumbo loans, selling $170 million of senior bonds backed by the loans.  PMT retained the remaining securities from the transaction as investments.  The transaction is accounted for as a secured financing; as such, PMT continues to carry the underlying loans as assets on its consolidated balance sheet and reflects the securities sold as liabilities.

4

Investment Activities Segment

The Investment Activities Segment generated $36.4 million in pretax income on revenues of $67.2 million in the third quarter, compared to $39.8 million and $73.0 million, respectively, in the second quarter. Valuation gains were $41.9 million in the third quarter, an increase of $3.1 million from the second quarter.  Interest income increased by $6.1 million to $25.3 million, partly offset by an increase in interest expense of $4.5 million attributable to the increased utilization of credit facilities associated with PMT’s recent distressed whole loan acquisitions.  Expenses were $30.8 million in the third quarter, an increase of 24 percent from the prior quarter, primarily due to increased servicing fee expenses from the growing portfolio of MSRs and distressed whole loans, as well as an increase in allocated corporate expenses.

Distressed Mortgage Investments

PMT’s distressed mortgage loan portfolio generated realized and unrealized gains totaling $48.0 million in the third quarter, compared to $46.8 million in the second quarter.  Of the gains in the third quarter, $6.1 million was realized through payoffs in which collections on the loan balances were at levels higher than their recorded fair values.

Valuation gains totaled $41.9 million in the third quarter, compared to $38.8 million in the second quarter.  The third quarter gain was driven by home price appreciation greater than forecast, the progression of loans closer to their resolution, and portfolio growth offset somewhat by less optimistic projections for future home prices.  Performing loans in the portfolio saw a $15,000 valuation loss in the third quarter, compared to $4.7 million in valuation gains in the second quarter.  This reduction was largely driven by a $6.6 million increase in capitalized interest income resulting from loan modifications versus the second quarter.  Capitalized interest on modifications increases interest income and tends to reduce the loan valuation.

5

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

	Quarter ended
Unaudited	September 30, 2013			June 30, 2013
	($ in thousands)
Valuation changes:
Performing loans	$	(15	)	$	4,700
Nonperforming loans	41,905			34,094
	41,890			38,794
Payoffs	6,096			8,040
Sales	—			—
	$	47,986		$	46,834

During the quarter, PMT acquired and settled $930 million in UPB of nonperforming whole loans, which represented the largest total for distressed whole loan acquisitions in any quarter since PMT’s inception.  After the end of the quarter, PMT entered into a purchase agreement for $563 million in UPB of distressed whole loans, which is expected to settle in the fourth quarter.(5)

Servicing

PMT’s MSR portfolio, which is subserviced by PennyMac Loan Services, LLC, grew to $23.7 billion in UPB, compared to $19.9 billion in the second quarter.  Servicing fee revenue of $14.5 million was partially offset by amortization and impairment of $7.9 million, generating net loan servicing fees of $6.7 million, down from $7.9 million in the second quarter.  The decrease in net loan servicing fees was largely due to higher amortization from increased prepayment speed expectations, which were higher as a result of declining mortgage rates at the end of the quarter.

(5)  This pending transaction is subject to continuing due diligence and customary closing conditions. There can be no assurance that the committed amount will ultimately be acquired or that the transaction will be completed.

6

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

	Quarter ended
Unaudited	September 30, 2013			June 30, 2013
	($ in thousands)
Servicing fees(1)	$	14,451		$	12,307
MSR recapture fee from affiliate	86			368
Effect of MSRs:
Amortization	(7,201		)	(6,265		)
(Provision)/recovery for impairment of MSRs carried at lower of amortized cost or fair value	(212		)	1,222
Change in fair value of MSRs carried at fair value	(465		)	260
	(7,878		)	(4,783		)
Net loan servicing fees	$	6,659		$	7,892

(1) Includes contractually specified servicing fees.

Expenses

Expenses for the third quarter of 2013 totaled $50.0 million, compared to $47.6 million in the second quarter.  The increase in expenses was largely driven by an increase in servicing expenses, as well as increases in professional services and compensation.  Servicing expenses increased as a result of growth in PMT’s investments in MSRs created from its correspondent lending activities and distressed whole loan acquisitions.  Professional fees were higher largely due to the jumbo securitization transaction during the quarter, and compensation expenses from an increase in stock-based compensation.  The increases were largely offset by a $3.7 million decrease in loan fulfillment fees as a result of lower correspondent and jumbo loan acquisition volume during the quarter.   Management fees were $8.5 million, essentially flat compared to the second quarter.

The Company had a benefit for income taxes of $3.6 million in the third quarter, compared to a provision for income taxes of $13.4 million in the second quarter, due to a pretax loss in its taxable REIT subsidiary.  This resulted in an effective income tax rate of negative 10%, down from an effective income tax rate of 20% in the prior period.

Mr. Kurland concluded, “The outlook for PMT remains strong.  Our investments in excess servicing spread, in partnership with PFSI, represent an attractive new strategy for PMT.  The pipeline of distressed whole loan investments remains robust, and we expect to continue seeing significant opportunities for new investments through 2014.  In correspondent lending we expect to resume increasing acquisition volumes as the origination market stabilizes.  In summary, I believe PMT is well positioned to grow and replenish its investments, producing valuable returns for our shareholders.”

7

Management’s slide presentation will be available in the Investor Relations section of the Company’s website at www.PennyMac-REIT.com beginning at 1:30 p.m. (Pacific Standard Time) on Wednesday, November 6, 2013. We encourage investors to submit questions via email to InvestorRelations@pnmac.com; if any questions are submitted we will post answers via a document on our website.

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 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 our investment objectives or investment or operational strategies; volatility in our industry, the debt or equity markets, the general economy or the residential finance and real estate markets; changes in general business, economic, market, employment and political conditions or in consumer confidence; declines in residential real estate or significant changes in U.S. housing prices or activity in the U.S. housing market; 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; concentration of credit risks to which we are exposed; the degree and nature of our competition; our dependence on our manager and servicer, potential conflicts of interest with such entities, and the performance of such entities; availability, terms and deployment of short-term and long-term capital; unanticipated increases or volatility in financing and other costs; the performance, financial condition and liquidity of borrowers; incomplete or inaccurate information or documentation provided by customers or counterparties, or adverse changes in the financial condition of our customers and counterparties; the quality and enforceability of the collateral documentation evidencing our ownership and rights in the assets in which we invest;  increased rates of delinquency, default and/or decreased recovery rates on our investments; increased prepayments of the mortgages and other loans underlying our mortgage-backed securities and other investments; the degree to which our hedging strategies may protect us from interest rate volatility; our failure to maintain appropriate internal controls over financial reporting; our ability to comply with various federal, state and local laws and regulations that govern our business; changes in legislation or regulations or the occurrence of other events that impact the business, operations or prospects of government agencies, mortgage lenders and/or publicly-traded companies; the creation of the Consumer Financial Protection Bureau, or CFPB, and enforcement of its rules; changes in government support of homeownership; changes in government or government-sponsored home affordability programs; changes in governmental regulations, accounting treatment, tax rates and similar matters (including changes to laws governing the taxation of real estate investment trusts, or REITs; limitations imposed on our business and our ability to satisfy complex rules for us to qualify as a REIT for U.S. federal income tax purposes and qualify for an exclusion from the Investment Company Act of 1940 and the ability of certain of our subsidiaries to qualify as REITs or as taxable REIT subsidiaries for U.S. federal income tax purposes and our ability and the ability of our subsidiaries to operate effectively within the limitations imposed by these rules; and the effect of public opinion on our reputation. 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.

8

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS

(In thousands, except per share data)

	Quarter Ended
Unaudited	September 30, 2013		June 30, 2013		September 30, 2012
	(In thousands, except per share data)
ASSETS
Cash	$	100,064	$	27,642	$	67,813
Short-term investments	80,936		73,236		38,322
Mortgage-backed securities at fair value	204,914		—		—
Agency debt securities at fair value	12,578		—		—
Mortgage loans acquired for sale at fair value	737,114		1,309,830		847,575
Mortgage loans at fair value	1,848,656		1,309,765		1,089,966
Mortgage loans at fair value held by variable interest entity	536,776		—		—
Mortgage loans under forward purchase agreements at fair value	228,086		242,531		—
Derivative assets	18,415		51,940		40,938
Real estate acquired in settlement of loans	99,693		88,682		86,180
Real estate acquired in settlement of loans under forward purchase agreements	3,509		89		—
Mortgage servicing rights	269,675		226,901		65,154
Excess servicing spread	2,857		—		—
Principal and interest collections receivable	32,735		29,708		30,016
Interest receivable	6,022		4,296		2,932
Servicing advances	43,741		39,672		24,997
Due from PennyMac Financial Services, Inc.	113		3,063		2,004
Other assets	23,347		36,029		32,828
Total assets	$	4,249,231	$	3,443,384	$	2,328,725
LIABILITIES
Assets sold under agreements to repurchase:
Securities	$	196,032	$	—	$	—
Mortgage loans acquired for sale at fair value	670,311		1,243,949		755,471
Mortgage loans at fair value	1,091,487		313,862		274,185
Real estate acquired in settlement of loans	22,228		8,085		11,715
Borrowings under forward purchase agreements	229,841		244,047		—
Asset-backed secured financing	170,008		—		—
Exchangeable senior notes	250,000		250,000		—
Derivative liabilities	5,898		26,619		36,203
Accounts payable and accrued liabilities	34,649		36,844		31,154
Due to PennyMac Financial Services, Inc.	20,030		16,725		9,812
Income taxes payable	54,840		51,404		23,604
Liability for losses under representations and warrants	9,142		7,668		2,378
Total liabilities	2,754,466		2,199,203		1,144,522
SHAREHOLDERS’ EQUITY
Common shares of beneficial interest—authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding, 70,453,326 and 59,077,496 common shares	705		591		589
Additional paid-in capital	1,383,082		1,132,157		1,128,387
Retained earnings	110,978		111,433		55,227
Total shareholders’ equity	1,494,765		1,244,181		1,184,203
Total liabilities and shareholders’ equity	$	4,249,231	$	3,443,384	$	2,328,725

9

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF INCOME

(In thousands, except per share data)

	Quarter Ended
Unaudited	September 30, 2013			June 30, 2013			September 30, 2012
	(In thousands, except per share data)
Investment Income
Net gain on mortgage loans acquired for sale	$	11,031		$	44,438		$	49,793
Loan origination fees	4,559			4,752			2,836
Net gain (loss) on investments:
Mortgage-backed securities	493			—			(451		)
Agency debt securities	578			—			—
Mortgage loans	47,986			46,834			26,512
Excess servicing spread	29			—			—
	49,086			46,834			26,061
Net interest income
Interest income	35,278			26,797			19,730
Interest expense	19,497			14,144			8,282
	15,781			12,653			11,448
Net loan servicing fees	6,659			7,892			(511		)
Results of real estate acquired in settlement of loans	(2,295		)	(1,929		)	1,288
Other	1,241			913			(1		)
Net investment income	86,062			115,553			90,914
Expenses
Expenses payable to
PennyMac Financial Services, Inc.
Loan fulfillment fees	18,327			22,054			17,258
Loan servicing fees (1)	10,738			8,787			4,600
Management fees	8,539			8,455			3,672
Professional services	2,149			1,339			1,693
Compensation	2,292			1,438			1,997
Other	7,955			5,571			2,725
Total expenses	50,000			47,644			31,945
Income before provision for income taxes	36,062			67,909			58,969
(Benefit) provision for income taxes	(3,639		)	13,412			18,585
Net income	$	39,701		$	54,497		$	40,384
Earnings per share
Basic	$	0.61		$	0.92		$	0.81
Diluted	$	0.57		$	0.86		$	0.81

(1)Servicing expenses include both special servicing for PMT’s distressed portfolio and subservicing for its mortgage servicing rights.

(end)

10

EX-99.2

Exhibit 99.2

PennyMac Mortgage Investment Trust November 6, 2013 Third Quarter 2013 Earnings Report

3Q13 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 our investment objectives or investment or operational strategies; volatility in our industry, the debt or equity markets, the general economy or the residential finance and real estate markets; changes in general business, economic, market, employment and political conditions or in consumer confidence; declines in residential real estate or significant changes in U.S. housing prices or activity in the U.S. housing market; 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; concentration of credit risks to which we are exposed; the degree and nature of our competition; our dependence on our manager and servicer, potential conflicts of interest with such entities, and the performance of such entities; availability, terms and deployment of short-term and long-term capital; unanticipated increases or volatility in financing and other costs; the performance, financial condition and liquidity of borrowers; incomplete or inaccurate information or documentation provided by customers or counterparties, or adverse changes in the financial condition of our customers and counterparties; the quality and enforceability of the collateral documentation evidencing our ownership and rights in the assets in which we invest; increased rates of delinquency, default and/or decreased recovery rates on our investments; increased prepayments of the mortgages and other loans underlying our mortgage-backed securities and other investments; the degree to which our hedging strategies may protect us from interest rate volatility; our failure to maintain appropriate internal controls over financial reporting; our ability to comply with various federal, state and local laws and regulations that govern our business; changes in legislation or regulations or the occurrence of other events that impact the business, operations or prospects of government agencies, mortgage lenders and/or publicly-traded companies; the creation of the Consumer Financial Protection Bureau, or CFPB, and enforcement of its rules; changes in government support of homeownership; changes in government or government-sponsored home affordability programs; changes in governmental regulations, accounting treatment, tax rates and similar matters (including changes to laws governing the taxation of real estate investment trusts, or REITs; limitations imposed on our business and our ability to satisfy complex rules for us to qualify as a REIT for U.S. federal income tax purposes and qualify for an exclusion from the Investment Company Act of 1940 and the ability of certain of our subsidiaries to qualify as REITs or as taxable REIT subsidiaries for U.S. federal income tax purposes and our ability and the ability of our subsidiaries to operate effectively within the limitations imposed by these rules; and the effect of public opinion on our reputation. 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

3Q13 Earnings Report 3 Third Quarter Highlights Net income of $39.7 million on net investment income of $86.1 million Diluted EPS of $0.57 per share and dividend of $0.57 per share Segment pretax income (loss): Investment Activities: $36.4 million; Correspondent Lending: $(0.3) million Issued $250 million of new equity in August Strong investment activity across multiple strategies, deploying over $350 million in equity capital: Acquired two pools of nonperforming whole loans totaling $930 million in unpaid principal balance (UPB) Completed $550.5 million jumbo securitization, retaining $367 million in senior, subordinate and IO securities Completed initial investments in excess servicing spread from MSRs acquired by PennyMac Financial Services, Inc. (NYSE: PFSI) Grew originated mortgage servicing rights (MSR) asset from $227 million to $270 million Correspondent acquisitions totaled $7.7 billion; correspondent locks totaled $6.7 billion

3Q13 Earnings Report 4 Significant New Investments Continued After Quarter End Investments in excess servicing spread on bulk MSR portfolio acquisitions totaling $21 billion in UPB Acquired $62 million in excess servicing spread on a portfolio of recently originated Fannie Mae MSRs totaling $10.3 billion in UPB Expected to enter into an agreement with PFSI relating to the acquisition of approximately $85 million in excess servicing spread from a $10.8 billion UPB portfolio of legacy Ginnie Mae MSRs that PFSI is expected to acquire from a third party(1) Entered into an agreement to acquire $563 million in UPB of nonperforming whole loans expected to settle in late November(2) Expect to close the pending investments in Q4 through a combination of cash and additional debt financing (1) The MSR acquisition by PFSI and the Company’s purchase of excess servicing spread 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 amounts will ultimately be acquired or that the transactions will be completed at all. (2) This pending transaction is subject to the negotiation and execution of definitive documentation, continuing due diligence, and customary closing conditions. There can be no assurance that the committed amounts will ultimately be acquired or that the transaction will be completed.

5 The Third Quarter Was a Transitional Period for the Mortgage Market 3Q13 Earnings Report Source: Freddie Mac, Fannie Mae, Mortgage Bankers Association estimates as of October 29, 2013 Freddie Mac Primary Mortgage Market Survey as of October 24, 2013 Origination Market Estimates(1) The large increase in mortgage rates since May has resulted in a significant contraction of the origination market The smaller market has driven increased competition and reduced mortgage origination profitability Higher rates and lower origination profitability create other opportunities, e.g., to acquire MSRs from originators and banks facing capital constraints % ($ in billions) Average U.S. Mortgage Rates(2)

Excess Servicing Spread (e.g., 12.5bp) MSR Asset (e.g., 25bp servicing fee) 3Q13 Earnings Report 6 PMT's Excess Servicing Spread Investments in Partnership with PFSI Acquired by PFSI from Third-Party Seller(1) PMT co-invests in Agency MSR acquired from third-party sellers by PFSI PMT acquires the right to receive the excess servicing spread cash flows over the life of the underlying loans PFSI owns the MSR and services the loans (1) MSR is owned by PennyMac Loan Services, LLC, a wholly-owned subsidiary of PennyMac Financial Services, Inc., and the contractual servicer. (2) Subject and subordinate to Agency rights (under the related servicer guide); does not change the contractual servicing fee paid by the Agency to the servicer. Excess Servicing Spread(2) Interest income from a portion of the contractual servicing fee Realized yield dependent on repayment speeds and recapture Base MSR Income from a portion of the contractual servicing fee Also entitled to ancillary income Bears expenses of performing loan servicing activities Required to advance certain payments largely for delinquent loans Base MSR (e.g., 12.5bp) Acquired by PMT from PFSI(1) Example transaction: actual transaction details may vary materially

Investments in Excess Servicing Spread on Bulk MSR Portfolios 3Q13 Earnings Report 7 5-year CPR Recapture Recently originated loans serviced for Fannie Mae Pool 1 Pool 1 Pool 2(2) Higher-coupon legacy loans serviced for Ginnie Mae resulting in greater refinance recapture opportunity (1) The information presented is furnished for illustrative purposes only and does not represent expected or future performance. Actual results are subject to a number of uncertainties, many of which may be outside of our control, including prepayment activity and recapture rates, and, therefore, may differ materially from the information presented. Figures do not include impact of fees and expenses. You should not rely on this illustration as indicative of future results. (2) This pending transaction is subject to the negotiation and execution of definitive documentation, continuing due diligence, and customary closing conditions and approvals. There can be no assurance that the committed amounts will ultimately be acquired or that the transaction will be completed. Illustrative Yield(1)(2) 5-year CPR Recapture Illustrative Yield(1) Slower 5.47% Base 7.30% Faster 9.14% 0% 10.3% 8.3% 6.3% 20% 11.0% 9.2% 7.4% 30% 11.4% 9.7% 7.9% 40% 11.8% 10.1% 8.4% 50% 12.2% 10.6% 8.9% Unpaid Principal Balance $10.3 billion Weighted Avg. Note Rate 3.52% Delinquent Loans 0.1% Excess Servicing Spread 12.7 bp Investment $62 million Unpaid Principal Balance $10.8 billion Weighted Avg. Note Rate 5.44% Delinquent Loans 11.3% Excess Servicing Spread 18.9 bp Investment $85 million Slower 13.0% Base 15.3% Faster 17.7% 0% 9.3% 7.5% 5.6% 20% 12.3% 10.8% 9.2% 30% 13.4% 12.0% 10.5% 40% 14.3% 13.0% 11.6% 50% 15.1% 13.9% 12.6%

Market Environment and Outlook 8 Correspondent Lending Competition Jumbo Private-Label Securitization Mortgage Originations and Housing Changes in interest rates drive outlook for mortgage origination market; $1.3 trillion in originations forecast for 2014, >60% expected to be purchase money(1) Home purchase demand is anticipated to remain robust, though some seasonal slowing is expected Slow economic growth and fiscal uncertainty have modestly tempered the outlook for future price appreciation Contracting origination market has led to tighter margins A smaller market results in higher barriers to entry for new entrants Emphasis on disciplined pricing, execution and service to maintain profitability Pipeline of distressed whole loan opportunities remains strong with additional sellers emerging – expected to remain strong through 2014 Home prices impact returns; expectation of continued price appreciation at a more moderate pace Alternatives to property resolution (e.g., modification, refinance) are increasingly important strategies to maximize returns 3Q13 Earnings Report Distressed Whole Loans Agencies dominate the high-balance loan market; conforming loan limits likely to remain until mid-2014 Limited depth of market for private-label securities – significant near-term challenge Source: Mortgage Bankers Association, Fannie Mae and Freddie Mac mortgage market forecasts as of October 2013. Mortgage Servicing Rights Several bulk portfolios reviewed recently, including large opportunities from money-center banks; expected to continue in 2014

9 PMT’s Investments Grow and Remain Well Positioned Mortgage Assets ($ in millions) This transaction was accounted for as a secured financing. In such a transaction, we continue to carry the loans underlying the securities on our consolidated balance sheet and reflect the securities we sell as debt in the form of asset-backed secured financing. The amount shown above is the net of the loans and the related debt. Defined as all debt, senior and subordinated, as a multiple of equity at quarter end. 1.7x 1.3x 1.0x 0.9x 1.8x Leverage Ratio(2) Retained interests from private-label securitizations(1) are a new investment for PMT consisting of senior and subordinate securities backed by prime jumbo loans Agency MBS are qualifying REIT investments that aid liquidity and interest rate risk management Mortgage servicing rights – increase in economic value in an improving economy with gradually rising interest rates Excess servicing spread – similar risk profile to MSRs with no operational risk Distressed whole loans – benefit from improving home prices and operational execution of our servicer 3Q13 Earnings Report (1)

Mortgage Investment Activities

11 Distressed whole loan purchases in 3Q13 were $930 million in UPB – largest quarterly total since PMT’s inception Agreed to acquire $563 million in UPB of nonperforming whole loans in October Pipeline of opportunities remains robust Distressed Whole Loan Acquisitions Continue Distressed Whole Loan Purchase Activity (UPB, $ in millions) 3Q13 Earnings Report

Correspondent Acquisition Volume and Mix 3Q13 Earnings Report 12 Increasing Rates Create a Challenging Market for Correspondent Lending (1) For Government loans, PMT earns a sourcing fee and interest income for its holding period and does not pay a fulfillment fee. ($ in billions) UPB Correspondent acquisitions totaled $7.7 billion, down 11% Q/Q Total lock volume was $6.7 billion, down 33% Q/Q Conventional and jumbo acquisitions were $3.7 billion; locks were $2.9 billion October acquisitions totaled $2.1 billion; locks were $2.1 billion Conventional margins declined significantly during the quarter Balancing PMT’s acquisition volumes with appropriate returns Added new seller relationships and terminated unproductive ones Initiatives in place to increase PMT’s market share and volumes as the market improves and competitive behavior normalizes (1) Correspondent Seller Relationships 2Q13 3Q13 Beginning Balance 179 220 Client approvals Approved 43 17 Terminated / inactivated (2) (16) Net change 41 1 End of quarter total 220 221

13 Lower Volumes and Margins Drive Correspondent Lending's Results Pretax loss in the correspondent lending segment was $(0.3) million, or -1bp as a ratio of total locks Mainly driven by the decline in origination volumes and tighter margins Fulfillment fees are based on funding volumes which were higher than lock volumes Even at these margins, short holding periods for inventory and low-cost debt financing produce attractive returns on equity (1) Conventional and jumbo interest rate lock commitments (2) Expense is 0.50% of conventional and jumbo loans funded 3Q13 Earnings Report (2) ($ in millions) Quarter Ended September 30, 2013 As % of Interest Rate Lock Commitments Revenues: Net gain on mortgage loans acquired for sale 11,031 $ 0.37% Net interest income 3,365 0.11% Other income 4,490 0.15% 18,886 $ 0.64% Expenses: Loan fulfillment, Servicing, and Management fees payable to PennyMac Financial Services, Inc Other 211 0.01% 19,179 $ 0.65% Pre-tax net income (293) $ -0.01% 18,968 $ 0.64% Correspondent Lending

Securitization backed by $550.5 million in prime jumbo loans Senior / subordinate, shifting-interest structure with 7.75% credit enhancement $170 million in senior bonds sold, with PMT retaining the remaining securities Subordinate and IO securities are attractive long-term investments Senior bonds and Agency MBS are opportunistic investments Negligible impact to net investment income from the transaction Jumbo loan inventory is marked-to-market Under GAAP, treated as a secured financing – the underlying loans remain on balance sheet and securities sold are treated as debt No new securitizations anticipated in the near-term Jumbo Securitization Completed in September 14 3Q13 Earnings Report Senior Classes Subordinate Classes PMT Loan Trust 2013-J1 $507.8 million $42.7 million Pool Balance $550.5 million Number of Loans 691 WA CLTV (%) 69.7 WA FICO 770 WA Gross Mortgage Rate 3.9% WA Debt-to-Income 30.9% Pool Characteristics

Financial Results

16 Pretax Income by Operating Segment 3Q13 Earnings Report Note: Figures may not sum exactly due to rounding Investment Correspondent Intersegment Total Pretax ($ in millions) Activities Lending Eliminations Income 3Q12 21.5 $ 37.4 $ (0.02) $ 59.0 $ 4Q12 24.3 $ 41.0 $ - $ 65.3 $ 1Q13 50.3 $ 8.9 $ (3.3) $ 55.9 $ 2Q13 39.8 $ 28.1 $ - $ 67.9 $ 3Q13 36.4 $ (0.3) $ - $ 36.1 $ 

3Q13 Earnings Report 17 3Q13 Investment Activities Pretax Income Investment Activities Segment Pretax Income Segment revenue was up 4% Q/Q driven by several factors: Net gains on investments rose 5% from 2Q13: Solid nonperforming loan performance Gain on agency MBS investment net of hedges was $0.5 million Net interest income growth of 14% Q/Q, driven by higher earning assets and capitalized interest on modifications Partially offsetting interest income was higher interest expense from increased financing facility utilization Expenses rose 24% Q/Q Increased servicing expense from growing portfolio of MSRs and distressed whole loans Private-label securitization-related expenses of $1.9 million (1) Servicing fees payable to PennyMac Loan Services, LLC and includes both special servicing for PMT’s distressed portfolio and subservicing for PMT’s mortgage servicing rights. (1) Quarter Ended ($ in thousands) September 30, 2013 June 30, 2013 Revenues: Net gain on investments 49,086 $ 46,834 $ Net Interest income Interest income 25,316 19,260 Interest expense (12,900) (8,362) 12,416 10,898 Other 5,674 6,876 Total revenues 67,176 64,608 Expenses: Servicing, and Management fees payable to PennyMac Financial Services, Inc Other 12,185 8,279 Total expenses 30,821 24,802 Pretax income 36,355 $ 39,806 $ 18,636 16,523

18 Nonperforming Loan Gains Drive Investment Activities Results Nonperforming loans continue to drive net gains on mortgage loans Gains on nonperforming loans rose 23% Q/Q, driven by home price appreciation and resolution activity Loss on performing loans driven by capitalization of interest resulting from loan modifications, which tends to reduce gains from valuation Higher mortgage rates reduced payoff activity Cash proceeds from liquidation activity and scheduled payments totaled $102.2 million Sales of REO and 3rd party foreclosure sale combined comprised ~60% of liquidation activity 3Q13 Earnings Report Net Gains on Mortgage Loans Cash proceeds from liquidation of Total Cash Proceeds from Liquidations: $102.2 million Loan liquidation activity: $60.1 million Sales of real estate acquired in settlement of loans: $35.1 million Principal payments on performing mortgage loans: $7.0 million 3Q13 Cash Proceeds from Liquidation of Distressed Mortgage Loans and REO ($ in thousands) September 30, 2013 June 30, 2013 Valuation Changes: Performing Loans (15) $ 4,700 $ Nonperfoming Loans 41,905 34,094 41,890 38,794 Payoffs 6,096 8,040 47,986 $ 46,834 $ Quarter ended

3Q13 Earnings Report 19 Mortgage Servicing Rights (MSR) Asset Valuation PMT carries most of its originated MSRs at the lower of amortized cost or fair value MSRs where the note rate on the underlying loan is less than or equal to 4.5% Fair value of the MSRs increased in excess of their amortized cost basis, due to higher interest rates and declining expectations for prepayments Lower of amortized cost or fair value Fair value option UPB $22,681 $1,037 Weighted average coupon 3.66% 4.67% Prepayment speed assumption (CPR) 9.1% 10.0% Weighted average servicing fee 0.26% 0.25% Fair value $277.7 $11.0 As multiple of servicing fee 4.42 4.17 Carrying (accounting) value $258.7 $11.0 Fair value in excess of carrying value $19.0 Accounting Basis ($ in millions)

3Q13 Earnings Report 20 Correspondent Lending Impacted by Higher Mortgage Rates in 3Q13 Correspondent Lending Segment Pretax Income Segment revenue fell 63% from 2Q13 to $18.9 million Net gain on mortgage loans acquired for sale declined 75% Q/Q Driven by a 44% decline in conventional and jumbo lock volumes and tighter margins Interest income increased due to higher conventional and jumbo loan inventory levels and yields Loss on jumbo loans net of hedges totaled $(0.3) million Expenses declined 16% from the second quarter, driven by lower fulfillment fee expense Reduction mirrors the reduction in conventional and jumbo funding volumes Quarter Ended ($ in thousands) September 30, 2013 June 30, 2013 Revenues: Net gain on mortgage loans acquired for sale 11,031 44,438 Net interest income Interest income 12,536 9,291 Interest expense (9,171) (7,536) 3,365 1,755 Other 4,490 4,752 Total revenues 18,886 50,945 Expenses: Loan fulfillment fees and management fees payable to PennyMac Financial Services, Inc Other 211 69 Total expenses 19,179 22,842 Pre-tax income (293) $ 28,103 $ 18,968 22,773

Appendix

Fundings and Locks by Product 3Q13 Earnings Report 22 Note: Figures may not sum exactly due to rounding ($ in millions) 3Q12 4Q12 1Q13 2Q13 3Q13 Fundings Conventional 3,729 $ 6,526 $ 4,779 $ 4,216 $ 3,608 $ Government 2,576 3,485 3,739 4,262 3,992 Jumbo 1 2 8 107 74 Total 6,306 $ 10,013 $ 8,526 $ 8,586 $ 7,674 $ Locks Conventional 5,460 $ 7,003 $ 4,240 $ 5,069 $ 2,923 $ Government 3,029 3,364 3,785 4,739 3,718 Jumbo 6 7 100 158 22 Total 8,496 $ 10,375 $ 8,126 $ 9,966 $ 6,662 $ 

Distressed Portfolio by Acquisition Period 23 (1) Ratio of unpaid principal balance remaining to unpaid principal balance at acquisition 3Q13 Earnings Report Purchase 3Q13 Purchase 3Q13 Purchase 3Q13 Purchase 3Q13 Balance ($mm) 182.7 $ 64.3 Balance ($mm) 195.5 $ 57.8 Balance ($mm) 146.2 $ 44.7 Balance ($mm) 277.8 $ 118.4 Pool Factor (1) 1.00 0.35 Pool Factor (1) 1.00 0.30 Pool Factor (1) 1.00 0.31 Pool Factor (1) 1.00 0.43 Current 6.2% 38.7% Current 5.1% 30.3% Current 1.2% 38.9% Current 5.0% 36.6% 30 1.6% 4.1% 30 2.0% 4.3% 30 0.4% 6.3% 30 4.0% 6.6% 60 5.8% 3.2% 60 4.1% 1.5% 60 1.3% 1.2% 60 5.1% 3.8% 90+ 37.8% 15.5% 90+ 42.8% 20.4% 90+ 38.2% 13.4% 90+ 26.8% 17.1% FC 46.4% 33.5% FC 45.9% 35.2% FC 58.9% 30.6% FC 59.1% 29.7% REO 2.3% 5.1% REO 0.0% 8.3% REO 0.0% 9.6% REO 0.0% 6.2% Purchase 3Q13 Purchase 3Q13 Purchase 3Q13 Purchase 3Q13 Balance ($mm) 515.1 $ 262.7 Balance ($mm) 259.8 $ 148.2 Balance ($mm) 542.6 $ 249.9 Balance ($mm) 49.0 $ 37.1 Pool Factor (1) 1.00 0.51 Pool Factor (1) 1.00 0.57 Pool Factor (1) 1.00 0.46 Pool Factor (1) 1.00 0.76 Current 2.0% 31.0% Current 11.5% 34.8% Current 0.6% 16.0% Current 0.2% 24.4% 30 1.9% 5.4% 30 6.5% 8.0% 30 1.3% 2.8% 30 0.1% 7.0% 60 3.9% 2.3% 60 5.2% 4.1% 60 2.0% 3.9% 60 0.2% 1.2% 90+ 25.9% 13.9% 90+ 31.2% 17.8% 90+ 22.6% 22.6% 90+ 70.4% 26.4% FC 66.3% 41.2% FC 43.9% 30.8% FC 73.0% 42.1% FC 29.0% 34.9% REO 0.0% 6.2% REO 1.7% 4.5% REO 0.4% 12.7% REO 0.0% 6.1% Purchase 3Q13 Purchase 3Q13 Purchase 3Q13 Balance ($mm) 402.5 $ 316.9 Balance ($mm) 357.2 $ 293.3 Balance ($mm) 290.3 $ 258.2 Pool Factor (1) 1.00 0.79 Pool Factor (1) 1.00 0.82 Pool Factor (1) 1.00 0.89 Current 45.0% 54.9% Current 0.0% 14.6% Current 3.1% 13.7% 30 4.0% 6.8% 30 0.0% 1.2% 30 1.3% 3.8% 60 4.3% 2.4% 60 0.1% 0.4% 60 5.4% 1.8% 90+ 31.3% 16.2% 90+ 49.1% 28.1% 90+ 57.8% 34.6% FC 15.3% 15.3% FC 50.8% 46.9% FC 32.4% 37.8% REO 0.1% 4.4% REO 0.0% 8.8% REO 0.0% 8.3% No Pools Purchased in this Quarter. 1Q12 2Q12 3Q12 4Q12 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11

Distressed Portfolio by Acquisition Period (cont.) 24 (1) Ratio of unpaid principal balance remaining to unpaid principal balance at acquisition 3Q13 Earnings Report Purchase 3Q13 Purchase 3Q13 Balance ($mm) 366.2 $ 322.5 Balance ($mm) 397.3 $ 384.5 Pool Factor (1) 1.00 0.88 Pool Factor (1) 1.00 0.97 Current 1.6% 11.6% Current 4.8% 6.4% 30 1.5% 3.6% 30 7.4% 7.3% 60 3.5% 2.8% 60 7.6% 5.4% 90+ 82.2% 55.5% 90+ 45.3% 48.8% FC 11.2% 23.9% FC 34.9% 29.7% REO 0.0% 2.7% REO 0.0% 2.5% 1Q13 2Q13