PennyMac Mortgage Investment Trust

10/28/2026 | Press release | Distributed by Public on 10/29/2026 14:23

Third Quarter 2026 Supplement

Table of Contents

PennyMac Mortgage Investment Trust Supplemental Financial Tables
Data as of or through September 30, 2026
Table of Contents
Tab
Legal Disclaimer 1
Income Statement 2
Balance Sheet 3
Capital Ratios 4
Income & Returns by Strategy 5
Credit Sensitive Strategies 6
Interest Rate Sensitive Strategies 7
Aggregation and Securitization 8
Corporate 9

1) Legal Disclaimer

Legal Disclaimer
We are providing supplemental information in connection with our quarterly periodic filings, however, the supplemental information shall not be deemed incorporated by reference into any periodic filing or other disclosures. You may find further information about our quarterly period filings on our Investor Relations website or at www.SEC.gov.

2) Income Statement

PennyMac Mortgage Investment Trust Income Statement
$ in millions, except earnings per share
1Q19 2Q19 3Q19 4Q19 1Q20 2Q20 3Q20 4Q20 1Q21 2Q21 3Q21 4Q21 1Q22 2Q22 3Q22 4Q22 1Q23 2Q23 3Q23 4Q23 1Q24 2Q24 3Q24 4Q24 1Q25 2Q25 3Q25 4Q25 1Q26 2Q26 3Q26 2019 2020 2021 2022 2023 2024 2025
Revenue
Net gains on loans acquired for sale 21 34 49 65 49 162 98 71 53 28 16 (10) 4 8 4 10 6 4 14 15 15 12 20 26 12 18 15 7 23 15 5 170 380 87 26 40 73 52
Loan origination fees 13 18 25 32 24 25 39 60 53 46 44 28 15 14 13 10 8 4 3 3 2 2 7 4 3 3 3 3 2 2 1 88 147 171 52 18 15 13
Net gain (loss) on investments and financings 95 88 46 35 (815) 489 20 136 83 128 57 35 (229) (231) (253) 54 126 (2) (110) 164 40 (20) 147 (106) 62 34 64 53 (23) 22 (162) 263 (171) 304 (659) 178 61 213
0
Contractually specified servicing and other fees 64 73 83 98 102 114 117 130 133 149 152 162 156 158 167 170 168 172 171 165 163 165 167 164 156 158 156 155 151 149 144 319 463 595 651 676 659 625
Realization of MSR cash flows (41) (47) (56) (59) (64) (59) (53) (56) (59) (70) (81) (88) (89) (87) (96) (99) (92) (103) (102) (88) (100) (97) (101) (91) (89) (98) (89) (104) (107) (100) (85) (202) (233) (298) (370) (385) (388) (380)
Changes in fair value of MSRs due to changes in fair value inputs (97) (137) (158) 129 (563) (112) (13) (18) 338 (230) (63) (84) 393 220 163 44 (46) 15 263 (145) 72 46 (84) 184 (56) 23 (27) 26 46 19 210 (262) (706) (39) 820 88 217 (34)
Hedging results 41 56 134 (150) 767 (51) 1 (116) (374) 94 (74) 9 (164) (78) 154 (117) (55) 24 (51) (11) (90) (18) (67) (51) (40) (61) (27) (45) (12) (33) (31) 81 602 (345) (205) (93) (227) (173)
From PFSI--MSR recapture income 1 1 1 2 3 5 9 11 14 12 13 13 8 3 2 1 0 1 1 0 0 0 0 1 1 1 3 4 6 5 3 5 28 51 14 2 2 10
Net loan servicing fees (31) (54) 5 21 245 (103) 60 (49) 50 (45) (53) 12 304 217 390 (2) (24) 109 281 (78) 46 96 (85) 207 (27) 24 15 37 84 40 242 (59) 154 (36) 910 289 265 49
Interest income 63 72 88 95 72 41 61 49 38 44 58 56 51 91 110 132 153 163 159 165 144 152 177 163 176 196 230 248 276 304 314 318 222 195 384 640 635 851
Interest expense (55) (66) (84) (93) (81) (61) (59) (70) (76) (79) (75) (74) (64) (78) (114) (155) (179) (187) (184) (186) (172) (172) (184) (187) (182) (205) (228) (255) (280) (311) (364) (297) (271) (305) (410) (736) (715) (870)
Net interest income (expense) 8 6 4 3 (9) (20) 2 (21) (39) (36) (17) (18) (12) 13 (4) (22) (26) (25) (25) (20) (28) (20) (7) (24) (6) (9) 2 (6) (4) (7) (50) 20 (49) (109) (27) (96) (79) (19)
Other income 0 4 2 (0) 0 5 2 0 1 0 1 2 0 0 1 0 0 0 (0) 0 0 (0) (0) (0) (0) 0 0 0 (0) (0) (0) 6 8 4 2 0 (0) 0
Net investment income 107 96 131 155 (507) 558 221 197 201 122 48 49 82 22 151 49 90 90 163 85 74 71 81 108 44 70 99 94 82 73 36 489 469 420 304 429 334 307
Expenses
Loan fulfillment fees 28 30 45 58 42 53 55 73 61 54 44 20 17 21 18 12 12 5 6 5 4 4 11 6 5 6 6 7 6 5 3 161 222 179 68 28 26 24
Loan servicing fees 11 12 13 14 15 16 19 18 19 20 21 21 21 20 20 20 20 20 20 20 20 20 22 20 22 22 21 20 20 20 20 49 67 81 82 81 83 84
Management fees 7 9 10 10 9 8 9 9 8 12 9 9 8 8 8 7 7 7 7 7 7 7 7 7 7 7 7 7 7 7 7 36 35 38 31 29 29 28
Total fees paid to PFSI 45 50 68 82 66 77 82 100 88 86 73 50 46 49 46 40 40 33 33 33 31 32 41 34 34 34 34 33 32 31 30 246 324 297 181 138 138 136
Loan collection and liquidation 2 1 2 0 1 1 1 8 4 4 2 1 3 1 1 0 1 1 2 1 1 1 2 3 2 2 2 2 2 2 3 5 10 11 5 5 7 8
Professional services 1 2 1 1 1 1 2 2 2 2 1 6 4 1 2 2 2 2 2 2 2 2 3 6 7 8 9 14 14 12 13 6 6 11 10 8 13 38
Compensation 2 2 2 2 1 1 1 1 2 1 (0) 1 1 2 1 2 2 1 2 2 2 1 1 1 3 3 3 3 3 3 3 7 4 4 6 7 6 12
Loan origination 2 3 4 5 4 4 7 10 9 8 7 5 3 3 2 4 2 1 1 1 0 1 1 1 1 1 1 0 0 0 0 15 26 29 12 5 3 2
Safekeeping 1 1 2 2 2 2 1 2 2 3 2 2 2 1 3 2 1 1 0 1 1 1 1 1 1 1 1 1 1 1 1 5 7 9 8 4 4 5
Other expenses 3 4 4 4 4 4 5 (1) 2 4 4 4 4 5 4 6 5 5 5 4 4 5 5 7 3 3 3 3 3 7 4 15 12 14 19 19 20 13
Total expenses 57 63 83 96 78 90 99 123 110 108 89 69 64 61 61 55 52 44 45 44 42 43 54 53 51 53 52 57 55 56 53 298 390 376 241 185 192 214
Pretax income 50 33 48 59 (584) 468 122 74 91 14 (41) (20) 18 (40) 90 (5) 39 47 118 40 32 29 27 55 (6) 17 47 36 27 17 (16) 191 80 45 63 244 143 94
Provision for (benefit from) income taxes (4) (11) (22) 1 10 3 23 (9) 19 (24) (5) (3) 37 31 78 (10) (22) 22 57 (13) (15) 3 (15) 9 (16) 9 (11) (16) 2 (14) 9 (36) 27 (12) 136 45 (18) (34)
Net income (loss) 54 44 70 59 (595) 465 100 83 72 38 (36) (17) (19) (71) 12 5 61 25 61 53 48 25 41 47 10 8 58 52 25 31 (25) 226 52 57 (73) 200 161 128
Dividends on preferred shares 6 6 6 6 6 6 6 6 6 6 8 10 10 10 10 10 10 10 10 10 10 10 10 10 10 10 10 10 10 10 10 25 25 31 42 42 42 42
Net income (loss) attributable to common shareholders 47 38 64 52 (601) 458 93 77 65 32 (44) (27) (30) (81) 1 (6) 50 14 51 42 37 15 31 36 (1) (3) 48 42 14 20 (36) 201 27 26 (115) 158 119 86
Weighted average shares outstanding
Basic 64.6 73.4 84.4 93.2 100.2 99.7 99.2 98.3 97.9 97.9 97.5 96.3 94.1 92.0 90.6 89.1 88.8 87.3 86.8 86.7 86.7 86.8 86.9 86.9 86.9 87.0 87.0 87.0 87.1 87.2 87.2 79.0 99.4 97.4 91.4 87.4 86.8 87.0
Diluted 73.4 81.9 92.8 101.9 100.2 101.6 99.4 98.5 98.1 98.0 97.5 96.4 94.1 92.0 90.6 89.1 113.4 87.3 111.1 111.0 111.0 86.8 86.9 86.9 86.9 87.0 87.0 87.0 87.1 87.2 87.2 87.7 99.4 97.4 91.4 111.7 86.8 87.0
Earnings per share (EPS)
Basic EPS $ 0.73 $ 0.52 $ 0.75 $ 0.56 $ (5.99) $ 4.59 $ 0.94 $ 0.78 $ 0.67 $ 0.32 $ (0.45) $ (0.28) $ (0.32) $ (0.88) $ 0.01 $ (0.07) $ 0.56 $ 0.16 $ 0.59 $ 0.49 $ 0.43 $ 0.17 $ 0.36 $ 0.41 $ (0.01) $ (0.04) $ 0.55 $ 0.48 $ 0.16 $ 0.23 $ (0.41) $ 2.54 $ 0.27 $ 0.26 $ (1.26) $ 1.80 $ 1.37 $ 0.99
Diluted EPS $ 0.68 $ 0.50 $ 0.71 $ 0.55 $ (5.99) $ 4.51 $ 0.94 $ 0.78 $ 0.67 $ 0.32 $ (0.45) $ (0.28) $ (0.32) $ (0.88) $ 0.01 $ (0.07) $ 0.50 $ 0.16 $ 0.51 $ 0.44 $ 0.39 $ 0.17 $ 0.36 $ 0.41 $ (0.01) $ (0.04) $ 0.55 $ 0.48 $ 0.16 $ 0.23 $ (0.41) $ 2.42 $ 0.27 $ 0.26 $ (1.26) $ 1.63 $ 1.37 $ 0.99
Dividends declared per common share $ 0.47 $ 0.47 $ 0.47 $ 0.47 $ 0.25 $ 0.40 $ 0.40 $ 0.47 $ 0.47 $ 0.47 $ 0.47 $ 0.47 $ 0.47 $ 0.47 $ 0.47 $ 0.40 $ 0.40 $ 0.40 $ 0.40 $ 0.40 $ 0.40 $ 0.40 $ 0.40 $ 0.40 $ 0.40 $ 0.40 $ 0.40 $ 0.40 $ 0.40 $ 0.40 $ 0.40 $ 1.88 $ 1.52 $ 1.88 $ 1.81 $ 1.60 $ 1.60 $ 1.60

3) Balance Sheet

PennyMac Mortgage Investment Trust Balance Sheet
$ in millions
03/31/19 06/30/19 09/30/19 12/31/19 03/31/20 06/30/20 09/30/20 12/31/20 03/31/21 06/30/21 09/30/21 12/31/21 03/31/22 06/30/22 09/30/22 12/31/22 03/31/23 06/30/23 09/30/23 12/31/23 03/31/24 06/30/24 09/30/24 12/31/24 03/31/25 06/30/25 09/30/25 12/31/25 03/31/26 06/30/26 09/30/26
Assets
Cash 69 78 114 104 1,099 346 278 58 93 69 132 59 188 332 59 112 119 239 236 281 127 131 344 338 248 363 263 272 214 225 161
Short-term investments 30 77 75 91 138 274 82 127 108 45 116 168 236 89 352 252 292 242 150 128 343 336 103 103 204 109 181 191 188 196 149
Mortgage-backed securities at fair value 2,589 2,600 2,325 2,840 3,947 2,613 2,405 2,214 1,916 2,310 2,471 2,667 3,070 3,853 3,880 4,463 4,629 4,731 4,666 4,836 3,950 4,068 4,182 4,064 4,036 3,967 4,609 4,453 3,766 4,076 4,306
Loans acquired for sale at fair value 1,435 2,477 3,947 4,148 2,856 2,180 4,024 3,552 4,647 5,535 4,979 4,171 1,709 1,794 2,260 1,822 3,144 1,080 1,026 669 912 694 1,666 2,116 2,002 2,616 2,421 2,699 2,350 3,195 2,871
Loans at fair value 399 359 291 271 251 231 194 152 118 350 896 1,569 1,826 1,654 1,523 1,513 1,502 1,457 1,372 1,434 1,409 1,378 1,430 2,194 3,229 4,567 5,983 8,533 10,868 12,458 14,401
Excess servicing spread purchased from PFSI 205 194 183 179 157 151 143 132 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0
Derivative assets 189 259 274 202 173 114 107 164 183 88 98 34 78 17 75 85 89 29 30 178 63 91 82 57 45 53 58 56 55 49 59
Firm commitment to purchase CRT security at fair value 80 16 55 110 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0
Real estate acquired in settlement of loans 115 98 79 66 51 44 36 29 18 15 10 14 12 11 8 8 8 6 5 5 5 4 3 2 2 2 2 1 1 1 2
Mortgage servicing rights 1,157 1,126 1,163 1,536 1,157 1,190 1,388 1,755 2,441 2,551 2,826 2,893 3,391 3,696 3,941 4,013 3,975 3,978 4,109 3,919 3,952 3,942 3,809 3,867 3,770 3,739 3,669 3,645 3,624 3,576 3,514
Servicing advances 37 35 32 49 39 38 47 122 150 112 116 205 134 91 81 198 139 113 94 206 126 99 71 105 85 70 62 97 79 64 62
Deposits securing credit risk transfer arrangements 1,137 2,061 2,044 1,970 1,856 1,666 1,418 2,799 2,664 2,256 1,963 1,705 1,537 1,431 1,369 1,325 1,298 1,270 1,237 1,209 1,187 1,163 1,135 1,111 1,088 1,065 1,033 1,009 970 948 887
Due from PennyMac Financial Services, Inc. 3 1 5 3 4 3 19 8 8 19 19 16 21 4 4 4 - 0 8 2 0 0 0 9 16 15 15 18 19 16 17 15
Other assets 112 85 158 204 189 234 314 380 176 248 243 272 185 246 394 127 162 232 296 248 222 175 221 436 152 236 226 372 373 287 427
Total Assets 7,556 9,466 10,745 11,771 11,918 9,084 10,455 11,492 12,522 13,598 13,869 13,773 12,388 13,217 13,946 13,922 15,357 13,385 13,223 13,114 12,294 12,081 13,056 14,409 14,876 16,801 18,526 21,347 22,503 25,094 26,854
Liabilities
Assets sold under agreements to repurchase 4,180 5,365 6,355 6,649 6,348 3,982 5,440 6,309 6,092 7,194 7,025 6,672 5,093 5,646 6,410 6,617 8,114 5,915 6,021 5,625 5,118 4,700 5,748 6,501 6,203 6,827 7,708 8,019 7,301 8,395 8,382
Mortgage loan participation and sale agreements 73 - 0 - 0 - 0 - 0 93 80 17 68 28 45 50 66 79 17 - 0 - 0 35 24 - 0 25 14 29 12 5 8 - 0 - 0 - 0 - 0 - 0
Notes payable secured by credit risk transfer and mortgage servicing assets 739 1,370 1,361 1,696 1,968 1,811 1,602 1,925 2,898 2,829 2,633 2,472 2,372 2,742 2,829 2,804 2,791 3,158 2,826 2,911 2,880 2,934 2,830 2,930 2,683 2,666 2,249 2,258 2,397 2,481 2,503
Asset-backed financing of a variable interest entity at fair value 276 270 261 243 233 212 176 135 101 322 843 1,470 1,713 1,549 1,424 1,415 1,403 1,361 1,279 1,337 1,309 1,288 1,335 2,040 2,968 4,176 5,440 7,789 9,904 11,359 13,146
Unsecured senior notes 249 249 249 444 445 195 196 197 494 497 500 502 544 545 546 546 547 548 600 600 601 814 815 606 773 875 877 1,028 685 685 686
Assets sold to PFSI under agreement to repurchase 126 119 108 108 100 90 87 81 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0
Interest-only security payable at fair value 33 26 25 26 14 15 13 11 19 13 12 11 16 19 21 22 23 24 28 33 32 33 35 34 36 37 37 38 34 34 35
Derivative and credit risk transfer strip liabilities at fair value 9 22 9 6 463 140 166 263 230 87 68 42 129 278 351 167 138 98 140 51 19 19 16 7 18 13 12 9 27 10 28
Firm commitment to purchase CRT securities at fair value - 0 - 0 - 0 - 0 410 191 149 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0
Unsettled securities trades - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 12 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0
Accounts payable and accrued liabilities 74 36 109 91 41 49 95 125 123 170 160 96 118 123 98 160 153 105 93 355 125 126 114 139 105 142 136 168 137 136 141
Due to PennyMac Financial Services, Inc. 30 35 40 48 56 44 122 87 69 62 50 40 28 43 32 36 35 25 28 29 31 29 33 30 29 31 40 17 18 19 20
Income taxes payable 33 22 - 0 2 12 15 33 24 42 17 12 10 47 82 160 152 130 148 203 190 175 171 156 164 148 155 144 127 130 115 124
Liability for losses under representations and warranties 8 8 8 8 7 10 15 22 29 36 41 40 40 39 39 39 39 37 33 26 20 13 8 7 6 5 5 5 5 5 5
Total Liabilities 5,828 7,522 8,525 9,320 10,095 6,848 8,174 9,195 10,165 11,255 11,389 11,405 10,166 11,147 11,929 11,959 13,386 11,453 11,274 11,157 10,335 10,141 11,119 12,470 12,974 14,935 16,646 19,460 20,636 23,240 25,071
Shareholders' Equity
Preferred shares of beneficial interest 300 300 300 300 300 300 300 300 300 300 541 541 541 541 541 541 541 541 541 541 541 541 541 541 541 541 541 541 541 541 541
Common shares of beneficial interest 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
Additional paid-in capital 1,432 1,647 1,902 2,128 2,126 2,120 2,112 2,097 2,138 2,138 2,120 2,082 2,000 1,973 1,960 1,947 1,940 1,922 1,923 1,923 1,923 1,924 1,925 1,925 1,925 1,926 1,927 1,928 1,928 1,929 1,930
Retained earnings (accumulated deficit) (5) (4) 17 22 (604) (185) (131) (101) (81) (96) (184) (257) (321) (445) (485) (527) (512) (533) (516) (509) (506) (526) (530) (529) (565) (602) (590) (583) (604) (618) (689)
Total shareholders' equity 1,728 1,944 2,220 2,451 1,823 2,235 2,281 2,297 2,357 2,343 2,479 2,368 2,222 2,071 2,017 1,963 1,971 1,931 1,949 1,957 1,959 1,940 1,937 1,939 1,903 1,866 1,879 1,887 1,867 1,853 1,783
Book value per share $ 20.72 $ 20.79 $ 21.14 $ 21.37 $ 15.16 $ 19.39 $ 19.95 $ 20.30 $ 20.90 $ 20.77 $ 19.79 $ 19.05 $ 17.87 $ 16.59 $ 16.18 $ 15.78 $ 15.96 $ 15.81 $ 16.01 $ 16.13 $ 16.11 $ 15.89 $ 15.85 $ 15.87 $ 15.43 $ 15.00 $ 15.16 $ 15.25 $ 14.98 $ 14.83 $ 14.03

4) Capital Ratios

PennyMac Mortgage Investment Trust Capital Ratios
$ in millions
03/31/19 06/30/19 09/30/19 12/31/19 03/31/20 06/30/20 09/30/20 12/31/20 03/31/21 06/30/21 09/30/21 12/31/21 03/31/22 06/30/22 09/30/22 12/31/22 03/31/23 06/30/23 09/30/23 12/31/23 03/31/24 06/30/24 09/30/24 12/31/24 03/31/25 06/30/25 09/30/25 12/31/25 03/31/26 06/30/26 09/30/26
Total assets 7,556 9,466 10,745 11,771 11,918 9,084 10,455 11,492 12,522 13,598 13,869 13,773 12,388 13,217 13,946 13,922 15,357 13,385 13,223 13,114 12,294 12,081 13,056 14,409 14,876 16,801 18,526 21,347 22,503 25,094 26,854
(-) Adjustments for VIE financing 308 296 286 269 608 352 324 375 243 413 899 1,508 1,807 1,709 1,599 1,597 1,556 1,473 1,378 1,416 1,358 1,338 1,383 2,079 3,020 4,223 5,485 7,833 9,942 11,398 13,186
Adjusted assets 7,248 9,169 10,459 11,502 11,311 8,731 10,132 11,117 12,279 13,185 12,970 12,265 10,581 11,508 12,347 12,324 13,801 11,912 11,845 11,698 10,935 10,743 11,672 12,330 11,856 12,578 13,040 13,514 12,561 13,695 13,668
Total equity 1,728 1,944 2,220 2,451 1,823 2,235 2,281 2,297 2,357 2,343 2,479 2,368 2,222 2,071 2,017 1,963 1,971 1,931 1,949 1,957 1,959 1,940 1,937 1,939 1,903 1,866 1,879 1,887 1,867 1,853 1,783
Total equity / Adjusted assets 24% 21% 21% 21% 16% 26% 23% 21% 19% 18% 19% 19% 21% 18% 16% 16% 14% 16% 16% 17% 18% 18% 17% 16% 16% 15% 14% 14% 15% 14% 13%
Funding debt
Assets sold under agreements to repurchase 4,180 5,365 6,355 6,649 6,348 3,982 5,440 6,309 6,092 7,194 7,025 6,672 5,093 5,646 6,410 6,617 8,114 5,915 6,021 5,625 5,118 4,700 5,748 6,501 6,203 6,827 7,708 8,019 7,301 8,395 8,382
Mortgage loan participation and sale agreements 73 - 0 - 0 - 0 - 0 93 80 17 68 28 45 50 66 79 17 - 0 - 0 35 24 - 0 25 14 29 12 5 8 - 0 - 0 - 0 - 0 - 0
Total funding debt 4,253 5,365 6,355 6,649 6,348 4,075 5,520 6,326 6,160 7,222 7,070 6,722 5,158 5,726 6,427 6,617 8,114 5,949 6,045 5,625 5,144 4,714 5,777 6,513 6,207 6,835 7,708 8,019 7,301 8,395 8,382
Non-funding debt
Notes payable secured by CRT arrangements and MSRs 739 1,370 1,361 1,696 1,968 1,811 1,602 1,925 2,898 2,829 2,633 2,472 2,372 2,742 2,829 2,804 2,791 3,158 2,826 2,911 2,880 2,934 2,830 2,930 2,683 2,666 2,249 2,258 2,397 2,481 2,503
Unsecured debt 249 249 249 444 445 195 196 197 494 497 500 502 544 545 546 546 547 548 600 600 601 814 815 606 773 875 877 1,028 685 685 686
Total non-funding debt 988 1,619 1,610 2,140 2,412 2,006 1,798 2,122 3,392 3,326 3,133 2,974 2,916 3,287 3,375 3,350 3,338 3,706 3,425 3,511 3,481 3,748 3,645 3,536 3,456 3,541 3,125 3,286 3,081 3,166 3,190
Total debt outstanding 5,675 7,399 8,360 9,165 9,107 6,398 7,594 8,674 9,672 10,883 11,058 11,177 9,804 10,580 11,247 11,404 12,878 11,041 10,777 10,505 9,966 9,782 10,792 12,123 12,667 14,589 16,309 19,132 20,319 22,955 24,752
Total debt outstanding excluding non-recourse debt 5,241 6,984 7,966 8,789 8,760 6,081 7,318 8,448 9,552 10,548 10,203 9,696 8,075 9,012 9,801 9,967 11,452 9,656 9,470 9,136 8,625 8,461 9,422 10,048 9,664 10,377 10,833 11,305 10,382 11,562 11,572
Total debt / equity 3.3x 3.8x 3.8x 3.7x 5.0x 2.9x 3.3x 3.8x 4.1x 4.6x 4.5x 4.7x 4.4x 5.1x 5.6x 5.8x 6.5x 5.7x 5.5x 5.4x 5.1x 5.0x 5.6x 6.3x 6.7x 7.8x 8.7x 10.1x 10.9x 12.4x 13.9x
Total debt excluding non-recourse debt / equity 3.0x 3.6x 3.6x 3.6x 4.8x 2.7x 3.2x 3.7x 4.1x 4.5x 4.1x 4.1x 3.6x 4.4x 4.9x 5.1x 5.8x 5.0x 4.9x 4.7x 4.4x 4.4x 4.9x 5.2x 5.1x 5.6x 5.8x 6.0x 5.6x 6.2x 6.5x

5) Income & Returns by Strategy

PennyMac Mortgage Investment Trust - Investment Income and Returns
$ in millions
in millions except for ROE 1Q19 2Q19 3Q19 4Q19 1Q20 2Q20 3Q20 4Q20 1Q21 2Q21 3Q21 4Q21 1Q22 2Q22 3Q22 4Q22 1Q23 2Q23 3Q23 4Q23 1Q24 2Q24 3Q24 4Q24 1Q25 2Q25 3Q25 4Q25 1Q26 2Q26 3Q26 2019 2020 2021 2022 2023 2024 2025
Organically-created investments in GSE CRT:
Income excluding market-driven value changes 30.1 30.1 36.0 40.5 46.8 54.3 40.8 (68.1) 37.7 42.2 33.6 29.6 27.0 17.2 12.8 12.8 14.6 14.8 12.4 13.0 11.5 9.2 10.5 9.9 9.6 9.1 8.5 8.4 7.5 6.8 6.1 136.7 73.9 143.1 69.9 54.8 41.0 35.6
Market-driven value changes 31.4 7.3 19.2 2.5 (1,001.6) 403.1 10.6 209.9 98.1 38.7 26.4 1.6 (74.9) (67.0) (14.2) (8.1) 30.9 43.0 14.6 29.0 36.3 1.7 6.6 10.2 (14.5) 7.8 1.5 3.6 2.8 (1.0) 0.4 60.4 (378.1) 164.8 (164.1) 117.4 54.8 (1.6)
Total income contribution 61.5 37.5 55.2 43.0 (954.7) 457.4 51.4 141.8 135.7 80.9 60.0 31.3 (47.8) (49.8) (1.4) 4.7 45.4 57.8 27.0 42.0 47.8 10.9 17.1 20.1 (5.0) 17.0 10.0 12.0 10.3 5.9 6.5 197.1 (304.0) 308.0 (94.2) 172.2 95.8 34.0
Weighted average equity allocated 452 476 574 587 726 621 710 635 632 560 532 464 418 388 364 334 360 314 287 285 291 311 309 307 309 297 283 253 249 247 237 522 673 548 378 312 303 286
Annualized return on equity (ROE) 54% 31% 38% 29% (526)% 295% 29% 89% 86% 58% 45% 27% (46)% (51)% (2)% 6% 50% 74% 38% 59% 66% 14% 22% 26% (6)% 23% 14% 19% 17% 9% 11% 38% (45)% 56% (25)% 55% 32% 12%
Other GSE CRT (CAS & STACR):
Income excluding market-driven value changes - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 5.3 5.4 4.5 3.7 3.8 3.8 3.7 3.7 2.8 - 0 - 0 - 0 - - 0 - 0 - 0 - 0 18.9 15.7 10.1
Market-driven value changes - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 11.1 7.4 4.4 2.3 (0.5) 0.2 (1.4) 0.3 (0.9) - 0 - 0 - 0 - - 0 - 0 - 0 - 0 35.9 6.3 (2.0)
Total income contribution - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 16.3 12.8 8.9 6.0 3.3 4.0 2.3 4.0 1.9 - 0 - 0 - 0 - - 0 - 0 - 0 - 0 54.8 22.1 8.2
Weighted average equity allocated - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 140 149 118 98 99 98 99 98 73 - 0 - 0 - 0 - - 0 - 0 - 0 - 0 118 104 63
Annualized return on equity (ROE) - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 47% 34% 30% 24% 13% 16% 9% 16% 10% - 0 - 0 - 0 - - 0 - 0 - 0 - 0 46% 21% 12%
Non-Agency Subordinate MBS:
Income excluding market-driven value changes - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 0.1 0.1 0.2 (3.5) 1.1 1.3 1.0 0.8 0.6 0.5 0.4 0.4 0.3 0.4 0.3 0.5 1.0 1.5 2.5 2.5 4.3 5.3 6.0 - 0 - 0 (3.5) 4.2 1.9 1.5 7.5
Market-driven value changes - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 0.1 0.3 1.2 5.7 (9.6) (6.9) (6.6) 1.0 1.6 (1.3) (2.0) 5.7 3.7 (1.3) 5.9 (3.8) 2.9 (0.7) 4.3 8.9 1.9 0.1 (54.1) - 0 - 0 5.7 (22.1) 4.0 4.6 15.5
Total income contribution - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 0.2 0.3 1.5 2.2 (8.5) (5.6) (5.6) 1.8 2.2 (0.8) (1.5) 6.1 4.1 (0.9) 6.3 (3.3) 3.9 0.8 6.9 11.4 6.2 5.4 (48.2) - 0 - 0 4.1 (17.9) 5.9 6.1 23.1
Weighted average equity allocated - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 3 6 16 28 29 28 29 28 31 24 20 21 22 20 21 24 35 50 68 97 137 159 167 - 0 - 0 13 29 24 22 63
Annualized return on equity (ROE) - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 34% 22% 37% 31% (118)% (80)% (78)% 26% 29% (14)% (31)% 116% 74% (19)% 118% (56)% 45% 7% 40% 47% 18% 14% (115)% - 0 - 0 32% (62)% 25% 28% 37%
Distressed loan investments:
Income excluding market-driven value changes (3.5) (5.3) (3.6) (3.7) - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - (16.1) - 0 - 0 - 0 - 0 - 0 - 0
Market-driven value changes - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - - 0 - 0 - 0 - 0 - 0 - 0 - 0
Total income contribution (3.5) (5.3) (3.6) (3.7) - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - (16.1) - 0 - 0 - 0 - 0 - 0 - 0
Weighted average equity allocated 136 125 80 37 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 95 - 0 - 0 - 0 - 0 - 0 - 0
Annualized return on equity (ROE) (10)% (17)% (18)% (39)% - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - (17)% - 0 - 0 - 0 - 0 - 0 - 0
Other credit sensitive strategies:
Income excluding market-driven value changes 0.2 0.3 0.3 0.2 (3.2) 0.8 (1.5) (7.1) (1.7) (2.7) (0.8) (0.2) 0.4 0.7 2.8 2.5 3.3 3.0 (0.8) - 0 0.1 (0.2) (0.1) (0.6) (0.2) 0.1 - 0 0.1 (0.1) - 0 - 0 0.9 (11.0) (5.1) 6.4 (2.6) (0.9) - 0
Market-driven value changes 0.3 0.6 0.1 (0.7) (3.1) 0.6 0.1 (0.2) - 0 - 0 - 0 - 0 - 0 (9.0) 0.5 1.8 6.4 11.1 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 (0.1) 0.3 (2.6) 1.6 (6.8) - 0 - 0 - 0
Total income contribution 0.4 0.8 0.3 (0.4) (6.3) 1.4 (1.4) (7.3) (1.7) (2.7) (0.8) (0.2) 0.4 (8.4) 3.3 4.3 9.7 14.1 (0.8) - 0 0.1 (0.2) (0.1) (0.6) (0.2) 0.1 - 0 0.1 (0.1) - 0 (0.1) 1.2 (13.6) (5.5) (0.4) (2.6) (0.9) - 0
Weighted average equity allocated 12 9 8 6 33 27 27 22 16 13 15 13 29 56 67 80 94 149 20 17 8 8 7 6 5 5 5 4 4 5 5 9 27 15 57 24 7 5
Annualized return on equity (ROE) 15% 37% 17% (29)% (77)% 20% (20)% (133)% (43)% 83% 20% (7)% 6% (59)% 20% 21% 41% 38% (16)% 1% 3% (11)% (8)% (40)% (13)% 6% (1)% 9% (7)% - 0 (7)% 14% (50)% 38% (1)% (11)% (13)% - 0
Net credit sensitive strategies:
Income excluding market-driven value changes 26.7 25.1 32.6 37.0 43.6 55.1 39.4 (75.2) 36.0 39.6 33.0 25.9 28.5 19.2 16.6 16.1 18.4 18.3 17.3 18.9 16.4 13.1 14.4 13.5 14.1 14.4 13.8 11.0 11.7 12.2 12.0 121.5 62.9 134.5 80.4 72.9 57.4 53.2
Market-driven value changes 31.7 7.9 19.3 1.9 (1,004.7) 403.7 10.7 209.7 98.2 39.0 27.7 7.3 (84.5) (82.9) (20.3) (5.3) 38.9 52.8 23.7 42.0 44.5 2.7 12.0 6.6 (13.0) 7.4 5.0 12.6 4.8 (0.9) (53.8) 60.6 (380.7) 172.2 (193.0) 157.4 65.8 12.0
Total income contribution 58.4 33.0 51.9 38.9 (961.0) 458.8 50.0 134.5 134.3 78.5 60.7 33.2 (56.0) (63.7) (3.7) 10.8 57.3 71.1 41.0 60.9 60.8 15.7 26.4 20.1 1.1 21.8 18.8 23.5 16.5 11.2 (41.8) 182.2 (317.7) 306.6 (112.6) 230.3 123.1 65.2
Weighted average equity allocated 599 610 662 630 759 648 738 657 651 580 563 506 476 472 459 441 485 487 467 473 439 436 435 435 448 450 430 354 390 411 409 625 700 576 464 478 437 421
Annualized return on equity (ROE) 39% 22% 31% 25% (507)% 283% 27% 82% 83% 54% 43% 26% (47)% (54)% (3)% 10% 47% 58% 35% 52% 55% 14% 24% 18% 1% 19% 17% 27% 17% 11% (41)% 29% (45)% 53% (24)% 48% 28% 15%
MSRs (incl. recapture):
Income excluding market-driven value changes 11.5 16.5 14.4 23.5 18.2 23.6 30.1 38.9 33.6 34.0 29.2 36.2 26.5 29.1 27.6 23.9 25.3 21.1 25.2 28.9 14.1 24.7 20.4 26.5 15.6 12.1 24.5 6.1 (1.3) 6.3 20.4 65.9 110.9 133.0 107.1 100.4 85.7 58.3
Market-driven value changes (96.5) (136.9) (157.9) 129.3 (563.2) (111.6) (13.1) (18.2) 337.7 (229.9) (62.8) (84.0) 392.6 220.4 162.7 43.9 (45.8) 15.0 263.1 (144.6) 71.6 46.0 (84.3) 183.9 (55.8) 22.7 (27.0) 26.2 40.2 18.5 225.5 (262.0) (706.1) (39.0) 819.7 87.8 217.2 (33.8)
Total income contribution (85.0) (120.4) (143.5) 152.7 (545.1) (88.0) 17.1 20.8 371.2 (195.9) (33.6) (47.8) 419.1 249.6 190.4 67.8 (20.5) 36.1 288.3 (115.7) 85.7 70.7 (63.9) 210.4 (40.2) 34.8 (2.5) 32.3 39.0 24.8 245.9 (196.1) (595.3) 93.9 926.9 188.3 302.9 24.5
ESS:
Income excluding market-driven value changes 1.8 1.5 1.2 1.3 1.2 2.2 1.9 2.2 1.5 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 5.7 7.5 1.5 - 0 - 0 - 0 - 0
Market-driven value changes (4.1) (3.6) (3.9) 2.3 (14.5) (0.6) (3.1) (6.7) 1.0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - (9.3) (24.9) 1.0 - 0 - 0 - 0 - 0
Total income contribution (2.3) (2.1) (2.7) 3.6 (13.4) 1.5 (1.2) (4.5) 2.6 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - (3.6) (17.6) 2.6 - 0 - 0 - 0 - 0
Agency MBS (and Agency structured products):
Income excluding market-driven value changes 7.2 6.6 6.3 7.0 12.9 14.8 12.1 13.5 9.7 8.9 11.4 11.9 14.0 16.3 14.5 8.1 3.9 - 0 0.3 4.5 (0.1) 3.3 3.0 5.6 10.3 8.8 8.1 10.2 12.0 12.6 15.3 27.1 53.4 41.9 52.9 8.7 11.7 37.4
Market-driven value changes 32.4 21.2 11.3 (0.5) 104.0 5.2 (30.5) (14.2) (73.6) 27.4 (21.0) (16.4) (187.1) (156.2) (254.3) 30.7 63.6 (72.7) (154.0) 184.3 (43.0) (39.0) 124.6 (136.6) 64.7 12.3 49.5 37.4 (29.2) 3.1 (184.9) 64.4 64.6 (83.6) (566.8) 21.2 (94.0) 164.0
Total income contribution 39.5 27.8 17.6 6.5 116.8 20.0 (18.4) (0.6) (64.0) 36.3 (9.6) (4.5) (173.0) (139.9) (239.8) 38.8 67.5 (72.7) (153.7) 188.8 (43.0) (35.7) 127.5 (131.1) 75.1 21.1 57.6 47.6 (17.2) 15.7 (169.6) 91.5 117.8 (41.8) (514.0) 29.9 (82.3) 201.4
Non-Agency Senior MBS:
Income excluding market-driven value changes 0.2 - 0 - 0 0.1 - 0 - 0 - 0 - 0 - 0 - 0 0.2 0.6 0.7 0.9 0.7 0.6 0.6 0.5 0.5 0.5 0.5 0.5 0.5 0.8 1.4 2.7 3.5 5.0 0.8 0.7 0.8 0.4 0.1 0.8 2.9 2.2 2.3 12.5
Market-driven value changes (0.2) - 0 0.1 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 (0.6) 1.2 (3.0) (2.0) 0.7 0.3 (1.2) (2.8) 4.0 (0.7) (0.3) 3.6 (3.4) (1.8) (2.9) 1.2 (11.5) (2.7) 0.6 (10.3) (0.1) - 0 (0.6) (3.1) 0.3 (0.8) (15.0)
Total income contribution 0.1 0.1 0.1 0.1 - 0 - 0 - 0 - 0 - 0 - 0 0.2 - 0 1.9 (2.2) (1.3) 1.3 0.8 (0.6) (2.3) 4.6 (0.2) 0.2 4.1 (2.7) (0.4) (0.2) 4.7 (6.5) (1.9) 1.3 (9.5) 0.3 0.1 0.2 (0.2) 2.4 1.5 (2.5)
Interest rate hedges:
Income excluding market-driven value changes - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - - 0 - 0 - 0 - 0 - 0 - 0 - 0
Market-driven value changes 48.5 92.7 118.4 (150.6) 767.1 (51.0) 1.0 (115.8) (374.4) 94.1 (73.8) 9.1 (163.8) (78.1) 154.3 (117.2) (54.9) 24.0 (50.7) (94.4) (69.7) (18.4) (67.2) (51.2) (39.9) (60.6) (27.4) (45.0) (11.9) (32.8) (30.8) 109.0 601.3 (345.0) (204.9) (176.0) (206.5) (172.9)
Total income contribution 48.5 92.7 118.4 (150.6) 767.1 (51.0) 1.0 (115.8) (374.4) 94.1 (73.8) 9.1 (163.8) (78.1) 154.3 (117.2) (54.9) 24.0 (50.7) (94.4) (69.7) (18.4) (67.2) (51.2) (39.9) (60.6) (27.4) (45.0) (11.9) (32.8) (30.8) 109.0 601.3 (345.0) (204.9) (176.0) (206.5) (172.9)
Net interest rate sensitive strategies:
Income excluding market-driven value changes 20.6 24.6 22.0 31.9 32.3 40.6 44.2 54.7 44.8 43.0 40.9 48.7 41.2 46.3 42.8 32.6 29.7 21.7 26.0 33.9 14.6 28.5 23.8 32.8 27.4 23.6 36.0 21.3 11.5 19.7 36.5 99.1 171.8 177.4 162.9 111.3 99.7 108.3
Market-driven value changes (19.8) (26.5) (32.1) (19.6) 293.4 (158.1) (45.7) (154.7) (109.3) (108.4) (157.7) (91.9) 43.0 (17.0) 60.7 (41.9) (36.7) (34.8) 55.6 (50.7) (41.8) (11.6) (23.4) (7.4) (32.8) (28.5) (3.7) 7.2 (3.5) (10.7) (0.5) (98.0) (65.1) (467.3) 44.9 (66.7) (84.2) (57.8)
Total income contribution 0.8 (1.9) (10.1) 12.3 325.4 (117.5) (1.5) (100.1) (64.6) (65.4) (116.8) (43.2) 84.2 29.4 103.5 (9.3) (7.0) (13.2) 81.6 (16.8) (27.2) 16.9 0.5 25.5 (5.5) (4.9) 32.3 28.5 8.0 9.0 36.0 1.1 106.3 (290.0) 207.8 44.6 15.6 50.5
Weighted average equity allocated 846 812 753 943 790 729 649 730 912 988 1,000 1,099 1,211 1,323 1,344 1,298 1,153 1,076 1,171 1,265 1,248 1,217 1,156 1,100 1,081 1,113 1,154 1,189 1,198 1,187 1,197 838 724 997 1,291 1,174 1,180 1,137
Annualized return on equity (ROE) - 0 (1)% (5)% 5% 165% (64)% (1)% (55)% (28)% (27)% (47)% (16)% 28% 9% 31% (3)% (2)% (5)% 28% (5)% (9)% 6% - 0 9% (2)% (2)% 11% 10% 3% 3% 12% - 0 15% (29)% 16% 4% 1% 4%
Aggregation and securitization:
Income excluding market-driven value changes 3.6 16.2 21.8 23.0 65.8 139.6 86.9 52.7 35.6 19.0 27.8 4.6 4.6 9.8 6.1 7.1 1.8 1.4 8.8 11.3 11.7 9.6 13.2 22.5 10.1 13.7 9.2 (1.0) 16.4 11.1 2.1 64.6 345.0 87.0 27.6 23.3 57.0 32.1
Market-driven value changes - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - - 0 - 0 - 0 - 0 - 0 - 0 - 0
Total income contribution 3.6 16.2 21.8 23.0 65.8 139.6 86.9 52.7 35.6 19.0 27.8 4.6 4.6 9.8 6.1 7.1 1.8 1.4 8.8 11.3 11.7 9.6 13.2 22.5 10.1 13.7 9.2 (1.0) 16.4 11.1 2.1 64.6 345.0 87.0 27.6 23.3 57.0 32.1
Weighted average equity allocated 184 373 587 613 505 458 508 555 475 490 533 450 321 192 141 162 170 126 71 80 77 76 118 150 152 185 176 200 201 215 178 439 507 483 210 111 105 178
Annualized return on equity (ROE) 8% 17% 15% 15% 52% 122% 68% 38% 30% 16% 21% 4% 6% 20% 17% 18% 4% 4% 50% 56% 60% 51% 45% 60% 27% 30% 21% (2)% 33% 21% 5% 15% 68% 18% 13% 21% 54% 18%
Cash, short term investments and other
Income excluding market-driven value changes 0.4 1.6 0.6 0.9 (0.3) 1.2 0.3 1.1 0.6 0.7 0.4 1.1 0.6 - 0 0.3 0.8 1.6 2.3 2.3 1.1 1.8 1.7 1.9 2.2 2.3 0.7 1.0 0.9 0.8 0.5 0.6 3.5 2.3 2.8 1.7 7.2 7.7 4.8
Market-driven value changes - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - - 0 - 0 - 0 - 0 - 0 - 0 - 0
Total income contribution 0.4 1.6 0.6 0.9 (0.3) 1.2 0.3 1.1 0.6 0.7 0.4 1.1 0.6 - 0 0.3 0.8 1.6 2.3 2.3 1.1 1.8 1.7 1.9 2.2 2.3 0.7 1.0 0.9 0.8 0.5 0.6 3.5 2.3 2.8 1.7 7.2 7.7 4.8
Weighted average equity allocated 35 49 87 109 270 244 381 379 300 309 322 376 280 180 128 84 176 264 243 143 210 232 238 259 258 140 119 139 101 58 55 70 319 332 169 202 237 164
Annualized return on equity (ROE) 5% 13% 3% 3% - 0 2% - 0 1% 1% 1% 1% 1% 1% - 0 1% 4% 4% 3% 4% 3% 4% 3% 3% 3% 4% 2% 3% 2% 3% 3% 4% 5% 1% 1% 1% 4% 3% 3%
Management fees & corporate expenses:
Income excluding market-driven value changes (13.4) (15.5) (16.1) (15.9) (14.4) (14.0) (13.6) (14.3) (14.8) (19.0) (12.7) (15.2) (15.3) (15.3) (15.8) (14.9) (14.9) (14.7) (15.2) (16.2) (14.7) (15.2) (15.6) (15.2) (14.3) (14.4) (14.3) (15.7) (14.8) (15.0) (13.4) (60.8) (56.3) (61.7) (61.4) (61.0) (60.8) (58.7)
Market-driven value changes - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - - 0 - 0 - 0 - 0 - 0 - 0 - 0
Total income contribution (13.4) (15.5) (16.1) (15.9) (14.4) (14.0) (13.6) (14.3) (14.8) (19.0) (12.7) (15.2) (15.3) (15.3) (15.8) (14.9) (14.9) (14.7) (15.2) (16.2) (14.7) (15.2) (15.6) (15.2) (14.3) (14.4) (14.3) (15.7) (14.8) (15.0) (13.4) (60.8) (56.3) (61.7) (61.4) (61.0) (60.8) (58.7)
Corporate:
Income excluding market-driven value changes (12.9) (13.9) (15.4) (15.0) (14.7) (12.8) (13.2) (13.3) (14.2) (18.3) (12.3) (14.0) (14.8) (15.3) (15.5) (14.1) (13.3) (12.5) (13.0) (15.0) (12.9) (13.6) (13.7) (13.0) (12.1) (13.7) (13.3) (14.8) (14.0) (14.5) (12.8) (57.3) (54.0) (58.8) (59.7) (53.8) (53.0) (53.9)
Market-driven value changes - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - - 0 - 0 - 0 - 0 - 0 - 0 - 0
Total income contribution (12.9) (13.9) (15.4) (15.0) (14.7) (12.8) (13.2) (13.3) (14.2) (18.3) (12.3) (14.0) (14.8) (15.3) (15.5) (14.1) (13.3) (12.5) (13.0) (15.0) (12.9) (13.6) (13.7) (13.0) (12.1) (13.7) (13.3) (14.8) (14.0) (14.5) (12.8) (57.3) (54.0) (58.8) (59.7) (53.8) (53.0) (53.9)
Weighted average equity allocated 35 49 87 109 270 244 381 379 300 309 322 376 280 180 128 84 176 264 243 143 210 232 238 259 258 140 119 139 101 58 55 70 319 332 169 202 237 164
Annualized return on equity (ROE)(1) (3)% (3)% (3)% (3)% (3)% (2)% (2)% (2)% (2)% (3)% (2)% (2)% (3)% (3)% (3)% (3)% (3)% (3)% (3)% (3)% (3)% (3)% (3)% (3)% (2)% (3)% (3)% (3)% (3)% (3)% (3)% (3)% (2)% (3)% (3)% (3)% (3)% (3)%
Benefit / (Provision) for income tax expense:
Income excluding market-driven value changes 3.7 (1.6) (3.0) (0.7) (10.2) (3.4) (22.7) 9.0 (19.4) (14.7) (2.9) (2.8) (3.3) (4.2) (3.5) (2.6) (1.7) (3.9) (7.0) (8.1) (1.8) (2.9) (2.7) (4.4) 1.1 (2.3) (3.3) 5.1 2.0 3.4 3.0 (1.6) (27.3) (39.8) (13.6) (20.6) (11.9) 0.6
Market-driven value changes - 0 12.5 24.8 - 0 - 0 - 0 - 0 - 0 - 0 39.0 7.6 5.4 (33.8) (26.7) (75.0) 12.8 23.5 (18.3) (50.0) 20.6 17.1 (0.3) 17.6 (4.2) 14.8 (7.2) 14.6 11.2 (4.3) 10.7 (11.9) 37.3 - 0 52.0 (122.7) (24.1) 30.2 33.4
Total income contribution 3.7 10.9 21.9 (0.7) (10.2) (3.4) (22.7) 9.0 (19.4) 24.3 4.7 2.6 (37.2) (30.9) (78.5) 10.1 21.9 (22.2) (57.0) 12.6 15.2 (3.2) 14.9 (8.6) 16.0 (9.5) 11.3 16.2 (2.3) 14.1 (8.9) 35.7 (27.3) 12.2 (136.4) (44.7) 18.3 34.1
Net income (loss):
Income excluding market-driven value changes 41.7 50.4 58.0 76.3 116.7 219.0 134.6 28.0 82.7 68.5 86.5 62.3 56.2 55.8 46.5 39.0 35.0 24.9 32.2 40.9 27.9 34.7 35.1 51.5 40.7 36.0 42.4 21.5 27.6 31.9 40.9 226.3 498.4 300.0 197.5 133.1 149.2 139.7
Market-driven value changes 11.8 (6.2) 12.0 (17.7) (711.3) 245.6 (35.0) 54.9 (11.1) (30.4) (122.5) (79.2) (75.3) (126.6) (34.6) (34.4) 25.7 (0.3) 29.2 12.0 19.7 (9.2) 6.3 (4.9) (31.0) (28.0) 15.9 30.9 (3.0) (0.9) (66.2) (0.1) (445.8) (243.2) (270.8) 66.6 11.8 (12.4)
Total income contribution 53.5 44.2 70.0 58.6 (594.7) 464.6 99.5 82.9 71.6 38.1 (36.0) (16.9) (19.1) (70.7) 11.9 4.7 60.7 24.6 61.4 52.9 47.6 25.4 41.4 46.5 9.7 8.0 58.3 52.4 24.6 30.9 (25.4) 226.3 52.3 56.8 (73.3) 199.7 161.0 127.9
Weighted average equity allocated 1,664 1,844 2,089 2,295 2,324 2,079 2,277 2,321 2,339 2,367 2,419 2,431 2,288 2,167 2,072 1,986 1,984 1,953 1,952 1,962 1,974 1,961 1,947 1,943 1,940 1,888 1,878 1,882 1,889 1,871 1,839 1,973 2,250 2,388 2,134 1,965 1,959 1,900
Annualized return on equity (ROE) 13% 10% 13% 10% (102)% 89% 17% 14% 12% 6% (6)% (3)% (3)% (13)% 2% 1% 12% 5% 13% 11% 10% 5% 9% 10% 2% 2% 12% 11% 5% 7% -6% 11% 2% 2% (3)% 10% 8% 7%
Dividends on preferred stock: (6.2) (6.2) (6.2) (6.2) (6.2) (6.2) (6.2) (6.2) (6.2) (6.2) (8.0) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (24.9) (24.9) (30.9) (41.8) (41.8) (41.8) (41.8)
Weighted average equity allocated 300 300 300 300 300 300 300 300 300 300 421 541 541 541 541 541 541 541 542 541 541 541 541 541 541 541 541 541 541 541 541 300 300 393 541 541 541 541
Annualized return on equity (ROE) (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)% (8)%
Net income (loss) attributable to common shareholders: 47.3 38.0 63.8 52.4 (600.9) 458.4 93.3 76.6 65.4 31.9 (43.9) (27.3) (29.6) (81.2) 1.5 (5.8) 50.2 14.2 51.0 42.5 37.2 15.0 31.0 36.1 (1.0) (2.9) 47.8 41.9 14.2 20.5 (35.8) 201.4 27.4 26.1 (115.1) 157.8 119.2 86.1
Weighted average equity allocated 1,364 1,544 1,789 1,995 2,024 1,780 1,977 2,022 2,039 2,067 1,998 1,890 1,746 1,626 1,531 1,444 1,443 1,411 1,411 1,420 1,433 1,419 1,406 1,402 1,398 1,346 1,337 1,341 1,347 1,330 1,298 1,673 1,951 1,995 1,592 1,424 1,417 1,359
Annualized return on equity (ROE) 14% 10% 14% 10% (119)% 103% 19% 15% 13% 6% (9)% (6)% (7)% (20)% - 0 (2)% 14% 4% 14% 12% 10% 4% 9% 10% $ - -1% 14% 13% 4% 6% -11% 12% 1% 1% (7)% 11% 8% 6%
Net income excluding market-driven value changes 41.7 50.4 58.0 76.3 116.7 219.0 134.6 28.0 82.7 68.5 86.5 62.3 56.2 55.8 46.5 39.0 35.0 24.9 32.2 40.9 27.9 34.7 35.1 51.5 40.7 36.0 42.4 21.5 27.6 31.9 40.9 226.3 498.4 300 197.5 133.1 149.2 139.7
Dividends on preferred stock (6.2) (6.2) (6.2) (6.2) (6.2) (6.2) (6.2) (6.2) (6.2) (6.2) (8.0) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) (10.5) -24.9 -24.9 -30.9 -41.8 -41.8 -41.8 -41.8
Adjusted net income to common shareholders before interest on exchangeable notes, net of income taxes 35.5 44.2 51.8 70.1 110.5 212.8 128.4 21.8 76.5 62.3 78.5 51.8 45.7 45.3 36.0 28.5 24.5 14.4 21.7 30.4 17.4 24.2 24.6 41.0 30.2 25.5 31.9 11.0 17.2 21.4 30.4 201.4 473.5 269.1 155.7 91.3 107.4 97.9
Interest on exchangeable notes, net of income taxes 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 6.4 0.0 6.4 6.4 6.4 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 25.1 0 0
Adjusted net income to common shareholders 35.5 44.2 51.8 70.1 110.5 212.8 128.4 21.8 76.5 62.3 78.5 51.8 45.7 45.3 36.0 28.5 30.9 14.4 28.1 36.8 23.8 24.2 24.6 41.0 30.2 25.5 31.9 11.0 17.2 21.4 30.4 201.4 473.5 269.1 155.7 116.4 107.4 97.9
Diluted shares outstanding 73.4 81.9 92.8 101.9 100.2 101.6 99.4 98.5 98.1 98.0 97.5 96.4 94.1 92.0 90.6 89.1 113.4 87.3 111.1 111.0 111.0 86.8 86.9 86.9 86.9 87.0 87.0 87.0 87.1 87.2 87.2 87.7 99.4 97.4 91.4 111.7 86.8 87.0
Adjusted EPS $0.48 $0.54 $0.56 $0.69 $1.10 $2.09 $1.29 $0.22 $0.78 $0.64 $0.81 $0.54 $0.49 $0.49 $0.40 $0.32 $0.27 $0.17 $0.25 $0.33 $0.21 $0.28 $0.28 $0.47 $0.35 $0.29 $0.37 $0.13 $0.20 $0.25 $0.35 $2.30 $4.76 $2.76 $1.70 $1.04 $1.24 $1.13
Weighted average common equity 1,364 1,544 1,789 1,995 2,024 1,780 1,977 2,022 2,039 2,067 1,998 1,890 1,746 1,626 1,531 1,444 1,443 1,411 1,411 1,420 1,433 1,419 1,406 1,402 1,398 1,346 1,337 1,341 1,347 1,330 1,298 1,673 1,951 1,995 1,592 1,424 1,417 1,359
Annualized Adjusted ROE 10% 11% 12% 14% 22% 48% 26% 4% 15% 12% 16% 11% 10% 11% 9% 8% 7% 4% 6% 9% 5% 7% 7% 12% 9% 8% 10% 3% 5% 6% 9% 12% 24% 13% 10% 6% 8% 7%
(1) Calculated as a percentage of total equity

6) Credit Sensitive Strategies

PennyMac Mortgage Investment Trust - Credit Sensitive Strategies
$ in millions
1Q19 2Q19 3Q19 4Q19 1Q20 2Q20 3Q20 4Q20 1Q21 2Q21 3Q21 4Q21 1Q22 2Q22 3Q22 4Q22 1Q23 2Q23 3Q23 4Q23 1Q24 2Q24 3Q24 4Q24 1Q25 2Q25 3Q25 4Q25 1Q26 2Q26 3Q26 2019 2020 2021 2022 2023 2024 2025
Mortgage-backed securities (3) (3) 12 - - - - 0 (1) (2) (10) (0) 1 6 11 11 8 4 2 1 (0) (1) 1 (1) - 0 - 0 (0) (0) - 0 6 (1) (12) 36 7 (1)
Loans at fair value 0 (5) (1) (1) (1) (0) 0 0 0 0 1 (0) 0 0 0 0 2 (2) (2) 5 3 (1) 6 (4) 3 (1) 5 9 2 0 (54) (7) (1) 1 1 3 4 15
Loans held by variable interest entity net of asset-backed secured financing 0 0 - 0 - 0 - - - - - - - 0 6 (7) (6) (6) 2 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 0 - 0 6 (18) - 0 - 0 - 0
CRT investments 53 31 51 37 (980) 488 61 164 154 98 74 43 (36) (42) 4 8 46 60 30 46 52 17 21 25 (2) 20 14 16 14 10 10 172 (267) 369 (65) 183 114 48
Hedging derivatives 2 (2) 65 (13) (13) (14) 0 0 1 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0
Net gains on loans held for sale 11 11 11 18 (32) (8) (4) - (0) 0 - 0 (0) (0) 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 51 (44) (0) 0 - 0 - 0 - 0
Net gains on investments and financings 65 37 62 52 (951) 465 56 150 154 98 76 48 (45) (58) (2) 11 54 69 39 59 60 17 27 20 (0) 20 18 25 16 10 (44) 215 (281) 377 (94) 221 124 62
Interest income 8 10 12 9 7 1 1 1 1 0 1 1 2 6 12 18 21 25 26 26 24 23 21 21 20 21 21 18 19 22 24 39 9 3 39 99 90 79
Interest expense (12) (14) (21) (20) (15) (9) (6) (10) (17) (16) (14) (12) (10) (10) (14) (18) (18) (22) (23) (24) (23) (24) (22) (21) (18) (19) (20) (19) (19) (20) (21) (67) (39) (60) (52) (87) (90) (75)
Net interest income (expense) (4) (4) (8) (11) (8) (8) (6) (9) (17) (16) (13) (11) (8) (5) (2) 1 4 3 3 2 1 (1) (1) 0 1 2 1 (1) 1 1 3 (28) (30) (57) (14) 12 (0) 4
Other (0) 3 1 (0) 0 3 2 0 1 0 1 2 0 (0) 1 (1) 0 (0) (0) 0 0 (0) (0) (0) (0) - 0 (0) 0 (0) (0) (0) 5 6 3 1 (0) (0) (0)
Net investment income 61 36 55 40 (959) 460 53 141 139 83 63 39 (53) (62) (3) 11 58 72 42 61 61 16 27 20 1 22 19 24 17 11 (42) 192 (305) 323 (107) 233 124 66
Loan servicing expenses 0 1 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 2 1 0 0 0 0 0
Loan collection and liquidation - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - - - - - - - - - 0 - 0 - 0 - 0 0 (0) 0 0 0 0 0 0 0 0 0 - 0 - 0 - 0 - 0 - 0 0 0
Other expenses 2 2 2 1 1 1 3 6 4 4 2 6 3 1 1 0 1 1 0 0 0 0 0 - 0 0 0 0 0 0 0 0 7 11 16 6 2 0 0
Total expenses 3 3 3 1 1 1 3 7 4 4 2 6 3 1 1 0 1 1 1 0 0 0 0 0 0 0 0 0 0 0 0 10 12 16 6 2 1 0
Pretax income (loss) 58 33 52 39 (960) 459 50 135 134 79 61 33 (56) (64) (4) 11 57 71 41 61 61 16 26 20 1 22 19 24 16 11 (42) 182 (317) 307 (113) 230 123 65
CRT investments (carrying value)
CRT derivatives 130 61 121 116 (186) (64) (82) 32 45 35 32 19 (8) (23) (22) (22) (14) (4) 5 16 23 24 30 29 28 31 31 33 30 30 31 116 32 19 (22) 16 29 33
CRT strips - 0 62 68 55 (175) (61) (53) (203) (110) (68) (40) (27) (69) (118) (130) (137) (113) (79) (69) (47) (17) (17) (13) (4) (16) (10) (9) (6) (4) (5) (5) 55 (203) (27) (137) (47) (4) (6)
Deposits securing CRT arrangements 1,137 2,061 2,044 1,970 1,856 1,666 1,418 2,799 2,664 2,256 1,963 1,705 1,537 1,431 1,369 1,325 1,298 1,270 1,237 1,209 1,187 1,163 1,135 1,111 1,088 1,065 1,033 1,009 970 948 887 1,970 2,799 1,705 1,325 1,209 1,111 1,009
Interest-only security payable (33) (26) (25) (26) (14) (15) (13) (11) (19) (13) (12) (11) (16) (19) (21) (22) (23) (24) (28) (33) (32) (33) (35) (34) (36) (37) (37) (38) (34) (34) (35) (26) (11) (11) (22) (33) (34) (38)
Firm commitment to purchase CRT securities at fair value 80 16 55 110 (410) (191) (149) - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0
Face amount of firm commitment to purchase CRT securities 887 324 847 1,502 2,057 1,795 1,700 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0
Total carrying value of CRT investments 2,202 2,498 3,111 3,727 3,128 3,130 2,821 2,618 2,581 2,210 1,943 1,686 1,444 1,270 1,195 1,144 1,148 1,163 1,145 1,146 1,160 1,138 1,117 1,102 1,065 1,049 1,019 998 962 938 878 3,727 2,618 1,686 1,144 1,146 1,102 998
UPB of loans and delinquency status for CRT investments (at period end)
Current 28,989 49,937 45,467 41,356 37,579 28,675 24,184 54,990 45,423 39,006 33,723 29,582 27,395 25,727 24,708 24,674 24,278 23,614 23,028 22,532 22,187 21,639 21,106 20,628 20,270 19,791 19,314 18,908 18,167 17,597 16,389 41,356 54,990 29,582 24,674 22,532 20,628 18,908
30-89 days delinquent 199 373 505 463 496 1,447 621 711 489 375 385 349 313 319 328 409 322 363 384 412 363 404 424 415 382 387 434 413 364 341 340 463 711 349 409 412 415 413
90-180 days delinquent 41 60 73 106 111 1,927 914 693 472 279 151 121 109 102 99 112 108 91 116 120 98 101 119 131 113 107 106 110 96 79 79 106 693 121 112 120 131 110
180 days or more delinquent 3 5 4 9 15 31 959 2,297 2,014 1,570 1,109 749 329 158 110 94 92 83 66 65 48 43 42 51 63 46 59 58 63 51 51 9 2,297 749 94 65 51 58
Foreclosure 4 9 10 10 8 6 5 6 6 4 4 8 16 23 21 27 24 17 19 24 28 19 17 24 22 25 25 28 26 22 19 10 6 8 27 24 24 28
Total UPB underlying CRT investments 29,236 50,384 46,059 41,944 38,208 32,086 26,682 58,698 48,404 41,234 35,372 30,809 28,161 26,328 25,265 25,316 24,824 24,168 23,614 23,152 22,726 22,205 21,708 21,249 20,849 20,356 19,937 19,518 18,716 18,090 16,878 41,944 58,698 30,809 25,316 23,152 21,249 19,518
Bankruptcy 30 42 51 55 60 66 64 76 77 73 76 65 59 54 55 54 58 60 61 59 58 65 64 64 62 66 68 68 61 56 54 55 76 65 54 59 64 68
60+ day delinquency rate (at period end) 0.27% 0.27% 0.31% 0.35% 0.33% 7.30% 6.02% 5.48% 5.46% 4.72% 3.79% 3.06% 1.85% 1.31% 1.14% 1.25% 1.18% 1.12% 1.18% 1.23% 1.11% 1.11% 1.23% 1.48% 1.35% 1.26% 1.47% 1.47% 1.44% 1.24% 1.37% 0.35% 5.48% 3.06% 1.25% 1.23% 1.48% 1.47%
Weighted average current LTV (at period end) 76.7% 75.9% 76.1% 76.6% 76.6% 75.8% 73.7% 70.6% 69.1% 64.3% 63.90% 58.9% 56.7% 52.9% 52.2% 53.4% 53.8% 51.6% 50.5% 50.1% 50.1% 48.5% 47.5% 47.4% 47.3% 43.4% 46.0% 46.2% 46.4% 45.4% 45.1% 76.6% 70.6% 58.9% 53.4% 50.1% 47.4% 46.2%
Income from CRT investments
Net gain (loss) on loans acquired for sale - fair value of firm commitment to purchase CRT securities recognized upon sales of loans 20 20 26 33 (27) (8) (4) - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 99 (38) - 0 - 0 - 0 - 0 - 0
Firm commitment to purchase CRT securities 22 4 13 21 (493) 226 46 99 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 61 (121) - 0 - 0 - 0 - 0 - 0
CRT derivatives
Realized 21 21 19 18 17 14 11 (96) 23 29 21 20 21 9 5 3 3 5 4 6 3 4 3 3 3 3 3 3 3 2 2 80 (54) 94 38 19 13 11
Valuation changes 6 (6) (5) (5) (301) 123 (18) 114 13 (9) (3) (13) (27) (15) (0) (0) 8 9 9 11 7 1 5 (0) (1) 3 0 1 (2) 0 0 (10) (83) (13) (42) 38 14 4
Total 28 15 15 13 (284) 136 (7) 18 36 19 18 7 (6) (6) 4 3 11 15 13 17 10 5 9 3 2 5 3 4 0 2 3 70 (137) 81 (4) 57 27 14
CRT strips
Realized - 0 6 16 10 15 13 10 16 33 31 26 22 18 16 14 13 12 12 11 11 12 12 11 11 10 10 10 10 9 9 8 32 55 112 60 46 46 39
Valuation changes - 0 - 0 5 (7) (230) 114 9 28 93 42 28 13 (42) (50) (12) (7) 24 34 10 22 29 0 3 9 (12) 5 1 4 2 (1) 0 (2) (79) 176 (110) 91 43 (2)
Total - 0 6 21 3 (215) 127 19 45 126 73 55 34 (24) (34) 2 6 36 46 21 33 41 12 14 21 (2) 15 11 13 10 8 8 30 (24) 288 (50) 137 88 37
Interest-only security payable at fair value 3 6 2 (1) 12 (1) 2 2 (8) 6 1 1 (6) (3) (2) (1) (1) (1) (4) (4) 0 (0) (2) 1 (2) (1) (0) (1) 3 (0) (0) 10 15 0 (11) (11) (2) (3)
Interest income - deposits securing CRT arrangements 7 8 11 8 6 1 0 0 0 0 0 0 0 2 7 12 14 16 16 16 16 15 15 13 12 11 11 10 9 8 8 34 7 1 21 63 59 44
Total investment income (loss) from CRT investments 80 59 88 79 (1,000) 481 57 164 154 98 74 43 (35) (40) 11 20 60 76 47 62 67 32 36 38 10 32 25 26 23 18 18 305 (298) 370 (44)
Net payments made (recoveries received) to settle losses (recoveries) on CRT 1 1 2 2 2 3 3 108 (13) (20) (14) (15) (16) (4) 0 1 1 0 0 1 0 0 1 0 1 1 1 1 1 1 2 5 115 (62) (19) 4 2 4
Fair value of subordinate MBS held in VIE from PMT private label securitizations (at period end) N/A N/A N/A N/A 8 8 9 8 8 18 38 79 90 80 73 73 75 74 71 76 79 69 74 121 189 274 361 546 735 853 930 N/A 8 79 73 76 121 546
Number of private label securitizations completed - - - - - - - - - - - - - - - - - - - - - - - 2 3 4 4 8 8 6 8 - - - - - 2 19
UPB of private label securitizations completed - - - - - - - - - - - - - - - - - - - - - - - 822 1,018 1,385 1,472 2,796 2,838 2,182 2,875 - - - - - 822 6,671
Retained credit sensitive investments - - - - - - - - - - - - - - - - - - - - - - - 52 66 87 84 184 189 120 135 - - - - - 52 421
Retained interest rate sensitive investments - - - - - - - - - - - - - - - - - - - - - - - - 29 66 50 - 12 - 32 - - - - - - 145

7) Int. Rate Sensitive Strategi

PennyMac Mortgage Investment Trust - Interest Rate Sensitive Strategies
$ in millions
1Q19 2Q19 3Q19 4Q19 1Q20 2Q20 3Q20 4Q20 1Q21 2Q21 3Q21 4Q21 1Q22 2Q22 3Q22 4Q22 1Q23 2Q23 3Q23 4Q23 1Q24 2Q24 3Q24 4Q24 1Q25 2Q25 3Q25 4Q25 1Q26 2Q26 3Q26 2019 2020 2021 2022 2023 2024 2025
Mortgage-backed securities 37 27 13 (1) 119 20 (50) (7) (71) 29 (19) (13) (184) (173) (251) 43 72 (72) (155) 111 (23) (37) 123 (131) 66 14 38 31 (33) 0 (167) 77 81 (74) (565) (44) (68) 150
Loans held by variable interest entity net of asset-backed secured financing 1 1 (0) (1) (1) 1 0 (1) (1) 1 1 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 0 (1) 1 - 0 - 0 - 0 - 0
Loans at fair value - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 (0) 1 6 (6) 3 0 (3) 5 (4) (0) 8 (3) (6) 12 49 - 0 - 0 - 0 - 0 1 4 1
Hedging derivatives 7 37 (15) (0) (0) (3) 12 0 (0) (0) (1) - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 29 9 (2) - 0 - 0 - 0 - 0
Excess servicing spread investments (4) (3) (3) 3 (14) (0) (3) (6) 2 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 (8) (23) 2 - 0 - 0 - 0 - 0
Net gains on investments and financings 41 62 (6) 1 104 17 (40) (14) (71) 30 (18) (13) (184) (173) (251) 43 71 (71) (148) 105 (20) (37) 120 (126) 62 14 47 28 (39) 12 (118) 99 66 (73) (565) (43) (63) 151
Contractually specified servicing and other fees 64 73 83 98 102 114 117 130 133 149 152 162 156 158 167 170 168 172 171 165 163 165 167 164 156 158 156 155 151 149 144 319 463 595 651 676 659 625
Realization of MSR cash flows (41) (47) (56) (59) (64) (59) (53) (56) (59) (70) (81) (88) (89) (87) (96) (99) (92) (103) (102) (88) (100) (97) (101) (91) (89) (98) (89) (104) (107) (100) (85) (202) (233) (298) (370) (385) (388) (380)
Changes in fair value of MSRs due to changes in fair value inputs (97) (137) (158) 129 (563) (112) (13) (18) 338 (230) (63) (84) 393 220 163 44 (46) 15 263 (145) 72 46 (84) 184 (56) 23 (27) 26 46 19 210 (262) (706) (39) 820 88 217 (34)
Hedging results 41 56 134 (150) 767 (51) 1 (116) (374) 94 (74) 9 (164) (78) 154 (117) (55) 24 (51) (11) (90) (18) (67) (51) (40) (61) (27) (45) (12) (33) (31) 81 602 (345) (205) (93) (227) (173)
From PFSI--MSR recapture income 1 1 1 2 3 5 9 11 14 12 13 13 8 3 2 1 0 1 1 0 0 0 0 1 1 1 3 4 6 5 3 5 28 51 14 2 2 10
Net loan servicing fees (31) (54) 5 21 245 (103) 60 (49) 50 (45) (53) 12 304 217 390 (2) (24) 109 281 (78) 46 96 (85) 207 (27) 24 15 37 84 40 242 (59) 154 (36) 910 289 265 49
Interest income 34 36 41 44 33 24 34 18 14 10 18 23 29 61 68 80 92 109 114 121 104 111 128 106 120 137 174 189 215 237 242 155 108 65 239 436 450 620
Interest expense (33) (35) (38) (39) (42) (38) (36) (37) (37) (39) (41) (43) (42) (55) (81) (108) (125) (138) (143) (143) (135) (132) (137) (136) (135) (155) (179) (201) (228) (257) (305) (145) (153) (161) (285) (549) (539) (670)
Net interest income (expense) 1 1 4 5 (8) (15) (3) (20) (24) (29) (23) (20) (13) 6 (13) (27) (33) (29) (29) (22) (31) (20) (8) (30) (15) (17) (5) (12) (13) (20) (63) 11 (45) (96) (47) (113) (89) (50)
Net investment income 11 10 3 27 340 (101) 17 (82) (45) (44) (95) (21) 107 50 126 14 15 8 104 6 (5) 39 26 52 20 21 57 53 31 32 61 51 175 (205) 298 133 112 150
Loan servicing expenses 10 11 12 13 14 15 19 18 19 20 21 21 21 20 20 20 20 20 20 20 20 20 22 20 22 22 21 20 20 20 20 47 66 80 82 81 83 84
Loan collection and liquidation - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 1 1 2 2 2 2 1 2 2 2 3 - 0 - 0 - 0 - 0 - 0 6 8
Safekeeping - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 1 1 1 1 1 1 1 1 1 1 1 - 0 - 0 - 0 - 0 - 0 4 4
Other expenses 0 1 1 1 1 2 0 (1) 1 2 1 2 2 1 3 3 1 1 3 2 0 0 0 2 0 0 1 1 1 1 1 3 2 5 8 7 3 2
Total expenses 10 12 13 14 15 17 19 18 20 21 22 22 23 21 23 23 22 21 23 22 22 22 26 26 25 26 24 24 24 23 25 50 69 85 90 88 97 99
Pretax income (loss) 1 (2) (10) 12 325 (117) (1) (100) (65) (65) (117) (43) 84 29 104 (9) (7) (13) 82 (17) (27) 17 0 25 (5) (5) 32 28 8 9 36 1 106 (290) 208 45 16 50
MSR Fair Value Walk
MSR fair value at beginning of period 1,162 1,157 1,126 1,163 1,536 1,157 1,190 1,388 1,755 2,441 2,551 2,826 2,893 3,391 3,696 3,941 4,013 3,975 3,978 4,109 3,919 3,952 3,942 3,809 3,867 3,770 3,739 3,669 3,645 3,624 3,576 1,162 1,536 1,755 2,893 4,013 3,919 3,867
Purchases - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 16 (0) 29 (0) - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 16 29 - 0
Transfer to Agency of mortgage servicing rights relating to delinquent loans - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 0 (1) 0 0 0 0 0 0 0 0 0 0 0 0 2 (204) - 0 - 0 - 0 0 (0) 1 1
Exchange of mortgage servicing spread for interest-only stripped mortgage-backed securities and interest receivable - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 (105) - 0 - 0 - 0 (36) (95) - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 (105) (130) - 0
Sales - 0 - 0 - 0 (0) - 0 - 0 (0) - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 (0) (0) - 0 - 0 - 0 - 0 - 0
MSRs resulting from loan sales 132 153 250 303 249 203 265 441 408 413 425 239 195 171 178 127 101 91 59 43 31 41 88 60 47 44 46 53 40 31 17 838 1,158 1,485 670 293 219 190
Due to changes in inputs used in valuation model (97) (137) (158) 129 (563) (112) (13) (18) 338 (230) (63) (84) 393 220 163 44 (46) 15 263 (145) 72 46 (84) 184 (56) 23 (27) 26 46 19 210 (262) (706) (39) 820 88 217 (34)
Other changes in fair value (41) (47) (56) (59) (64) (59) (53) (56) (59) (70) (81) (88) (89) (87) (96) (99) (92) (103) (102) (88) (100) (97) (101) (91) (89) (98) (89) (104) (107) (100) (85) (202) (233) (298) (370) (385) (388) (380)
Recombination with loans at fair value resulting from consolidation of VIEs - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 (3) (7) - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 (10) - 0 - 0 - 0 - 0
MSR fair value at end of period 1,157 1,126 1,163 1,536 1,157 1,190 1,388 1,755 2,441 2,551 2,826 2,893 3,391 3,696 3,941 4,013 3,975 3,978 4,109 3,919 3,952 3,942 3,809 3,867 3,770 3,739 3,669 3,645 3,624 3,576 3,514 1,536 1,755 2,893 4,013 3,919 3,867 3,645
MSR Portfolio Characteristics (at period end)
MSR Pool UPB(1) 99,280 106,201 116,372 131,024 141,781 145,315 152,371 170,728 183,464 198,548 212,102 216,065 219,017 222,502 226,808 229,971 231,615 231,661 231,545 230,295 230,494 227,843 228,127 226,238 224,568 221,632 218,799 215,782 212,199 208,427 192,136 131,024 170,728 216,065 229,971 230,295 226,238 215,782
Weighted average coupon 4.3% 4.3% 4.3% 4.2% 4.2% 4.0% 3.9% 3.6% 3.4% 3.3% 3.3% 3.3% 3.3% 3.3% 3.4% 3.5% 3.5% 3.6% 3.6% 3.7% 3.7% 3.7% 3.8% 3.8% 3.8% 3.9% 3.9% 3.9% 3.9% 3.9% 3.9% 4.2% 3.6% 3.3% 3.5% 3.7% 3.8% 3.9%
Weighted average servicing fee 0.26% 0.27% 0.27% 0.28% 0.28% 0.28% 0.28% 0.28% 0.27% 0.27% 0.28% 0.28% 0.28% 0.28% 0.28% 0.29% 0.29% 0.29% 0.28% 0.28% 0.28% 0.28% 0.28% 0.27% 0.27% 0.27% 0.28% 0.28% 0.28% 0.28% 0.28% 0.3% 0.3% 0.3% 0.3% 0.3% 0.3% 0.3%
Weighted average prepayment speed assumption (CPR) 11.6% 13.9% 16.0% 12.1% 18.1% 17.2% 15.3% 12.8% 8.8% 9.7% 9.8% 9.8% 7.8% 6.9% 6.4% 6.3% 6.7% 7.2% 5.9% 7.0% 6.8% 6.8% 7.5% 6.7% 7.3% 7.3% 8.5% 8.4% 7.2% 7.1% 6.7% 12.1% 12.8% 9.8% 6.3% 7.0% 6.7% 8.4%
Fair value 1,157 1,126 1,163 1,536 1,157 1,190 1,388 1,755 2,441 2,551 2,826 2,893 3,391 3,696 3,941 4,013 3,975 3,978 4,109 3,919 3,952 3,942 3,809 3,867 3,770 3,739 3,669 3,645 3,624 3,576 2,514 1,536 1,755 2,893 4,013 3,919 3,867 3,645
As a multiple of servicing fee 4.5x 4.0x 3.6x 4.2x 2.9x 2.9x 3.3x 3.7x 4.9x 4.7x 4.8x 4.9x 5.6x 5.9x 6.1x 6.1x 6.0x 5.9x 6.3x 6.0x 6.1x 6.1x 6.0x 6.3x 6.1x 6.1x 6.1x 6.1x 6.2x 6.2x 6.6x 4.2x 3.7x 4.9x 6.1x 6.0x 6.3x 6.1x
(1) Owned MSR portfolio and excludes loans acquired for sale at fair value
MBS Fair Value Walk
MBS fair value at beginning of period 2,610 2,589 2,600 2,467 2,840 3,947 2,613 2,405 2,214 1,916 2,310 2,471 2,667 3,070 3,853 3,880 4,463 4,629 4,731 4,666 4,836 3,950 4,068 4,182 4,064 4,036 3,967 4,609 4,453 3,766 4,076 2,610 2,840 2,214 2,667 4,463 4,836 4,064
Purchases - 0 81 528 641 1,615 - 0 154 563 1,259 424 249 301 662 2,099 354 603 2,785 260 64 63 160 240 81 158 - 0 37 905 - 0 4 486 548 1,250 2,332 2,233 3,718 3,172 638 942
Sales - 0 - 0 (704) - 0 (489) (1,113) - 0 (378) (1,301) - 0 - 0 - 0 - 0 (1,080) - 0 - 0 (2,630) - 0 - 0 - 0 (941) - 0 (36) (95) - 0 - 0 (195) - 0 (477) - 0 - 0 (704) (1,980) (1,301) (1,080) (2,630) (1,072) (195)
Repayments (54) (91) 34 (271) (123) (227) (331) (361) (182) (58) (67) (89) (70) (69) (76) (64) (65) (96) (90) (99) (70) (93) (105) (149) (103) (128) (127) (201) (189) (186) (135) (381) (1,043) (396) (278) (349) (417) (558)
Exchange of mortgage servicing spread for interest-only stripped securities - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 104 - 0 - 0 - 0 36 95 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 104 130 - 0
Amortization of net purchase premiums (5) (6) (6) 4 (12) (12) 7 (7) (3) (2) (2) (3) (1) 15 0 (1) (2) (0) 1 3 3 7 16 3 10 8 21 13 8 10 (16) (13) (23) (9) 13 2 29 51
Valuation adjustments 37 27 13 (1) 116 17 (38) (7) (71) 29 (19) (14) (187) (182) (251) 44 78 (62) (144) 202 (38) (35) 123 (131) 65 15 38 31 (33) 0 (167) 77 88 (74) (577) 75 (81) 148
MBS fair value at end of period 2,589 2,600 2,467 2,840 3,947 2,613 2,405 2,214 1,916 2,310 2,471 2,667 3,070 3,853 3,880 4,463 4,629 4,731 4,666 4,836 3,950 4,068 4,182 4,064 4,036 3,967 4,609 4,453 3,766 4,076 4,306 2,840 2,214 2,667 4,463 4,836 4,064 4,453
Fair value of senior MBS held in VIE from PMT private label securitizations (at period end) N/A N/A N/A N/A - - - - - - - - - - - - - - - - - - - - 28 56 103 93 94 84 108 N/A - - - - - 93

8) Aggregation and Securitizati

PennyMac Mortgage Investment Trust - Aggregation and Securitization
$ in millions
1Q19 2Q19 3Q19 4Q19 1Q20 2Q20 3Q20 4Q20 1Q21 2Q21 3Q21 4Q21 1Q22 2Q22 3Q22 4Q22 1Q23 2Q23 3Q23 4Q23 1Q24 2Q24 3Q24 4Q24 1Q25 2Q25 3Q25 4Q25 1Q26 2Q26 3Q26 2019 2020 2021 2022 2023 2024 2025
Net gains on loans acquired for sale 10 23 39 47 81 170 102 71 53 28 16 (10) 4 8 4 10 6 4 14 15 15 12 20 26 12 18 15 7 23 15 5 119 424 87 26 40 73 52
Interest income 20 26 33 42 31 16 26 29 23 33 39 31 19 23 28 33 37 26 15 16 12 15 24 32 33 36 33 39 40 43 47 121 103 125 103 94 83 142
Interest expense (10) (17) (26) (33) (24) (14) (17) (23) (22) (24) (20) (19) (12) (12) (18) (29) (35) (27) (16) (18) (12) (15) (24) (30) (28) (30) (28) (33) (32) (32) (37) (86) (77) (85) (71) (96) (81) (119)
Net interest income (expense) 11 9 8 8 7 2 10 7 1 9 19 12 8 11 10 4 2 (1) (2) (1) (0) (0) (0) 3 6 6 5 6 8 11 10 35 26 40 33 (2) 2 22
Other income 13 18 26 32 24 25 39 60 53 46 44 28 15 15 13 10 8 4 3 3 2 3 7 4 3 3 3 3 2 2 1 88 148 171 53 19 15 13
Net investment income 34 49 72 88 112 198 151 137 107 82 79 30 27 34 27 24 16 8 15 17 16 15 26 33 21 27 23 16 33 29 16 243 597 299 111 56 90 87
Loan fulfillment expenses 28 30 45 58 42 53 55 73 61 54 44 20 17 21 18 12 12 5 6 5 4 4 11 6 5 6 6 7 6 5 3 161 222 179 68 28 26 24
Professional services - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 4 5 6 7 11 11 9 11 - 0 - 0 - 0 - 0 - 0 4 29
Safekeeping - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 0 0 0 0 0 0 0 0 0 0 0 - 0 - 0 - 0 - 0 - 0 0 0
Loan origination fees - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 0 1 1 1 1 1 1 0 0 0 - 0 - 0 - 0 - 0 - 0 - 0 3 2
Other expenses 3 4 5 6 5 5 9 12 11 9 8 6 5 3 3 4 2 1 1 1 - 0 - 0 - 0 - 0 0 0 0 0 0 3 0 18 30 33 16 5 - 0 0
Total expenses 30 33 50 65 47 58 64 84 71 63 52 26 22 24 21 17 14 6 6 6 5 5 13 11 11 13 14 17 17 17 14 178 253 212 84 33 34 55
Pretax income (loss) 4 16 22 23 65 140 87 53 36 19 28 5 5 10 6 7 2 1 9 11 12 10 13 23 10 14 9 (1) 16 11 2 65 345 87 28 23 57 32
Interest Rate Lock Commitments (UPB)
Conventional Conforming 8,974 12,628 19,461 19,736 19,109 24,804 34,363 39,451 33,998 30,332 29,411 14,717 10,194 11,080 10,647 7,507 7,588 3,322 3,493 2,737 2,472 2,602 7,373 2,741 2,210 3,009 3,364 3,282 2,364 1,357 - 0 60,798 117,728 108,459 39,428 17,140 15,189 11,864
Jumbo 13 14 1 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 3 2 7 - 0 - 0 2 5 10 90 253 454 526 529 1,036 700 1,107 1,239 730 28 - 0 - 0 12 7 807 2,790
Non-QM - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 107 236 582 549 - 0 - 0 - 0 - 0 - 0 - 0 107
Total 8,987 12,642 19,462 19,736 19,109 24,804 34,363 39,451 33,998 30,332 29,411 14,717 10,194 11,083 10,648 7,514 7,588 3,322 3,495 2,742 2,482 2,692 7,626 3,195 2,735 3,539 4,399 4,088 3,706 3,177 1,279 60,826 117,728 108,459 39,440 17,147 15,995 14,762
Acquisitions (UPB)
Conventional Conforming 8,130 10,737 16,644 20,510 16,153 18,900 27,351 37,986 33,762 30,479 28,605 17,157 9,768 10,320 10,225 6,771 6,629 3,029 2,759 2,477 1,769 2,195 5,851 3,241 2,437 2,740 2,786 2,903 2,062 1,371 52 56,021 100,389 110,003 37,085 14,894 13,057 10,866
Jumbo - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 1 3 2 - 0 - 0 - 0 1 3 3 34 97 256 344 346 557 748 647 918 747 - 0 - 0 - 0 6 4 390 1,995
Non-QM - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 32 88 276 400 - 0 - 0 - 0 - 0 - 0 - 0 32
Total 8,130 10,737 16,644 20,510 16,153 18,900 27,351 37,986 33,762 30,479 28,605 17,157 9,769 10,324 10,227 6,771 6,629 3,029 2,760 2,480 1,772 2,229 5,948 3,497 2,782 3,086 3,343 3,682 2,797 2,565 1,199 56,021 100,389 110,003 37,090 14,898 13,446 12,893
PFSI loans acquired by PMT (for inclusion in CRT or private label securitizations) 864 1,442 1,853 2,143 1,881 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 - 0 187 463 637 996 1,296 1,810 1,540 2,224 2,078 6,302 1,881 - 0 - 0 - 0 650 4,739

9) Corporate

PennyMac Mortgage Investment Trust - Corporate
$ in millions
1Q19 2Q19 3Q19 4Q19 1Q20 2Q20 3Q20 4Q20 1Q21 2Q21 3Q21 4Q21 1Q22 2Q22 3Q22 4Q22 1Q23 2Q23 3Q23 4Q23 1Q24 2Q24 3Q24 4Q24 1Q25 2Q25 3Q25 4Q25 1Q26 2Q26 3Q26 2019 2020 2021 2022 2023 2024 2025
Interest income 0 0 1 1 1 0 0 1 1 1 0 1 1 0 1 1 3 3 4 2 3 3 3 3 3 2 2 2 3 3 2 2 2 3 3 11 12 9
Interest expense - - - - (1) (1) (0) - - - - - (0) (0) (1) (1) (1) (1) (1) (1) (1) (1) (1) (1) (1) (1) (1) (1) (2) (2) (1) - (1) - (2) (4) (5) (6)
Net interest income (expense) 0 0 1 1 0 (1) 0 1 1 1 0 1 1 0 0 0 2 2 2 1 2 2 2 2 2 1 1 1 1 0 1 2 1 3 1 7 8 3
Other income 0 1 0 0 0 2 - - - - - - - - - 1 - - - - - - - - - - - - - - - 1 2 - 1 - - -
Net investment income 0 2 1 1 0 1 0 1 1 1 0 1 1 0 0 1 2 2 2 1 2 2 2 2 2 1 1 1 1 0 1 4 3 3 2 7 8 3
0
Management fee expense 7 9 10 10 9 8 9 9 8 12 9 9 8 8 8 7 7 7 7 7 7 7 7 7 7 7 7 7 7 7 7 36 35 38 31 29 29 27
Professional services - - - - - - - - - - - - - - - - - - - - 2 2 3 3 2 2 2 3 3 2 2 - - - - - 9 10
Compensation - - - - - - - - - - - - - - - - - - - - 2 1 1 1 3 3 3 3 3 3 3 - - - - - 6 12
Other expenses 6 7 6 6 5 6 5 6 6 7 4 6 7 7 8 8 8 8 8 9 4 4 4 5 2 3 3 2 2 2 2 24 22 24 30 32 17 10
Total expenses 13 15 16 16 14 14 14 14 15 19 13 15 15 15 16 15 15 15 15 16 15 15 16 15 14 14 14 16 15 15 13 61 56 62 61 61 61 59
Pretax income (loss) (13) (14) (15) (15) (14) (13) (13) (13) (14) (18) (12) (14) (15) (15) (15) (14) (13) (12) (13) (15) (13) (14) (14) (13) (12) (14) (13) (15) (14) (15) (13) (57) (53) (59) (60) (54) (53) (56)
PennyMac Mortgage Investment Trust published this content on October 28, 2026, and is solely responsible for the information contained herein. Distributed via Public Technologies (PUBT), unedited and unaltered, on October 29, 2026 at 20:23 UTC. If you believe the information included in the content is inaccurate or outdated and requires editing or removal, please contact us at [email protected]