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): May 7, 2014

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:

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 May 7, 2014, PennyMac Mortgage Investment Trust (the “Company”) issued a press release announcing its financial results for the fiscal quarter ended March 31, 2014.  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 May 7, 2014 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 May 7, 2014, issued by PennyMac Mortgage Investment Trust pertaining to its financial results for the fiscal quarter ended March 31, 2014.
99.2	Slide Presentation for use on May 7, 2014 in connection with a recorded presentation of financial results for the fiscal quarter ended March 31, 2014.

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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: May 7, 2014	/s/ Anne D. McCallion
	Anne D. McCallion
	Chief Financial Officer

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EXHIBIT INDEX

Exhibit No.	Description
99.1	Press Release, dated May 7, 2014, issued by PennyMac Mortgage Investment Trust pertaining to its financial results for the fiscal quarter ended March 31, 2014.
99.2	Slide Presentation for use on May 7, 2014 in connection with a recorded presentation of financial results for the fiscal quarter ended March 31, 2014.

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EX-99.1

Exhibit 99.1

Investors and Media

Christopher Oltmann

(818) 746-2046

PennyMac Mortgage Investment Trust Reports

First Quarter 2014 Results

Moorpark, CA, May 7, 2014 — PennyMac Mortgage Investment Trust (NYSE: PMT) today reported net income of $37.9 million, or $0.50 per diluted share, for the first quarter of 2014, on net investment income of $76.6 million. PMT previously announced a cash dividend for the first quarter of 2014 of $0.59 per common share of beneficial interest, which was declared on March 24, 2014 and paid on April 30, 2014.

First Quarter 2014 Highlights

Financial results:

·Diluted earnings per common share of $0.50, down 28 percent from the prior quarter

·Net income of $37.9 million, down 28 percent from the prior quarter

·Net investment income of $76.6 million, down 20 percent from the prior quarter

·Book value per share of $20.88, up from $20.82 at December 31, 2013

·Return on average equity of 10 percent, down from 14 percent for the prior quarter(1)

Mortgage investment and correspondent activity results:

·Acquired nonperforming whole loans and REO totaling $436 million in unpaid principal balance (UPB)

(1) Return on average equity is calculated based on annualized quarterly net income as a percentage of monthly average shareholders’ equity during the period.

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·Completed investments totaling $21 million in excess servicing spread (ESS) on mortgage servicing rights (MSRs) acquired by PennyMac Financial Services, Inc. (NYSE: PFSI)

·Correspondent loan acquisitions of $4.8 billion in UPB, down 16 percent from the prior quarter(2)

·Conventional conforming and jumbo loan acquisitions of $1.9 billion in UPB, down 21 percent from the prior quarter

·Correspondent interest rate lock commitments (IRLCs) of $5.5 billion, down 8 percent from the prior quarter

·Conventional conforming and jumbo IRLCs of $2.2 billion, down 13 percent from the prior quarter

·MSR and ESS investments reached $452 million

Investment activity after the first quarter:

·Agreed to acquire $41 million in UPB of nonperforming whole loans expected to settle in May(3)

·Agreed to acquire approximately $27 million in ESS from mini-bulk and flow MSRs that PFSI is expected to acquire in second quarter(3)

“The reduction in earnings for the first quarter was driven by reduced income in PMT’s correspondent lending business and lower gains in the distressed whole loan portfolio,” said Stanford L. Kurland, PMT’s Chairman and Chief Executive Officer.  “We believe that PMT has in place and continues to develop a balance sheet that is well positioned across multiple residential mortgage-related strategies.  During the quarter, we made selective new investments in nonperforming loans as well as continuing investments in MSRs and ESS which we believe will deliver attractive returns on equity.”

(2) Government loan acquisitions for the first quarter were $2.9 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.

(3) These pending transactions are subject to 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.

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PMT earned $36.3 million in pretax income for the quarter ended March 31, 2014, a 34 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, 2014
	Investment			Correspondent			Intersegment
	Activities			Lending			Elimination			Total
	$ in thousands
Net investment income:
Net gain on mortgage loans acquired for sale	$	—		$	9,971		$	—		$	9,971
Net gain on investments	42,585			—			—			42,585
Net interest income
Interest income	36,598			3,635			(887		)	39,346
Interest expense	17,007			3,655			(887		)	19,775
	19,591			(20		)	—			19,571
Net loan servicing fees	7,421			—			—			7,421
Other investment (loss) income	(5,309		)	2,356			—			(2,953		)
	64,288			12,307			—			76,595
Expenses:
Loan Fulfillment, Servicing and Management feespayable to PennyMac Financial Services, Inc	22,496			9,071			—			31,567
Other	8,651			88			—			8,739
	31,147			9,159			—			40,306
Pretax income	$	33,141		$	3,148		$	—		$	36,289
Total assets at period end	$	3,868,189		$	359,348		$	—		$	4,227,537

Investment Activities Segment

The Investment Activities segment generated $33.1 million in pretax income on revenues of $64.3 million in the first quarter, compared to $48.4 million and $78.0 million, respectively, in the fourth quarter of 2013. Net gain on investments totaled $42.6 million in the first quarter, an 11 percent decrease from the fourth quarter.  Net interest income, which includes income from PMT’s investments in excess servicing spread, decreased by $2.9 million to $19.6 million.  Net loan servicing fees were $7.4 million, down from $12.2 million in the fourth quarter.  Other investment losses were $5.3 million, versus losses of $4.5 million in the fourth quarter.  Expenses were $31.1 million in the first quarter, an increase of 5 percent from the prior quarter, primarily driven by higher servicing expense from a growing servicing portfolio.

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Distressed Mortgage Investments

PMT’s distressed mortgage loan portfolio generated realized and unrealized gains totaling $39.9 million in the first quarter, compared to $50.6 million in the fourth quarter.  Of the gains in the first quarter, $5.6 million was realized through payoffs in which collections on the loan balances were at levels higher than their recorded fair values.

The following schedule details the realized and unrealized gains on mortgage loans:

	Quarters ended
	March 31, 2014			December 31, 2013
	(in thousands)
Valuation changes:
Performing loans	$	(3,286	)	$	9,897
Nonperforming loans	36,459			34,793
	33,173			44,690
Payoffs	5,620			5,888
Sales	1,125			—
	39,918			50,578

Valuation gains totaled $33.2 million in the first quarter, compared to $44.7 million in the fourth quarter.  Gains on nonperforming loans, which are driven by the progression of loans closer to their resolution and upward changes in home prices and home price forecasts, increased by 5 percent from the fourth quarter. Valuation losses on performing loans totaled $3.3 million in the first quarter, compared to a $9.9 million gain in the fourth quarter.  The loss on performing loans resulted from adjustments for capitalized interest from loan modifications totaling $12.5 million.  Capitalized interest on modifications increases interest income and tends to reduce the loan valuation.  Gain from loan sales relates to the previously announced sale of performing loans, which settled in January.  Overall, valuation changes were impacted by slower rates of home price appreciation versus forecast, which was due in part to severe winter weather across much of the U.S. during the quarter.

PMT acquired and settled $436 million in UPB of nonperforming whole loans and REO during the first quarter.  After the end of the quarter, PMT agreed to purchase $41 million in UPB of distressed whole loans, a transaction which is expected to settle in the second quarter of 2014.(3)

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Mortgage Servicing Rights

PMT’s MSR portfolio, which is subserviced by PFSI, grew to $27.3 billion in UPB, compared to $25.8 billion in the fourth quarter.  Servicing fee revenue of $17.5 million was partially offset by amortization, impairment and fair value losses totaling $10.1 million, resulting in net loan servicing fees of $7.4 million, down from $12.2 million in the fourth quarter.

The following schedule details the net loan servicing fees:

	Quarter ended
	March 31, 2014			December 31, 2013
	(in thousands)
Net loan servicing fees
Servicing fees(1)	$	17,532		$	17,550
MSR recapture fee receivable from PFSI	8			122
Effect of MSRs:
Carried at lower of amortized cost or fair value
Amortization	(7,365		)	(7,808		)
Reversal of (provision for) impairment	(627		)	1,475
Carried at fair value - change in fair value	(2,028		)	890
Losses on hedging derivatives	(99		)	—
	(10,119		)	(5,443		)
Net loan servicing fees	$	7,421		$	12,229

(1) Includes contractually specified servicing fees.

Correspondent Lending Segment

For the quarter ended March 31, 2014, the Correspondent Lending segment generated pretax income of $3.1 million, versus $6.3 million in the fourth quarter.  Revenues totaled $12.3 million, a decline of 32 percent from the fourth quarter, driven by a reduction in IRLC volumes and net gain on mortgage loans acquired for sale.

PMT acquired $4.8 billion in UPB of loans through correspondent lending in the first quarter, and IRLCs totaled $5.5 billion, compared to $5.8 billion and $6.0 billion, respectively, in the fourth quarter.  Of the correspondent lending acquisitions, conventional loans and jumbo acquisitions totaled $1.9 billion, and government insured or guaranteed loans were $2.9 billion. Overall across the

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U.S. mortgage market, originations are estimated to have declined 23 percent from the fourth quarter.(4)  Net gain on mortgage loans acquired for sale totaled $10.0 million in the first quarter, a decrease from $13.9 million from the fourth quarter resulting from the decline in conventional loan IRLC volumes and heightened competition.

The following schedule details the net gain on mortgage loans acquired for sale:

	Quarters ended
	March 31, 2014			December 31, 2013
	(in thousands)
Net gain on mortgage loans acquired for sale
Receipt of MSRs in loan sale transactions	$	20,875		$	26,802
Provision for representation and warranties	(744		)	(967		)
Cash investment (1)	(6,441		)	(23,220		)
Fair value changes of pipeline, inventory and hedges	(3,719		)	11,306
	$	9,971		$	13,921

(1) Net of cash hedge expense

Segment revenues also included $2.4 million of loan origination fees, a 21 percent decline from the fourth quarter, and net interest expense of $20 thousand.

Segment expenses declined 22 percent quarter-over-quarter to $9.2 million, due to lower loan fulfillment fee expense resulting from the decline in loan acquisition volumes.  The average fulfillment fee in the first quarter was 46 basis points, unchanged from the prior quarter.

Expenses

Expenses for the first quarter totaled $40.3 million, compared to $41.4 million in the fourth quarter.  The decrease was largely driven by a $2.2 million decrease in loan fulfillment fees as a result of lower correspondent acquisition volumes, a $0.9 million decline in management fees and $0.8 million decline in professional services fees, partially offset by a $2.4 million increase in loan servicing fees. Servicing expenses increased as a result of continued growth in PMT’s servicing portfolio and special servicing activities for the distressed whole loan portfolio.

(4) Source: Inside Mortgage Finance

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The Company booked an income tax benefit of $1.6 million in the first quarter, versus $2.0 million expense provision in the fourth quarter. The benefit results from a pretax loss attributed to PMT’s taxable REIT subsidiary for the quarter.

Mr. Kurland concluded, “The existing investment portfolio should continue to generate strong returns, and we expect to grow PMT’s investments in a patient and prudent manner. We see a flow of opportunities in excess servicing spread and distressed loan pools where we are being selective.  At present, we believe that the taxable earnings generated from PMT’s assets and future investment opportunities are consistent with the current dividend level.  We remain vigilant in pursuing investment opportunities and working to deliver superior long-term returns for our shareholders.”

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 Daylight Time) on Wednesday, May 7, 2014. We encourage investors to submit questions via email to InvestorRelations@pnmac.com; if any questions are submitted we will post responses 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 PennyMac Financial, Inc., 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

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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.

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PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS

	Quarter ended
Unaudited	March 31, 2014		December 31, 2013		March 31, 2013
	(in thousands)
ASSETS
Cash	$	11,871	$	27,411	$	19,376
Short-term investments	91,338		92,398		45,024
Mortgage-backed securities at fair value	198,110		197,401		—
Mortgage loans acquired for sale at fair value	344,680		458,137		1,123,348
Mortgage loans at fair value	2,079,020		2,076,665		1,366,922
Mortgage loans under forward purchase agreements at fair value	202,661		218,128		—
Mortgage loans at fair value held by variable interest entity	529,680		523,652		—
Excess servicing spread purchased from PennyMac Financial Services, Inc.	151,019		138,723		—
Derivative assets	7,928		7,976		15,186
Real estate acquired in settlement of loans	172,987		138,942		84,486
Real estate acquired in settlement of loans under forward purchase agreements	13,890		9,138		—
Mortgage servicing rights	301,427		290,572		180,441
Servicing advances	60,024		59,573		37,695
Due from PennyMac Financial Services, Inc.	3,590		6,009		5,991
Other assets	59,312		66,192		48,691
Total assets	$	4,227,537	$	4,310,917	$	2,927,160
LIABILITIES
Assets sold under agreements to repurchase	$	1,887,778	$	2,039,605	$	1,615,050
Borrowings under forward purchase agreements	216,614		226,580		—
Asset-backed secured financing at fair value	166,514		165,415		—
Exchangeable senior notes	250,000		250,000		—
Derivative liabilities	961		1,961		2,079
Accounts payable and accrued liabilities	72,413		71,561		28,142
Due to PennyMac Financial Services, Inc.	20,812		18,636		14,748
Income taxes payable	58,309		59,935		38,481
Liability for losses under representations and warrants	10,854		10,110		6,231
Total liabilities	2,684,255		2,843,803		1,704,731
SHAREHOLDERS’ EQUITY
Common shares of beneficial interest—authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding, 73,929,541, 70,458,082 and 58,990,225 common shares	739		705		590
Additional paid-in capital	1,466,347		1,384,468		1,131,231
Retained earnings	76,196		81,941		90,608
Total shareholders’ equity	1,543,282		1,467,114		1,222,429
Total liabilities and shareholders’ equity	$	4,227,537	$	4,310,917	$	2,927,160

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PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF INCOME

	Quarter Ended
Unaudited	March 31, 2014			December 31, 2013			March 31, 2013
	(in thousands, except earnings per share)
Investment Income
Net gain on mortgage loans acquired for sale	$	9,971		$	13,921		$	29,279
Loan origination fees	2,356			2,981			5,473
Net interest income
Interest income	39,346			43,912			16,875
Interest expense	19,775			20,345			11,236
	19,571			23,567			5,639
Net gain on investments	42,585			47,858			63,980
Net loan servicing fees	7,421			12,229			6,011
Results of real estate acquired in settlement of loans	(6,626		)	(6,014		)	(3,253		)
Other	1,317			1,545			687
Net investment income	76,595			96,087			107,816
Expenses
Expenses payable to
PennyMac Financial Services, Inc.:
Loan fulfillment fees	8,902			11,087			28,244
Loan servicing fees (1)	14,591			12,162			7,726
Management fees	8,074			8,924			6,492
Professional services	1,731			2,501			2,384
Compensation	2,942			2,095			2,089
Other	4,066			4,589			4,946
Total expenses	40,306			41,358			51,881
Income before provision for income taxes	36,289			54,729			55,935
(Benefit) provision for income taxes	(1,584		)	2,033			2,639
Net income	$	37,873		$	52,696		$	53,296
Earnings per share
Basic	$	0.52		$	0.74		$	0.90
Diluted	$	0.50		$	0.69		$	0.90
Weighted-average shares outstanding
Basic	71,527			70,456			58,927
Diluted	80,289			79,214			59,319

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

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EX-99.2

Exhibit 99.2

PennyMac Mortgage Investment Trust May 7, 2014 First Quarter 2014 Earnings Report

1Q14 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 governmentsponsored 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

3 First Quarter Highlights • Net income of $37.9 million on net investment income of $76.6 million – Diluted earnings per share of $0.50 – Dividend of $0.59 per share declared on March 24, 2014 • Segment pretax income: Investment Activities: $33.1 million; Correspondent Lending: $3.1 million • Selective new investments in distressed whole loans and excess servicing spread (ESS): – Completed the previously announced acquisition of nonperforming loans totaling $316 million in UPB – Acquired an additional pool of nonperforming loans and REO totaling $120 million in UPB – Invested $21 million in ESS on Agency mortgage servicing rights (MSRs) acquired by PennyMac Financial Services, Inc. (PFSI) totaling $2.4 billion in UPB • Correspondent loan acquisitions totaled $4.8 billion; correspondent locks totaled $5.5 billion • MSR and ESS investments grew from $429 million to $452 million • Raised $80 million of equity to support continued growth Recent activity after quarter end: • Agreed to acquire $41 million in UPB of nonperforming whole loans expected to settle in May(1) • Agreed to acquire approximately $27 million in excess servicing spread from mini-bulk and flow MSRs that PFSI is expected to acquire in Q2(1) (1) 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 amounts will ultimately be acquired or that the transactions will be completed. 1Q14 Earnings Report

PMT Aims to Deliver Superior Long-Term Returns to Shareholders 4 MSRs and ESS Retained Interests from Private-Label Securitization Agency and non-Agency MBS Distressed Whole Loans Correspondent Loan Aggregation 1Q14 Earnings Report Multiple strategies together expected to deliver attractive long-term return on equity even with shifts in the market environment (e.g., rising interest rates) Opportunity to enhance returns to shareholders through continued prudent expansion of debt financing Periodic results driven by many factors, including changes in fair value of PMT’s assets and liabilities Quarterly dividend based on performance outlook and expected taxable income for the year Managed investment portfolio of multiple residential mortgage-related strategies:

5% 12% 9% 9% 65% Mortgage Assets at 3/31/14 (100% = $3.827 billion) Mortgage Assets at 3/31/13 (100% = $2.755 billion) 5 PMT's Investment Portfolio Continues to Diversify • Majority of PMT’s assets are distressed whole loans and REO – expected to continue delivering attractive returns • Interest rate risk-sensitive assets (correspondent loan inventory, RMBS, securitization retained interests and MSRs/ESS) include complementary sensitivities to changes in interest rates 1Q14 Earnings Report ¦ Distressed whole loans and REO ¦ MSRs and ESS ¦ Retained interests from private-label securitizations ¦ Agency RMBS ¦ Correspondent loan inventory 6% 41% 53%

1Q14 Earnings Report 6 Current Market Environment and Outlook Environmental Trends Impact and Outlook • Interest rates and mortgage rates remain low, although expected to rise with continued Fed tapering • Continued modest improvements in U.S. employment and overall economic outlook • Home purchase demand is strengthening • Rate of home price appreciation slowing versus 2013 growth • Mortgage origination market is smaller due to reductions in refinance activity and limited non- Agency products – Continue to expect $1.2 trillion origination market for 2014, versus $1.9 trillion in 2013 • Significant changes in GSEs’ role unlikely in the near term, even with new FHFA director and proposed reform legislation (Johnson-Crapo) • Origination market remains competitive due to market contraction – Originators selling MSRs and/or loans servicingreleased to aggregators to reduce their capital investment • Non-Agency originations and securitizations remain limited, but outlook improving – Spread tightening improves the potential for PMT to compete with bank balance sheets for jumbo loans – Potential for new products to satisfy currently unmet consumer needs (prime non-QM loans) • Mini-bulk and flow MSR sales expected to continue; intermittent large bulk opportunities • Expect continued supply of distressed whole loans to come to market; PMT remains a selective buyer at its targeted returns

Opportunity for PFSI and PMT in MSR Acquisitions 1Q14 Earnings Report 7 Why Are MSR Sales Occurring? How Do MSRs Come to Market? • Large banks are selling MSRs due to continuing operational pressures, higher regulatory capital requirements (treatment under Basel III) and a re-focus on core customers/businesses • Independent mortgage banks are selling MSRs due to the abrupt market contraction, operational losses, and a need for capital • Intermittent large bulk portfolio sales ($10+ billion in UPB) – Require considerable coordination with selling institutions and Agencies • Mini-bulk sales (typically $500 million to $5 billion in UPB) – Increased activity as originators sell MSRs retained in 2012 and 2013 • Flow/co-issue MSR transactions (monthly commitments, typically $20-100 million in UPB) – Alternative delivery method typically from larger independent originators What MSR Transactions Are Attractive? • GSE and Ginnie Mae servicing in which PFSI has distinctive expertise • MSRs sold and operational servicing transferred to PFSI (not subserviced by a third party) • Measurable rep and warranty liability for PFSI PFSI is uniquely positioned be the successful acquirer of MSRs • Proven track record of complex MSR and distressed loan transfers • Operational platform that addresses the demands of the Agencies, regulators, and financing partners • Physical capacity in place to service $200 billion in UPB • Co-investment opportunity for PMT in the excess servicing spread

Mortgage Investment Activities

$366 $397 $930 $507 $436 $41 $0 $200 $400 $600 $800 $1,000 $1,200 1Q13 2Q13 3Q13 4Q13 1Q14 QTD 2Q14 9 • Acquired $436 million in UPB of nonperforming loans (NPLs) and REO in 1Q14 . Settled previously announced pool of $316 million in UPB of NPLs . Acquired an additional $120 million in UPB of NPLs and REO, which settled in March . Agreed to acquire $41 million in UPB of NPLs expected to settle in May(1) • Continued supply of distressed whole loans, but current pricing unattractive . Increased competition from new capital currently deploying at lower unlevered yields under our base case expectations – We remain patient in pursuing new investments that meet our targeted returns • Continue to assess best execution for the existing distressed portfolio Selective New Investments in Distressed Whole Loans Distressed Whole Loan Acquisitions (UPB, $ in millions) (1) 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 transaction will be completed. (1) 1Q14 Earnings Report

$4.8 $4.2 $3.6 $2.4 $1.9 $3.7 $4.3 $4.0 $3.3 $2.9 $8.1 $10.0 $6.7 $6.0 $5.5 $0 $2 $4 $6 $8 $10 $12 1Q13 2Q13 3Q13 4Q13 1Q14 Govt Jumbo Conventional Locks Correspondent Acquisition Volume and Mix 10 Correspondent Lending Gaining Market Share and Seller Relationships (1) Source: Inside Mortgage Finance and company estimates based on 4Q13 ranking and PMT’s acquisition volumes relative to competitors. (2) For Government loans, PMT earns a sourcing fee and interest income for its holding period and does not pay a fulfillment fee. ($ in billions) UPB • Correspondent acquisitions totaled $4.8 billion, down 16% Q/Q – Conventional and jumbo acquisitions were $1.9 billion; locks were $2.2 billion – Total lock volume of $5.5 billion, down 8% Q/Q – U.S. mortgage origination market declined 23% in the quarter • Market share gains to become #3 ranked correspondent lender in 1Q14(1) • April correspondent acquisitions totaled $2.2 billion; locks totaled $2.5 billion • Delivering on initiatives to grow seller relationships, focused on smaller mortgage lenders and community banks . Added 42 seller relationships in 1Q14 o 40% of new sellers are located in the Northeast . Targeting a total seller base of 350 relationships by year end (2) Selected Operational Metrics 4Q13 1Q14 Correspondent lending business partners 229 271 Purchase money loans, as % of total acquisitions 79% 80% 1Q14 Earnings Report (2)

Correspondent Lending's Results Reflect Tight Margins ($ in thousands) Quarter Ended March 31, 2014 As % of Interest Rate Lock Commitments(1) Revenues: Net gain on mortgage loans acquired for sale 9,971 $ 0.45% Net interest expense (20) 0.00% Other income 2,356 0.11% 12,307 $ 0.55% Expenses: Loan fulfillment, Servicing, and Management fees payable to PennyMac Financial Services, Inc. Other 88 0.00% 9,159 $ 0.41% Pretax income 3,148 $ 0.14% 9,071 $ 0.41% CorrespondentLending 11 • Reduced pretax income driven by continued market contraction and heightened competition for conventional conforming loans; seasonal/weather-related factors also impacted volumes – Pretax margin declined 11 bps from 4Q13 – Short inventory holding periods and low-cost debt financing produce desirable returns on equity and an ongoing MSR investment for PMT • Fulfillment fee expense declined $2.2 million Q/Q from lower funding volume; average fulfillment fee paid for the quarter remained at 46 bps (1) Conventional and jumbo interest rate lock commitments. (2) Contractual fulfillment fee is in general 0.50% of the funding of conventional and jumbo loans, subject to reduction at PFSI’s sole discretion and specified reductions as certain monthly volume levels are attained. 1Q14 Earnings Report Note: Figures may not sum exactly due to rounding (2)

$180 $227 $270 $291 $301 $139 $151 $180 $227 $273 $429 $452 $0 $100 $200 $300 $400 $500 1Q13 2Q13 3Q13 4Q13 1Q14 Excess servicing spread (ESS) MSRs MSR and ESS Investments Continue To Grow 12 MSR and ESS Assets at Period End ($ in millions) • Organic growth of MSR investments results from the industry’s largest non-bank correspondent aggregation business • New investments in ESS during the quarter from mini-bulk and flow MSR acquisitions by PFSI 1Q14 Earnings Report

Financial Results

Investment Correspondent Intersegment Total Pretax ($ in millions) Activities Lending Eliminations Income 1Q13 50.3 $ 8.9 $ (3.3) $ 55.9 $ 2Q13 39.8 $ 28.1 $ - $ 67.9 $ 3Q13 36.4 $ (0.3) $ - $ 36.1 $ 4Q13 48.4 $ 6.3 $ - $ 54.7 $ 1Q14 33.1 $ 3.1 $ - $ 36.3 $ 14 Pretax Income by Operating Segment Note: Figures may not sum exactly due to rounding 1Q14 Earnings Report

Quarter Ended ($ in thousands) March 31, 2014 December 31, 2013 Revenues: Net gain on investments 42,585 $ 47,858 $ Net interest income Interest income 36,598 39,267 Interest expense 17,007 16,822 19,591 22,445 Net loan servicing fees 7,421 12,229 Other (5,309) (4,488) Total revenues 64,288 78,044 Expenses: Servicing and management fees payable to PennyMac Financial Services, Inc Other 8,651 8,887 Total expenses 31,147 29,650 Pretax income 33,141 $ 48,394 $ 22,496 20,763 15 1Q14 Investment Activities Segment Results • Segment revenue was down 18% Q/Q: – Net gain on investments declined 11% Q/Q o Lower distressed loan valuation gains o Fair value loss on ESS investments due to lower interest rates at quarter end, partially offset by recapture income of $1.9 million from PFSI – Net interest income declined 13% Q/Q, due to a reduction in capitalized interest from lower modification activity – Net servicing fee revenue declined 39% Q/Q, largely due to fair value adjustments and impairment on MSRs for the quarter • Expenses rose 5% Q/Q due to higher servicing fees on a growing portfolio – Growth in both non-performing loan investments and MSR portfolio – Includes $2.9 million in loan liquidation fees from the sale of performing loans in January (1) Servicing fees include both special servicing for PMT’s distressed portfolio and subservicing for PMT’s mortgage servicing rights. (1) 1Q14 Earnings Report

($ in thousands) March 31, 2014 December 31, 2013 Valuation Changes: Performing loans (3,286) $ 9,897 $ Nonperfoming loans 36,459 34,793 33,173 44,690 Payoffs 5,620 5,888 Sales 1,125 - 39,918 $ 50,578 $ Quarter ended ($ in thousands) Quarter ended March 31, 2014 Gain on Proceeds liquidation(3) Mortgage loans 58,201 $ 9,081 $ 5,621 $ Performing loan sale 193,967 44,160 1,125 REO 33,392 2,974 2,267 285,560 $ 56,215 $ 9,013 $ Accumulated gains(2) 16 Investment Gains and Cash Flows from the Distressed Loan Portfolio • Gain on nonperforming loans increased from 4Q13 driven by resolution activity from recent acquisitions – Partially offset by slower rates of home price appreciation and lower liquidation activity from severe winter weather • Loss on performing loans results from adjustment for capitalized interest from loan modifications – Interest income resulting from loan modifications(1) totaled $12.5 million • Cash proceeds from liquidation activity on loans and REO totaled $285.6 million – Excluding the bulk sale of performing loans completed in the quarter, cash proceeds totaled $91.6 million – Accumulated gains on assets liquidated during the quarter net of performing loan sales were $12.1 million and gains on liquidation totaled $7.9 million Net Gains on Mortgage Loans Gain on Liquidation (1) Loan modifications increase interest income and reduce loan valuation gains in the short term (2) Represents valuation gains and losses recognized during the period we held the respective asset, but excludes the gain or loss recorded upon sale or repayment of the respective asset (3) Represents the gain or loss recognized as of the date of sale or repayment of the respective asset 1Q14 Earnings Report

At 3/31/14 Under lower of amortized cost or fair value Under fair value Fair value UPB $23,897 $3,427 $22,246 Weighted average coupon 3.70% 4.79% 4.40% Prepayment speed assumption (CPR) 8.3% 9.4% 10.4% Weighted average servicing fee/spread 0.26% 0.25% 0.16% Fair value $289.9 $36.2 $151.0 As multiple of servicing fee 4.71 4.15 4.34 Carrying (accounting) value $265.2 $36.2 $151.0 Fair value in excess of carrying value $24.7 Excess Servicing Spread Mortgage Servicing Rights ($ in millions) 17 Valuation of MSRs and Excess Servicing Spread (ESS) • PMT carries most of its 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 in excess of carrying value decreased due a decline in interest rates and increasing expectations for prepayments 1Q14 Earnings Report

18 1Q14 Correspondent Segment Results • Segment revenue declined 32% from 4Q13 to $12.3 million – Net gain on mortgage loans acquired for sale fell 28% Q/Q to $10.0 million o Conventional and jumbo lock volumes decreased 13% Q/Q • Expenses declined 22% from 4Q13 – Fulfillment fee expense decreased due to a 21% Q/Q decline in conventional and jumbo funding volumes 1Q14 Earnings Report Quarter Ended ($ in thousands) March 31, 2014 December 31, 2013 Revenues: Net gain on mortgage loans acquired for sale 9,971 $ 13,921 $ Net interest income (expense) Interest income 3,635 5,576 Interest expense 3,655 4,454 (20) 1,122 Other income 2,356 3,000 Total revenues 12,307 18,043 Expenses: Loan fulfillment fees and management fees payable to PennyMac Financial Services, Inc Other 88 298 Total expenses 9,159 11,708 Pretax income 3,148 $ 6,335 $ 9,071 11,410

Appendix

($ in millions) 1Q13 2Q13 3Q13 4Q13 1Q14 Fundings Conventional 4,779 $ 4,216 $ 3,608 $ 2,419 $ 1,907 $ Government 3,739 4,262 3,992 3,340 2,913 Jumbo 8 107 74 14 13 Total 8,526 $ 8,586 $ 7,674 $ 5,773 $ 4,833 $ Locks Conventional 4,240 $ 5,069 $ 2,923 $ 2,532 $ 2,163 $ Government 3,785 4,739 3,718 3,455 3,282 Jumbo 100 158 22 20 66 Total 8,126 $ 9,966 $ 6,662 $ 6,008 $ 5,512 $ Fundings and Locks by Product 20 Note: Figures may not sum exactly due to rounding 1Q14 Earnings Report

Purchase 1Q14 Purchase 1Q14 Purchase 1Q14 Purchase 1Q14 Balance ($mm) 182.7 $ 48.1 Balance ($mm) 195.5 $ 44.7 Balance ($mm) 146.2 $ 29.9 Balance ($mm) 277.8 $ 85.4 Pool Factor(1) 1.00 0.26 Pool Factor(1) 1.00 0.23 Pool Factor(1) 1.00 0.20 Pool Factor(1) 1.00 0.31 Current 6.2% 27.8% Current 5.1% 25.2% Current 1.2% 22.7% Current 5.0% 27.7% 30 1.6% 5.5% 30 2.0% 8.6% 30 0.4% 8.2% 30 4.0% 7.2% 60 5.8% 4.8% 60 4.1% 1.7% 60 1.3% 5.9% 60 5.1% 4.0% 90+ 37.8% 13.9% 90+ 42.8% 20.2% 90+ 38.2% 21.5% 90+ 26.8% 21.1% FC 46.4% 37.9% FC 45.9% 33.7% FC 58.9% 28.0% FC 59.1% 27.8% REO 2.3% 10.2% REO 0.0% 10.7% REO 0.0% 13.6% REO 0.0% 12.3% Purchase 1Q14 Purchase 1Q14 Purchase 1Q14 Purchase 1Q14 Balance ($mm) 515.1 $ 203.5 Balance ($mm) 259.8 $ 119.1 Balance ($mm) 542.6 $ 209.2 Balance ($mm) 49.0 $ 31.7 Pool Factor(1) 1.00 0.40 Pool Factor(1) 1.00 0.46 Pool Factor(1) 1.00 0.39 Pool Factor(1) 1.00 0.65 Current 2.0% 25.6% Current 11.5% 30.0% Current 0.6% 19.3% Current 0.2% 25.3% 30 1.9% 6.3% 30 6.5% 7.0% 30 1.3% 3.1% 30 0.1% 8.1% 60 3.9% 1.9% 60 5.2% 3.2% 60 2.0% 3.2% 60 0.2% 1.7% 90+ 25.9% 19.1% 90+ 31.2% 22.9% 90+ 22.6% 25.7% 90+ 70.4% 26.8% FC 66.3% 38.0% FC 43.9% 27.9% FC 73.0% 36.9% FC 29.0% 30.7% REO 0.0% 9.1% REO 1.7% 9.0% REO 0.4% 11.9% REO 0.0% 7.4% Purchase 1Q14 Purchase 1Q14 Purchase 1Q14 Balance ($mm) 402.5 $ 204.9 Balance ($mm) 357.2 $ 262.3 Balance ($mm) 290.3 $ 230.2 Pool Factor(1) 1.00 0.51 Pool Factor(1) 1.00 0.73 Pool Factor(1) 1.00 0.79 Current 45.0% 37.4% Current 0.0% 22.0% Current 3.1% 26.2% 30 4.0% 9.0% 30 0.0% 1.7% 30 1.3% 6.1% 60 4.3% 4.5% 60 0.1% 1.2% 60 5.4% 3.3% 90+ 31.3% 22.5% 90+ 49.1% 17.0% 90+ 57.8% 18.9% FC 15.3% 18.6% FC 50.8% 44.8% FC 32.4% 32.7% REO 0.1% 8.0% REO 0.0% 13.4% REO 0.0% 12.8% No Pools Purchased in this Quarter. 1Q12 2Q12 3Q12 4Q12 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 Distressed Portfolio by Acquisition Period 21 (1) Ratio of unpaid principal balance remaining to unpaid principal balance at acquisition 1Q14 Earnings Report

Purchase 1Q14 Purchase 1Q14 Purchase 1Q14 Purchase 1Q14 Balance ($mm) 366.2 $ 296.0 Balance ($mm) 397.3 $ 358.6 Balance ($mm) 929.5 $ 865.1 Balance ($mm) 507.3 $ 438.4 Pool Factor(1) 1.00 0.81 Pool Factor(1) 1.00 0.90 Pool Factor(1) 1.00 0.93 Pool Factor(1) 1.00 0.86 Current 1.6% 35.2% Current 4.8% 12.1% Current 0.8% 6.6% Current 1.4% 6.6% 30 1.5% 6.2% 30 7.4% 5.8% 30 0.3% 0.8% 30 0.2% 1.2% 60 3.5% 3.3% 60 7.6% 4.6% 60 0.7% 0.7% 60 0.0% 0.9% 90+ 82.2% 23.6% 90+ 45.3% 31.5% 90+ 58.6% 39.6% 90+ 38.3% 37.9% FC 11.2% 22.7% FC 34.9% 40.2% FC 39.6% 45.6% FC 60.0% 51.7% REO 0.0% 8.9% REO 0.0% 5.9% REO 0.0% 6.6% REO 0.0% 1.7% 1Q13 2Q13 3Q13 4Q13 Distressed Portfolio by Acquisition Period (cont.) 22 (1) Ratio of unpaid principal balance remaining to unpaid principal balance at acquisition 1Q14 Earnings Report

$494 $772 $786 $0 $200 $400 $600 $800 $1,000 Fair Value on Balance Sheet Collateral Value Unpaid Principal Balance $1,585 $2,215 $2,549 $0 $400 $800 $1,200 $1,600 $2,000 $2,400 $2,800 Fair Value on Balance Sheet Collateral Value Unpaid Principal Balance 1Q14 Earnings Report 23 Nonperforming Loans (at March 31, 2014) Performing Loans (at March 31, 2014) • Nonperforming loans are held on the balance sheet at a discount to the UPB and collateral value – Returns realized over time through property resolution strategies, including short sales and deeds-in-lieu of foreclosure • Performing loans are held on the balance sheet at a discount to the UPB and collateral value – Returns realized over time through interest income and restructure / refinance strategies Carrying Values for PMT’s Distressed Whole Loans (in millions) (in millions)