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): August 2, 2022

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.)

3043 Townsgate Road, Westlake Village, California	91361
(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:

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

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

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

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

Securities registered pursuant to Section 12(b) of the Act:

Title of each class	Trading Symbol(s)	Name of each exchange on which registered
Common Shares of Beneficial Interest, $0.01 par value	PMT	New York Stock Exchange
8.125% Series A Cumulative Redeemable Preferred Shares of Beneficial Interest, $0.01 par value	PMT/PA	New York Stock Exchange
8.00% Series B Cumulative Redeemable Preferred Shares of Beneficial Interest, $0.01 par value	PMT/PB	New York Stock Exchange
6.75% Series C Cumulative Redeemable Preferred Shares of Beneficial Interest, $0.01 par value	PMT/PC	New York Stock Exchange

Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).

Emerging growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Item 2.02 Results of Operations and Financial Condition.

On August 2, 2022, PennyMac Mortgage Investment Trust (the “Company”) issued a press release announcing its financial results for the fiscal quarter ended June 30, 2022. 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 August 2, 2022 and are furnished as Exhibits 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 August 2, 2022, issued by PennyMac Mortgage Investment Trust pertaining to its financial results for the fiscal quarter ended June 30, 2022.
99.2	Slide Presentation for use beginning on August 2, 2022 in connection with a recorded presentation of financial results for the fiscal quarter ended June 30, 2022.
104	Cover Page Interactive Data File (embedded within the Inline XBRL document)

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: August 2, 2022	/s/ Daniel S. Perotti
	Daniel S. Perotti Senior Managing Director and Chief Financial Officer

EX-99.1

Exhibit 99.1

PennyMac Mortgage Investment Trust Reports

Second Quarter 2022 Results

WESTLAKE VILLAGE, Calif., August 2, 2022 – PennyMac Mortgage Investment Trust (NYSE: PMT) today reported a net loss attributable to common shareholders of $81.2 million, or $(0.88) per common share on a diluted basis for the second quarter of 2022, on net investment income of $21.5 million. PMT previously announced a cash dividend for the second quarter of 2022 of $0.47 per common share of beneficial interest, which was declared on June 2, 2022 and paid on July 28, 2022 to common shareholders of record as of July 14, 2022.

Second Quarter 2022 Highlights

Financial results:

• Net loss attributable to common shareholders of $81.2 million, compared to a net loss of $29.6 million in the prior quarter

o Credit sensitive strategies impacted by fair value decreases resulting from credit spread widening

o Returns in correspondent production and interest rate sensitive strategies partially offset by $30.9 million of tax provisions in PMT’s taxable REIT subsidiary

• Repurchased 1.9 million PMT common shares at an average price of $14.72 per share for a cost of $28.4 million; also repurchased an additional 510 thousand shares in July at an average price of $14.30 per share at a cost of $7.3 million

• Issued $305 million of 5-year term notes secured by Fannie Mae mortgage servicing rights (MSRs)

• Book value per common share decreased to $16.59 at June 30, 2022 from $17.87 at March 31, 2022

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Other investment highlights:

• Investment activity driven by correspondent production volumes

o Conventional correspondent loan production volumes of $10.3 billion in unpaid principal balance (UPB), up 6% from the prior quarter

— Resulted in $171 million in new mortgage servicing rights (MSRs)

“PMT reported a net loss for the second quarter as fair value declines in its credit sensitive strategies due to continued spread widening more than offset strong performance from its strategies excluding the impacts of market-driven fair value changes,” said Chairman and CEO David Spector. “Additionally, PMT recorded a tax expense related to fair value gains on its MSR assets in its taxable REIT subsidiary, which also impacted results. However, the recent increase in spreads has improved our projected return potential for PMT’s investment portfolio going forward and presents opportunities for PMT to invest additional capital at attractive risk-adjusted returns. With our deep management team that has years of experience executing through mortgage cycles, a strong balance sheet, sophisticated financing structures and hedging strategies that mitigate volatility in book value and preserve a strong liquidity position, PMT is well-positioned to deliver attractive returns to its shareholders in the long term.”   

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The following table presents the pretax income contributions of PMT’s segments:

	Quarter ended June 30, 2022
	Credit sensitive strategies			Interest rate sensitive strategies			Correspondent production		Corporate			Consolidated
	(in thousands)
Net investment income:
Net losses on investments and    financings:
CRT investments	$	(42,355	)	$	-		$	-	$	-		$	(42,355	)
Loans at fair value		5			-			-		-			5
Loans held by variable interest    entity net of asset-backed    secured financing		(5,802	)		-			-		-			(5,802	)
Mortgage-backed securities		(9,659	)		(172,839	)		-		-			(182,498	)
		(57,811	)		(172,839	)		-		-			(230,650	)
Net gains on loans acquired for    sale		9			-			7,662		-			7,671
Net loan servicing fees		-			217,313			-		-			217,313
Net interest (expense) income:
Interest income		5,919			60,895			23,393		491			90,698
Interest expense		10,428			55,154			12,101		467			78,150
		(4,509	)		5,741			11,292		24			12,548
Other income		(28	)		-			14,646		-			14,618
		(62,339	)		50,215			33,600		24			21,500
Expenses:
Loan fulfillment and servicing    fees payable to PennyMac    Financial Services, Inc.		51			20,284			20,646		-			40,981
Management fees payable to    PennyMac Financial Services,    Inc.		-			-			-		7,910			7,910
Other		1,323			562			3,174		7,418			12,477
	$	1,374		$	20,846		$	23,820	$	15,328		$	61,368
Pretax (loss) income	$	(63,713	)	$	29,369		$	9,780	$	(15,304	)	$	(39,868	)

Credit Sensitive Strategies Segment

The Credit Sensitive Strategies segment primarily includes results from PMT’s organically-created government sponsored enterprise (GSE) credit risk transfer (CRT) investments, investments in non-agency subordinate bonds from private-label securitizations of PMT’s production, opportunistic investments in GSE CRT and other legacy investments. Pretax loss for the segment was $63.7 million on net investment losses of $62.3 million, compared to pretax loss of $56.0 million on net investment losses of $52.7 million in the prior quarter.

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Net losses on investments in the segment were$57.8million, compared to net losses on investments of $44.9 million in the priorquarter and included $42.4 million in netlosses on PMT’s organically-created GSE CRT investments, $5.8million in net losses from investments in non-agency subordinate bonds from PMT’s production and$9.7 million in net losses on other acquired suborindate CRTmortgage-backed securities (MBS).

Net losses on PMT’s organically-created CRT investments for the quarter were $42.4 million, compared to net losses of $35.6 million in the prior quarter, and included $67.0 million in valuation-related losses, which reflected the impact of credit spread widening. The prior quarter included $74.9 million in valuation-related losses. Net losses on PMT’s organically-created CRT investments also included $20.2 million in realized gains and carry, compared to $23.3 million in the prior quarter. Recoveries net of realized losses during the quarter were $4.5 million, down from $16.0 million in the prior quarter primarily related to L Street Securities 2017-PM1, as losses were reversed for loans that had been in forbearance and reperformed. We believe the majority of potential loss reversals related to COVID-19 forbearance plans have been realized and do not expect a meaningful contribution from these loss reversals in the future.

During the quarter, PMT invested $39 million in floating-rate CRT bonds issued by Freddie Mac and Fannie Mae.

Net interest expense for the segment totaled $4.5 million, compared to $8.1 million in the prior quarter. Interest income totaled $5.9 million, up from $2.1 million in the prior quarter primarily due to higher earnings rates on deposits securing CRT arrangements. Interest expense totaled $10.4 million, up from $10.1 million in the prior quarter.

Segment expenses were $1.4 million, down from $3.3 million in the prior quarter.

Interest Rate Sensitive Strategies Segment

The Interest Rate Sensitive Strategies segment includes results from investments in MSRs, Agency MBS, non-Agency senior MBS and interest rate hedges. Pretax income for the segment was $29.4 million on net investment income of $50.2 million, compared to a pretax income of $84.2 million on net investment income of $107.4 million in the prior quarter. The segment includes investments that typically have offsetting fair value exposures to changes in interest rates. For example, in a period with increasing interest rates, MSRs are expected to increase in fair value whereas Agency pass through and non-Agency senior MBS are expected to decrease in fair value.

The results in the Interest Rate Sensitive Strategies segment consist of net gains and losses on investments, net interest income and net loan servicing fees, as well as associated expenses.

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Net losses on investments for the segment was $172.8 millionandconsistedof losses on MBS due to higher interest rates.

Net loan servicing fees were $217.3 million, compared to $304.2 million in the prior quarter. Net loan servicing fees included servicing fees of $151.1 million, up from $146.9 in the prior quarter primarily due to portfolio growth, and $7.2 million in other fees, reduced by $86.6 million in realization of MSR cash flows. Net loan servicing fees also included $220.4million in fair value increases of MSRs, $78.1 million in related hedging declines, and $3.3 million of MSR recapture income.PMT’s hedging activities are intended to manage the Company’s net exposure across all interest rate sensitive strategies, which include MSRs and MBS.

The following schedule details net loan servicing fees:

	Quarter ended
	June 30, 2022			March 31, 2022			June 30, 2021
	(in thousands)
From non-affiliates:
Contractually specified(1)	$	151,149		$	146,885		$	124,019
Other fees		7,179			9,114			24,902
Effect of MSRs:
Carried at fair value—change in fair value
Realization of cashflows		(86,643	)		(88,919	)		(69,613	)
Market changes		220,422			392,640			(229,885	)
		133,779			303,721			(299,498	)
Hedging results		(78,118	)		(163,802	)		94,116
		55,661			139,919			(205,382	)
Net servicing fees from non-affiliates		213,989			295,918			(56,461	)
From PFSI—MSR recapture income		3,324			8,260			11,549
Net loan servicing fees	$	217,313		$	304,178		$	(44,912	)
(1) Includes contractually specified servicing fees, net of guarantee fees.

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The fair value of the MSR increased by $220.4 million in the quarter, driven by higher mortgage rates which resulted in expectations for lower prepayment activity in the future. Agency MBS and interest rate hedges decreased in fair value as a result of increases in market interest rates.

Net interest income for the segment was $5.7 million, versus net interest expense of $12.6 million in the prior quarter. Interest income totaled $60.9 million, up from $29.1 million in the prior quarter due to higher average MBS balances and interest rates and increased placement fee income on custodial balances as a result of higher short-term interest rates. Interest expense totaled $55.2 million, up from $41.7 in the prior quarter primarily due to the impact of higher financing costs on larger average MSR and MBS balances.

Segment expenses were $20.8 million, down from $23.2 million in the prior quarter.

Correspondent Production Segment

PMT acquires newly originated loans from correspondent sellers and typically sells or securitizes the loans, resulting in current-period income and additions to its investments in MSRs related to most of its production. PMT’s Correspondent Production segment generated pretax income of $9.8million, up from $4.6 million in the prior quarter.

Through its correspondent production activities, PMT acquired $21.0 billion in UPB of loans, down 7 percent from the prior quarter. Of total correspondent acquisitions, conventional conforming acquisitions totaled $10.3 billion, and government-insured or guaranteed acquisitions totaled $10.6 billion, up from $9.8 billion and down from $12.7 billion, respectively, in the prior quarter. Interest rate lock commitments on conventional loans totaled $11.1 billion, up from $10.2 billion in the prior quarter.

Segment revenues were $33.6 million, up from $26.5 million the prior quarter and included other income of $14.6 million, which primarily consists of volume-based origination fees, net interest income of $11.3 million, and net gains on loans acquired for sale of $7.7 million. Net gain on loans acquired for sale in the quarter increased from the prior quarter as a result of higher conventional acquisition volumes and gain on sale margins.  Interest income was $23.4 million, up from $19.2 million in the prior quarter, and interest expense was $12.1 million, up from $11.6 million in the prior quarter, both due to higher volumes.

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Segment expenses were $23.8 million, upfrom $22.0 million in the priorquarterdriven by the increase inacquisitionvolumesand an increase in the weighted average fulfillment fee rate.The weighted average fulfillment fee rate in the secondquarter was 20basis points, upfrom 17 basis points in the prior quarter.

Corporate Segment

The Corporate segment includes interest income from cash and short-term investments, management fees, and corporate expenses.

Segment revenues were $24,000, down from $0.6 million in the prior quarter. Management fees were $7.9 million, down from $8.1 million in the prior quarter. Other segment expenses were $7.4 million, up slightly from the prior quarter.

Taxes

PMT recorded a provision for tax expense of $30.9 million primarily driven by fair value increases in MSRs held in PMT’s taxable subsidiary.

***

Management’s slide presentation will be available in the Investor Relations section of the Company’s website at www.pennymac-reit.com beginning after the market closes on Tuesday, August 2, 2022.

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.  PMT is externally managed by PNMAC Capital Management, LLC, a wholly-owned subsidiary of PennyMac Financial Services, Inc. (NYSE: PFSI).  Additional information about PennyMac Mortgage Investment Trust is available at www.pennymac-reit.com.

Media	Investors
Kristyn Clark	Kevin Chamberlain
kristyn.clark@pennymac.com	Isaac Garden
(805) 395-9943	investorrelations@pennymac.com
	(818) 224-7028

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Forward-Looking Statements

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 interest rates; our exposure to risks of loss and disruptions in operations resulting from adverse weather conditions, man-made or natural disasters, climate change and pandemics such as COVID-19; the impact to our CRT agreements of increased borrower requests for forbearance under the CARES Act; changes in the Company’s investment objectives or investment or operational strategies, including any new lines of business or new products and services that may subject it to additional risks; volatility in the Company’s industry, the debt or equity markets, the general economy or the real estate finance and real estate markets; events or circumstances which undermine confidence in the financial and housing markets or otherwise have a broad impact on financial and housing markets, such as the sudden instability or collapse of large depository institutions or other significant corporations, terrorist attacks, natural or manmade disasters, or threatened or actual armed conflicts; changes in general business, economic, market, employment and domestic and international political conditions, or in consumer confidence and spending habits from those expected; the degree and nature of the Company’s competition; declines in real estate or significant changes in U.S. housing prices or activity in the U.S. housing market; the availability of, and level of competition for, attractive risk-adjusted investment opportunities in mortgage loans and mortgage-related assets that satisfy the Company’s investment objectives; the inherent difficulty in winning bids to acquire mortgage loans, and the Company’s success in doing so; the concentration of credit risks to which the Company is exposed; the Company’s dependence on its manager and servicer, potential conflicts of interest with such entities and their affiliates, and the performance of such entities; changes in personnel and lack of availability of qualified personnel at its manager, servicer or their affiliates; the availability, terms and deployment of short-term and long-term capital; the adequacy of the Company’s cash reserves and working capital; the Company’s ability to maintain the desired relationship between its financing and the interest rates and maturities of its assets; the timing and amount of cash flows, if any, from the Company’s investments; our substantial amount of indebtedness; the performance, financial condition and liquidity of borrowers; the ability of the Company’s servicer, which also provides the Company with fulfillment services, to approve and monitor correspondent sellers and underwrite loans to investor standards; incomplete or inaccurate information or documentation provided by customers or counterparties, or adverse changes in the financial condition of the Company’s customers and counterparties; the Company’s indemnification and repurchase obligations in connection with mortgage loans it purchases and later sells or securitizes; the quality and enforceability of the collateral documentation evidencing the Company’s ownership and rights in the assets in which it invests; increased rates of delinquency, default and/or decreased recovery rates on the Company’s investments; the performance of mortgage loans underlying mortgage-backed securities in which the Company retains credit risk; the Company’s ability to foreclose on its investments in a timely manner or at all; increased prepayments of the mortgages and other loans underlying the Company’s mortgage-backed securities or relating to the Company’s mortgage servicing rights and other investments; the degree to which the Company’s hedging strategies may or may not protect it from interest rate volatility; the effect of the accuracy of or changes in the estimates the Company makes about uncertainties, contingencies and asset and liability valuations when measuring and reporting upon the Company’s financial condition and results of operations; the Company’s ability to maintain appropriate internal control over financial reporting; technologies for loans and the Company’s ability to mitigate security risks and cyber intrusions; the Company’s ability to obtain and/or maintain licenses and other approvals in those jurisdictions where required to conduct its business; the Company’s ability to detect misconduct and fraud; the Company’s ability to comply with various federal, state and local laws and regulations that govern its business; developments in the secondary markets for the Company’s

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mortgage loan products; legislative and regulatory changes that impact the mortgage loan industry or housing market; changes in regulations or the occurrence of other events that impact the business, operations or prospects of government agencies such as the Government National Mortgage Association, the Federal Housing Administration or the Veterans Administration, the U.S. Department of Agriculture, or government-sponsored entities such as the Federal National Mortgage Association or the Federal Home Loan Mortgage Corporation, or such changes that increase the cost of doing business with such entities; legislative and regulatory changes that impact the business, operations or governance of mortgage lenders and/or publicly-traded companies; the Consumer Financial Protection Bureau and its issued and future rules and the enforcement thereof; changes in government support of homeownership; changes in government or government-sponsored home affordability programs; limitations imposed on the Company’s business and its ability to satisfy complex rules for it 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 the Company’s subsidiaries to qualify as REITs or as taxable REIT subsidiaries for U.S. federal income tax purposes, as applicable, and the Company’s ability and the ability of its subsidiaries to operate effectively within the limitations imposed by these rules; changes in governmental regulations, accounting treatment, tax rates and similar matters; the Company’s ability to make distributions to its shareholders in the future; the Company’s failure to deal appropriately with issues that may give rise to reputational risk; and the Company’s organizational structure and certain requirements in its charter documents. 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 (UNAUDITED)

	June 30, 2022			March 31, 2022			June 30, 2021
	(in thousands except share amounts)
ASSETS
Cash	$	332,009		$	187,880		$	68,616
Short-term investments at fair value		88,818			236,468			44,890
Mortgage-backed securities at fair value		3,853,076			3,070,330			2,309,864
Loans acquired for sale at fair value		1,793,665			1,708,745			5,535,300
Loans at fair value		1,654,483			1,826,482			350,401
Derivative assets		17,372			77,823			88,278
Deposits securing credit risk transfer arrangements		1,430,759			1,536,862			2,256,047
Mortgage servicing rights at fair value		3,695,609			3,391,172			2,551,373
Servicing advances		90,716			134,002			111,858
Due from PennyMac Financial Services, Inc.		3,582			20,562			19,216
Other		257,190			197,189			262,269
Total assets	$	13,217,279		$	12,387,515		$	13,598,112
LIABILITIES
Assets sold under agreements to repurchase	$	5,646,402		$	5,092,700		$	7,193,671
Mortgage loan participation purchase and sale agreements		79,269			65,699			28,037
Notes payable secured by credit risk transfer    and mortgage servicing assets		2,741,750			2,372,279			2,829,177
Exchangeable senior notes		544,803			544,100			496,825
Asset-backed financings at fair value		1,548,636			1,712,650			321,875
Interest-only security payable at fair value		19,485			16,373			13,185
Derivative and credit risk transfer strip liabilities    at fair value		278,499			129,350			86,681
Accounts payable and accrued liabilities		123,459			117,682			170,458
Due to PennyMac Financial Services, Inc.		43,234			27,722			61,883
Income taxes payable		81,661			46,797			16,616
Liability for losses under representations and warranties		39,441			40,225			36,314
Total liabilities		11,146,639			10,165,577			11,254,722
SHAREHOLDERS' EQUITY
Preferred shares of beneficial interest		541,482			541,482			299,707
Common shares of beneficial interest—authorized,    500,000,000 common shares of $0.01 par value;    issued and outstanding 91,081,067, 93,007,076,    and 97,911,249 common shares, respectively		911			930			979
Additional paid-in capital		1,972,849			2,000,107			2,138,422
Accumulated deficit		(444,602	)		(320,581	)		(95,718	)
Total shareholders' equity		2,070,640			2,221,938			2,343,390
Total liabilities and shareholders' equity	$	13,217,279		$	12,387,515		$	13,598,112

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PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED)

	For the Quarterly Periods Ended
	June 30, 2022			March 31, 2022			June 30, 2021
	(in thousands, except per share amounts)
Investment Income
Net loan servicing fees:
From nonaffiliates
Servicing fees	$	158,328		$	155,999		$	148,921
Change in fair value of mortgage servicing rights		133,779			303,721			(299,498	)
Hedging results		(78,118	)		(163,802	)		94,116
		213,989			295,918			(56,461	)
From PennyMac Financial Services, Inc.		3,324			8,260			11,549
		217,313			304,178			(44,912	)
Net (losses) gains on investments and financings		(230,650	)		(229,095	)		128,405
Net gains on loans acquired for sale		7,671			3,953			27,726
Loan origination fees		14,428			14,774			45,714
Interest income		90,698			51,063			43,686
Interest expense		78,150			63,514			79,202
Net interest income (expense)		12,548			(12,451	)		(35,516	)
Other		190			480			149
Net investment income		21,500			81,839			121,566
Expenses
Earned by PennyMac Financial Services, Inc.:
Loan servicing fees		20,335			21,088			20,015
Loan fulfillment fees		20,646			16,754			54,020
Management fees		7,910			8,117			11,913
Loan origination		2,782			2,842			7,986
Professional services		1,252			4,025			1,897
Loan collection and liquidation		1,251			3,177			3,975
Safekeeping		1,021			2,395			2,592
Compensation		1,549			1,437			1,328
Other		4,622			3,946			4,043
Total expenses		61,368			63,781			107,769
(Loss) income before provision for (benefit from) income taxes		(39,868	)		18,058			13,797
Provision for (benefit from) income taxes		30,866			37,187			(24,295	)
Net (loss) income		(70,734	)		(19,129	)		38,092
Dividends on preferred shares		10,455			10,455			6,235
Net (loss) income attributable to common shareholders	$	(81,189	)	$	(29,584	)	$	31,857
(Loss) earnings per share
Basic	$	(0.88	)	$	(0.32	)	$	0.32
Diluted	$	(0.88	)	$	(0.32	)	$	0.32
Weighted average shares outstanding
Basic		91,963			94,146			97,927
Diluted		91,963			94,146			98,034

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EX-99.2

2Q22 EARNINGS REPORT PennyMac Mortgage Investment Trust August 2022 Exhibit 99.2

FORWARD LOOKING STATEMENTS 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 and from past results discussed herein. These forward-looking statements include, but are not limited to, statements regarding future changes in interest rates and prepayment rates; the impact of the COVID-19 pandemic on our business; future loan originations and production; future loan delinquencies and forbearances; future investment strategies, including the resumption of lender risk share transactions; and other business and financial expectations. Factors which could cause actual results to differ materially from historical results or those anticipated include, but are not limited to: changes in interest rates; our exposure to risks of loss and disruptions in operations resulting from adverse weather conditions, man-made or natural disasters, climate change and pandemics such as COVID-19; the impact to our CRT agreements of increased borrower requests for forbearance under the CARES Act; changes in the Company’s investment objectives or investment or operational strategies, including any new lines of business or new products and services that may subject it to additional risks; volatility in the Company’s industry, the debt or equity markets, the general economy or the real estate finance and real estate markets; events or circumstances which undermine confidence in the financial and housing markets or otherwise have a broad impact on financial and housing markets, such as the sudden instability or collapse of large depository institutions or other significant corporations, terrorist attacks, natural or manmade disasters, or threatened or actual armed conflicts; changes in general business, economic, market, employment and domestic and international political conditions, or in consumer confidence and spending habits from those expected; the degree and nature of the Company’s competition; declines in real estate or significant changes in U.S. housing prices or activity in the U.S. housing market; the availability of, and level of competition for, attractive risk-adjusted investment opportunities in mortgage loans and mortgage-related assets that satisfy the Company’s investment objectives; the inherent difficulty in winning bids to acquire mortgage loans, and the Company’s success in doing so; the concentration of credit risks to which the Company is exposed; the Company’s dependence on its manager and servicer, potential conflicts of interest with such entities and their affiliates, and the performance of such entities; changes in personnel and lack of availability of qualified personnel at its manager, servicer or their affiliates; the availability, terms and deployment of short-term and long-term capital; the adequacy of the Company’s cash reserves and working capital; the Company’s ability to maintain the desired relationship between its financing and the interest rates and maturities of its assets; the timing and amount of cash flows, if any, from the Company’s investments; our substantial amount of indebtedness; the performance, financial condition and liquidity of borrowers; the ability of the Company’s servicer, which also provides the Company with fulfillment services, to approve and monitor correspondent sellers and underwrite loans to investor standards; incomplete or inaccurate information or documentation provided by customers or counterparties, or adverse changes in the financial condition of the Company’s customers and counterparties; the Company’s indemnification and repurchase obligations in connection with mortgage loans it purchases and later sells or securitizes; the quality and enforceability of the collateral documentation evidencing the Company’s ownership and rights in the assets in which it invests; increased rates of delinquency, default and/or decreased recovery rates on the Company’s investments; the performance of mortgage loans underlying mortgage-backed securities in which the Company retains credit risk; the Company’s ability to foreclose on its investments in a timely manner or at all; increased prepayments of the mortgages and other loans underlying the Company’s mortgage-backed securities or relating to the Company’s mortgage servicing rights and other investments; the degree to which the Company’s hedging strategies may or may not protect it from interest rate volatility; the effect of the accuracy of or changes in the estimates the Company makes about uncertainties, contingencies and asset and liability valuations when measuring and reporting upon the Company’s financial condition and results of operations; the Company’s ability to maintain appropriate internal control over financial reporting; technologies for loans and the Company’s ability to mitigate security risks and cyber intrusions; the Company’s ability to obtain and/or maintain licenses and other approvals in those jurisdictions where required to conduct its business; the Company’s ability to detect misconduct and fraud; the Company’s ability to comply with various federal, state and local laws and regulations that govern its business; developments in the secondary markets for the Company’s mortgage loan products; legislative and regulatory changes that impact the mortgage loan industry or housing market; changes in regulations or the occurrence of other events that impact the business, operations or prospects of government agencies such as the Government National Mortgage Association, the Federal Housing Administration or the Veterans Administration, the U.S. Department of Agriculture, or government-sponsored entities such as the Federal National Mortgage Association or the Federal Home Loan Mortgage Corporation, or such changes that increase the cost of doing business with such entities; legislative and regulatory changes that impact the business, operations or governance of mortgage lenders and/or publicly-traded companies; the Consumer Financial Protection Bureau and its issued and future rules and the enforcement thereof; changes in government support of homeownership; changes in government or government-sponsored home affordability programs; limitations imposed on the Company’s business and its ability to satisfy complex rules for it 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 the Company’s subsidiaries to qualify as REITs or as taxable REIT subsidiaries for U.S. federal income tax purposes, as applicable, and the Company’s ability and the ability of its subsidiaries to operate effectively within the limitations imposed by these rules; changes in governmental regulations, accounting treatment, tax rates and similar matters; the Company’s ability to make distributions to its shareholders in the future; the Company’s failure to deal appropriately with issues that may give rise to reputational risk; and the Company’s organizational structure and certain requirements in its charter documents. 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. This presentation contains financial information calculated other than in accordance with U.S. generally accepted accounting principles (“GAAP”), such as market-driven value changes that provide a meaningful perspective on the Company’s business results since the Company utilizes this information to evaluate and manage the business. Non-GAAP disclosure has limitations as an analytical tool and should not be viewed as a substitute for financial information determined in accordance with GAAP.

3 3 Net loss attributable to common shareholders(1) $(81)mm 2Q22 Results Diluted EPS(2) $(0.88) Return on common equity (20)% Book value per share $16.59 Dividend and Other Shares repurchased 1.9mm Dividend per common share $0.47 CREDIT SENSITIVE STRATEGIES INTEREST RATE SENSITIVE STRATEGIES CORRESPONDENT PRODUCTION Pretax income $(64)mm Pretax income $10mm Conventional correspondent production volume $10.3bn Fair value of organically-created GSE CRT(2) investments $1.3bn Correspondent seller relationships 777 Pretax income New MSR(2) investments $171mm Fair value of MSR investments $3.7bn $29mm Income excluding market-driven value changes(3) $19mm Income excluding market-driven value changes(3) $46mm Net loss driven primarily by fair value declines in PMT’s Credit Sensitive Strategies due to credit spread widening and tax provisions in its taxable REIT subsidiary, partially offset by results in its Interest Rate Sensitive Strategies and Correspondent Production segments Note: All figures are for 2Q22 or as of 6/30/22 (1) Net loss attributable to common shareholders includes a provision for tax expense of $31 million (2) EPS = earnings per share. GSE = Government-sponsored enterprises. CRT = credit risk transfer. MSR = mortgage servicing rights. (3) Excludes $83 million of market-driven value losses in the credit sensitive strategies and $17 million of market-driven value losses in the interest rate sensitive strategies – see slide 10 for additional details SECOND QUARTER HIGHLIGHTS

4 ORIGINATION MARKET HAS DECLINED MEANINGFULLY U.S. Mortgage Origination Market(1) ($ in trillions) Mortgage Rates Have Rapidly Increased Third party forecasts for 2022 total originations range from $2.4 trillion to $2.8 trillion, reflecting a substantial decline from 2021’s all-time record Excess industry capacity established in recent years is actively being reduced by market participants Purchase originations expected to comprise the majority of volume for the next few years Pennymac has historically over-indexed the purchase money market and is one of the largest producers of purchase-money loans in the U.S.(4) (1) Actual originations: Inside Mortgage Finance. Forecast originations: Average of Mortgage Bankers Association (7/18/22), Fannie Mae (7/11/22), and Freddie Mac (7/20/22) forecasts. (2) Freddie Mac Primary Mortgage Market Survey 5.30% as of 7/28/22 (3) Bloomberg: Difference between Freddie Mac Primary Mortgage Market Survey and the 30-Year Fannie Mae or Freddie Mac Par Coupon (MTGEFNCL) Index (4) Inside Mortgage Finance for the 12 months ended 3/31/22. Pennymac collectively refers to PFSI and PMT, a mortgage real estate investment trust listed on the New York Stock Exchange. (2) (3)

5 PMT’S POTENTIAL INVESTMENT OPPORTUNITIES LENDER-based CRT TRANSACTIONS WITH FANNIE MAE AND FREDDIE MAC Delivered nearly $120 billion in UPB of loans into CRT transactions with Fannie Mae from 2015 through 2020 Compelling rationale for lender risk share: Strong alignment of interest between the GSEs and PMT as the acquirer and servicer of the loans Provides improved capital relief for the GSEs under the amended Enterprise Regulatory Capital Framework De-risks the U.S. taxpayer by providing private capital to the housing finance ecosystem Actively engaged in discussions with Fannie Mae and Freddie Mac regarding resumption of lender-risk share transactions(1); PMT is well-positioned given our history, platform and expertise (1) Since the end of 2020, we have not created any new front-end lender risk share transactions and any future lender risk share transactions with Fannie Mae or Freddie Mac are subject to approval by the FHFA Current Opportunistic investments Rising interest rates and wider credit spreads have driven opportunities for PMT to deploy capital at attractive, long-term risk-adjusted returns Invested approximately $140 million in floating-rate CRT bonds issued by Fannie Mae and Freddie Mac in the first half of 2022; also invested $27 million in fixed-rate bonds from a senior tranche of a jumbo securitization Continue to monitor market opportunities to invest in high quality residential mortgage assets Fannie Mae CAS bonds and Freddie Mac STACR bonds Subordinate bonds from investor loan securitizations Senior and subordinate bonds from jumbo securitizations

6 RUN-RATE RETURN POTENTIAL FROM PMT’S INVESTMENT STRATEGIES Note: This slide presents estimates for illustrative purposes only, using PMT’s base case assumptions (e.g., for credit performance, prepayment speeds, financing economics, and loss treatment for CRT transactions as described on slide 26), and does not contemplate market-driven value changes other than realization of cash flows and hedge costs, or significant changes or shocks to current market conditions. Actual results may differ materially.  (1) Equity allocated represents management’s internal allocation. Certain financing balances and associated interest expenses are allocated between investments based on management’s assessment of target leverage ratios and required capital or liquidity to support the investment. (2) Includes legacy distressed loan portfolio and opportunistic investments in GSE CRT (3) ROE calculated as a percentage of segment equity (4) ROE calculated as a percentage of total equity Represents the average annualized return and quarterly earnings potential PMT expects from its strategies over the next four quarters Reflects performance expectations in the current mortgage market Return potential of PMT’s organically-created investments in GSE CRT increased slightly from the prior quarter as credit spreads continued to widen More consistent returns for the interest rate sensitive strategies given slower prepayment speeds High levels of competition in conventional correspondent production with low volumes and tight margins Excludes potential contributions from additional opportunistic investments or those under exploration, such as new investments in PMT’s organically-created GSE CRT or the introduction of new products PMT’s forecast for taxable income and liquidity continues to support the common dividend at its current level of $0.47 per share through 2022; thereafter, the dividend level will be driven primarily by projections of PMT's earnings potential

7 CORRESPONDENT PRODUCTION HIGHLIGHTS Note: May not sum due to rounding (1) For government loans, PMT earns a sourcing fee and interest income for its holding period and does not pay a fulfillment fee to PFSI (2) Conventional conforming interest rate lock commitments (3) Based on funded loans subject to fulfillment fees (1) Correspondent acquisitions in 2Q22 totaled $21.0 billion in UPB, down 7% Q/Q and 55% Y/Y 49% conventional loans; 51% government loans Conventional conforming acquisitions of $10.3 billion in UPB, up 6% Q/Q and down 66% Y/Y Government acquisitions of $10.6 billion in UPB, down 16% Q/Q and 34% Y/Y(1) Conventional lock volume was $11.1 billion in UPB, up 9% Q/Q and down 66% Y/Y(2) Volumes increased from the prior quarter as correspondents seek well-capitalized and reliable aggregators to sell loans servicing-released Pennymac remains the largest correspondent aggregator in the U.S. July correspondent acquisitions totaled $0.8 billion in UPB; locks were $1.4 billion in UPB Correspondent Production Volume and Mix (UPB in billions)

8 TRENDS IN MSR INVESTMENTS MSR assets were $3.7 billion as of June 30th, up from $3.4 billion at March 31st, 2022 Driven by fair value increases and newly originated MSR investments of $171 million resulting from PMT’s conventional production volumes UPB associated with MSR investments increased to $222.5 billion from $219.0 billion at March 31st, 2022 MSR Investments ($ in millions)

9 TRENDS IN PMT’S UNIQUE INVESTMENTS IN GSE CREDIT RISK TRANSFER UPB and fair value of PMT’s organically-created CRT investments declined from March 31st, 2022 due to fair value decreases that resulted from market credit spread widening and prepayments The 60+ day delinquency rate declined from March 31st, 2022 as the overall number of delinquent loans decreased faster than the decline in UPB Cumulative lifetime losses decreased due to recoveries of previously-recognized losses related to L Street Securities 2017-PM1 – see slide 23 Actively engaged in discussions with Fannie Mae and Freddie Mac regarding resumption of lender-risk share transactions(2) (1) The fair value of PMT’s organically created GSE CRT investments is reflected on PMT’s balance sheet as deposits securing CRT arrangements, and derivative and credit risk transfer strip assets or liabilities, net of the interest-only security payable (2) Since the end of 2020, we have not created any new front-end lender risk share transactions and any future lender risk share transactions with Fannie Mae or Freddie Mac are subject to approval by the FHFA (3) WA FICO and LTV metrics at origination for the population of loans remaining as of the date presented. Delinquent loans includes delinquent loans on forbearance plans. ($ in millions) Organically-Created GSE CRT Investments(1)

10 SECOND QUARTER RESULTS AND RETURN CONTRIBUTIONS BY STRATEGY Note: Amounts may not sum exactly due to rounding (1) Income contribution and the annualized return on equity calculated net of any direct expenses associated with investments (e.g., loan fulfillment fees and loan servicing fees), but before tax expenses. Some of the income associated with the investment strategies may be subject to taxation. (2) Categorization of income as market-driven value changes based on management assessment. Income excluding market-driven value changes does not represent REIT taxable income and is a non-GAAP figure. (3) Equity allocated represents management’s internal allocation. Certain financing balances and associated interest expenses are allocated between investments based on management’s assessment of target leverage ratios and required capital or liquidity to support the investment. (4) Includes legacy distressed loan portfolio and opportunistic investments in GSE CRT (5) ROE calculated as a percentage of total equity

11 HEDGING APPROACH CENTRAL TO PMT’S INTEREST RATE SENSITIVE INVESTMENTS PMT seeks to manage interest rate risk exposure on a “global” basis, recognizing interest rate sensitivities across its investment strategies In 2Q22, MSR fair value increased(1) Driven by higher mortgage rates, resulting in expectations for lower prepayment activity in the future Resulted in a provision for income tax Partially offset by fair value declines in Agency MBS and interest rate hedges Primarily driven by higher interest rates MSR Valuation Changes and Offsets ($ in millions) (1) Before recognition of realization of cash flows

CRT Financing MSR Financing 12 PMT’S FLEXIBLE AND SOPHISTICATED FINANCING STRUCTURES CRT term notes do not contain mark-to-market provisions CRT transactions currently financed by term notes with upcoming maturities are expected to be financed with securities repurchase agreements or refinanced with the subsequent issuance of additional term notes All CRT term notes contain the ability to extend the maturity for 2 years at PMT’s discretion, except $244 million of CRT Term Notes due December 2022 Issued $305 million in new 5-year term notes secured by FNMA MSR Maturity profile of MSR term notes aligns more closely with the expected life of the MSR asset than short term borrowings Secured term notes due in April 2023 contain the ability to extend the maturity for 2-years at PMT’s discretion Secured revolving bank financing lines provide flexibility to finance fluctuating MSR and advance balances $350mm FMSR Term Notes due March 2026 $305mm FMSR Term Notes due June 2027 $450mm FMSR Term Notes due April 2023 $324mm CRT Term Notes due February 2024 $66mm CRT Term Notes due March 2023 $244mm CRT Term Notes due December 2022 $62mm CRT Term Notes due Oct 2022 $62mm securities repurchase agreements $199mm CRT Term Notes due May 2023 $345mm 5.500% due March 2026 $210mm 5.500% due November 2024 Exchangeable Senior Notes Low, fixed interest rates More than two years until first maturity of exchangeable senior notes Provides flexibility and complements asset-backed structures Financing capacity across multiple banks $1.01bn drawn Note: All figures are as of June 30, 2022

APPENDIX

14 PMT IS FOCUSED ON UNIQUE INVESTMENT STRATEGIES IN THREE SEGMENTS Leading producer of conventional conforming mortgage loans Significant growth in market share over PMT’s 13-year history driven by operational excellence and high service levels Provides unique ability to produce investment assets organically Investments in credit risk on PMT’s high-quality loan production with ability to influence performance through active servicing supplemented by opportunistic investments in CRT bonds issued by the GSEs Approximately $26.3 billion in UPB of loans underlying PMT’s front-end GSE CRT investments at June 30, 2022 Pursuing potential opportunities for new lender risk share agreements with the GSEs MSR investments created through the securitization of conventional correspondent loan production Hedged with Agency MBS and interest rate derivatives Strong track record and discipline in hedging interest rate risk Correspondent Production Interest Rate Sensitive Strategies Credit Sensitive Strategies

Reserves maintained for: ROBUST LIQUIDITY RISK MANAGEMENT DISCIPLINE 15 $890 million in available liquidity at June 30, 2022(1), significantly in excess of minimum requirements and internally established reserve levels (1) Includes $421 million in cash and short-term investments plus $469 million in amounts that can be immediately borrowed on facilities with pledged collateral Minimum Regulatory and Counterparty Requirements Ongoing Operations Unexpected Environmental Shocks Financing covenants and other requirements of counterparties, regulators and rating agencies Well-positioned to meet the additional eligibility standards recently proposed by FHFA for non-bank, Agency seller/servicers Fulfillment of known financial commitments and obligations Operating expenses, income tax payments, principal and interest payments on outstanding debt, dividend payments and other Expected cash needs for business activities Potential margin calls related to sudden interest rate changes; also considers potential timing difference between margin calls and ability to draw on certain liquidity sources Potential margin calls related to sudden changes in credit spreads for credit sensitive investments currently financed by securities repurchase agreements Servicing advances in a severe loan delinquency and prepayment rate scenario

16 HISTORICAL EARNINGS, DIVIDENDS AND BOOK VALUE PER SHARE Repurchased 24.5 million common shares from 3Q15 through 2Q22 Issued 39.2 million common shares through underwritten common equity offerings and our ATM program in 2019 and 2020 (1) (1) At period end. (2) Return on average common equity is calculated based on annualized quarterly net income attributable to common shareholders as a percentage of monthly average common equity during the period. ROE(2): 103% 19% 15% 13% 6% -9% -6% -7% -20%

2.34% CURRENT MARKET ENVIRONMENT AND MACROECONOMIC TRENDS 17 Macroeconomic Metrics(3) Footnotes (1) Freddie Mac Primary Mortgage Market Survey. 5.30% as of 7/28/22 (2) U.S. Department of the Treasury. 2.68% as of 7/28/22 (3) 10-year Treasury bond yield and 2/10 year Treasury yield spread: Bloomberg. Average 30-year fixed rate mortgage: Freddie Mac Primary Mortgage Market Survey. Average secondary mortgage rate: 30-Year FNCL Par Coupon Index (MTGEFNCL), Bloomberg. U.S. home price appreciation: S&P CoreLogic Case-Shiller U.S. National Home Price NSA Index (SPCSUSA). Data is as of 5/31/22. Residential mortgage originations are for the quarterly period ended. Source: Inside Mortgage Finance. Average 30-year fixed rate mortgage(1) 10-year Treasury Bond Yield(2) 3.01% 5.70% 4.67%

18 PMT’S INVESTMENT ACTIVITY BY STRATEGY DURING THE QUARTER Credit Sensitive Strategies Interest Rate Sensitive Strategies ($ in millions) (1) The fair value of PMT’s organically-created GSE CRT investments from is reflected on PMT’s balance sheet as deposits securing CRT arrangements, and derivative and credit risk transfer strip assets or liabilities, net of the interest-only security payable. (2) As discussed in Note 6 – Variable Interest Entities to our Quarterly Report on Form 10-Q for the quarter ended March 31, 2022, we consolidate the assets and liabilities in the trust that issued the subordinate bonds. Accordingly, this investment is shown as Loans at fair value and Asset-backed financing of variable interest entities on our consolidated balance sheet. (3) Includes legacy distressed loan portfolio and opportunistic investments in GSE CRT. Net new investments also reflect sales in performing and non-performing loans as a part of PMT’s strategy to exit the investments. Includes $10.7 million in carrying value of real estate acquired in settlement of loans at 6/30/22. (4) MBS = Mortgage-backed securities. Net new investments in Agency MBS represents rebalancing of the MBS portfolio (considered along with to be announced (TBA) hedges in managing PMT’s interest rate risk) and runoff. (5) Net new investments represents new investments net of sales, liquidations, and runoff.

19 MSR ASSET VALUATION Mortgage Servicing Rights (1) Weighted average

20 INTEREST RATE SENSITIVE STRATEGIES DESIGNED TO MITIGATE INTEREST RATE VOLATILITY Estimated Sensitivity to Changes in Interest Rates at 6/30/22 % change in PMT’s shareholders’ equity PMT’s interest rate risk exposure is managed on a “global” basis Multiple mortgage-related investment strategies with complementary interest rate sensitivities Utilization of financial hedge instruments Contributes to stability of book value (1) Interest rate shocks to 10-year Treasury. Sensitivity based on shocks of first principal component of treasury yield curve. (2) Includes loans acquired for sale and IRLCs, net of associated hedges, Agency and Non-Agency MBS assets (3) Includes MSRs and hedges which includes or may include put and call options on MBS, Eurodollar futures, Treasury futures, and exchange-traded swaps (4) Net exposure represents the net position of the “Long” assets and the MSRs and hedges (2) (3) (4) Gain in value with increasing rates Gain in value with decreasing rates MSRs Agency MBS Interest Rate Hedges

21 HISTORICAL TRENDS IN DELINQUENCIES AND ADVANCES Overall mortgage delinquency rates have returned to pre-pandemic levels; however, delinquency rates of seriously delinquent loans (90+ days) remains elevated Servicing advances were approximately $65 million at June 30, 2022, down from $93 million at March 31, 2022 No P&I advances are outstanding as prepayment activity remains sufficient to cover the GSEs’ remittance obligations Historical Trends in Delinquency and Foreclosure Rates(1) Note: Figures may not sum due to rounding (1) Owned MSR portfolio. Delinquency and foreclosure rates based on UPB. As of 6/30/22, the UPB of mortgage servicing rights owned by PMT totaled $226 billion.

22 PERFORMANCE OF PMT’S ORGANICALLY-CREATED INVESTMENTS IN GSE CREDIT RISK TRANSFER INVESTMENTS IN 2Q22

23 PERFORMANCE UPDATE AND LOSS MITIGATION ACTIVITY RELATED TO PMT’S ORGANICALLY-CREATED CRT INVESTMENTS (1) As of June 30, 2022 PMTT1-3: If all presently delinquent loans proceeded unmitigated to 180 days or more delinquent, additional losses incurred would be approximately $5 million(1) L Street Securities 2017-PM1: $5 million in net losses reversed in 2Q22; $6 million of losses reversed more than offset $1 million in additional realized losses Losses have the potential to reverse if the payment status of the related loan is reported as current after the conclusion of a CARES Act forbearance We believe the majority of potential loss reversals related to COVID-19 forbearance plans have been realized and do not expect a meaningful contribution from these loss reversals in the future

24 BALANCE SHEET TREATMENT OF PMT’S ORGANICALLY-CREATED CREDIT RISK TRANSFER INVESTMENTS Current outstanding UPB of loans delivered to the CRT SPVs and sold to Fannie Mae or delivered subject to agreements to purchase REMIC CRT securities Current cash collateralizing guarantee included in “Deposits securing credit risk transfer arrangements” Represents the fair value of expected future cash inflows related to assumption of credit risk net of expected future losses Fair value of non-recourse liability issued by CRT trusts; represents value of interest-only payment after the maturity of PMT’s investments

25 FINANCING SUMMARY FOR PMT’S ORGANICALLY-CREATED CRT INVESTMENTS CRT term notes do not contain mark-to-market provisions Increased losses on CRT investments are not expected to accelerate amortization of the term notes All CRT term notes notes contain optional two-year extensions with coupon increase, except $244 million of 2-year term notes due December 2022

26 ASSESSMENT OF LOSS VARIES BY TRANSACTION FOR PMT’S ORGANICALLY-CREATED CRT INVESTMENTS (1) Fannie Mae has published clarification that the COVID-19 pandemic is a casualty event. Source: https://www.fanniemae.com/portal/funding-the-market/credit-risk/news/covid19-casualty-event-050120.html

27 PMT’S ORGANICALLY-CREATED INVESTMENTS IN CREDIT RISK TRANSFER (1) FICO and LTV metrics at origination (2) Losses due to liquidation of reference pool collateral. Losses in L Street Securities 2017-PM1 have potential for reversal – see slide 23 for additional details. (3) Interest reduction due to modification of reference pool collateral (4) Loans eligible for loss reversal are included as of 6/30/22 (5) Losses included for loans eligible for reversal as of 6/30/22 (UPB in billions)

28 CORRESPONDENT PRODUCTION ACQUISITIONS AND LOCKS BY PRODUCT Note: Figures may not sum due to rounding (1) PMT sells government-insured or guaranteed loans that it purchases from correspondent sellers to PennyMac Loan Services, LLC, and earns a sourcing fee and interest income for its holding period; PMT does not pay a fulfillment fee for government-insured or guaranteed loans

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XML

Document and Entity Information	Aug. 02, 2022
Document Information [Line Items]
Entity Registrant Name	PennyMac Mortgage Investment Trust
Document Type	8-K
Amendment Flag	false
Entity Central Index Key	0001464423
Document Period End Date	Aug. 02, 2022
Entity Emerging Growth Company	false
Entity File Number	001-34416
Entity Incorporation, State or Country Code	MD
Entity Tax Identification Number	27-0186273
Entity Address, Address Line One	3043 Townsgate Road
Entity Address, City or Town	Westlake Village
Entity Address, State or Province	CA
Entity Address, Postal Zip Code	91361
City Area Code	818
Local Phone Number	224‑7442
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Soliciting Material	false
Pre-commencement Tender Offer	false
Pre-commencement Issuer Tender Offer	false
Common Stock [Member]
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Security 12b Title	Common Shares of Beneficial Interest, $0.01 par value
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Security Exchange Name	NYSE
8.125% Series A Preferred Stock [Member]
Document Information [Line Items]
Security 12b Title	8.125% Series A Cumulative Redeemable Preferred Shares of Beneficial Interest, $0.01 par value
Trading Symbol	PMT/PA
Security Exchange Name	NYSE
8.00% Series B Preferred Stock [Member]
Document Information [Line Items]
Security 12b Title	8.00% Series B Cumulative Redeemable Preferred Shares of Beneficial Interest, $0.01 par value
Trading Symbol	PMT/PB
Security Exchange Name	NYSE
6.75% Series C Preferred Stock [Member]
Document Information [Line Items]
Security 12b Title	6.75% Series C Cumulative Redeemable Preferred Shares of Beneficial Interest, $0.01 par value
Trading Symbol	PMT/PC
Security Exchange Name	NYSE