PennyMac Mortgage Investment Trust (PMT) SEC Filings & Earnings Calls

Interest rate sensitivity

“Elevated interest rates in recent years have constrained the mortgage origination market, which is currently projected to increase from $1.9 trillion in 2025 to $2.2 trillion in 2026 according to mortgage industry economists, although recent increases in interest rates may lead to a reduction in origination estimates for 2026.” · word for word

MSR valuation risk

“Changes in fair value due to changes in valuation inputs used in our valuation model are affected by the magnitude of the interest rate changes and the interest rate and prepayment sensitivities of the MSRs” · word for word

Credit risk on CRT and subordinate MBS

“ongoing economic uncertainty and market volatility could lead to reduced economic activity and slowing home price growth or depreciation. These drivers could increase mortgage delinquencies or defaults, negatively affect the performance of our credit-sensitive assets—including CRT arrangements and subordinate MBS” · word for word

Strategy shift from MSRs to credit investments introduces execution risk and market sensitivity.

“Shifting equity allocation towards more accretive credit opportunities; agreed to sell $13B UPB of MSRs.”

Interest Rate Risk on MBS Portfolio

“The loss recognized reflects increasing interest rates during the quarter ended March 31, 2026, as compared to decreasing interest rates during the quarter ended March 31, 2025.” · word for word

Credit Risk on CRT and Subordinate MBS

“The ongoing economic uncertainty and market volatility could result in reduced economic activity and slowing home price growth or depreciation, which may increase mortgage delinquencies or defaults and negatively affect the performance of our credit-sensitive assets.” · word for word

Leverage and Refinancing Risk

“Debt-to equity ratio: Excluding non-recourse debt 5.6:1, Total 10.9:1.” · word for word

Related Party Concentration

“We are externally managed by Pennymac Capital Management, LLC...PCM and PLS are both indirect controlled subsidiaries of PennyMac Financial Services, Inc.” · word for word

Interest rate sensitivity impacting MSR values and earnings.

“Lower contribution from the interest rate sensitive strategies, primarily due to increased mortgage servicing rights (MSR) runoff related to higher coupon loans.” · word for word

Book value decline.

“Book value per common share was $14.98 at March 31, 2026, down from $15.25 at December 31, 2025.” · word for word

Interest rate sensitivity

“For example, higher interest rates and inflationary pressures in 2024 and 2025 have constrained mortgage origination and refinancing activity compared to previous years.” · word for word

Housing affordability pressure

“The decrease in available private insurers increases insurance premiums and a borrower's monthly expenses and creates a higher likelihood that loan payments in respect of the mortgaged property may become delinquent or default.” · word for word

Regulatory uncertainty

“In January 2025, an executive order established the “Department of Government Efficiency” to reform federal government processes and reduce expenditures that could result in significant changes to federal housing and consumer financial regulatory agencies.” · word for word

Agency dependence

“Any discontinuation of, or significant reduction in or significant organizational change in, the operations of Fannie Mae or Freddie Mac or any significant adverse change in their capital structure, financial condition, activity levels in the primary or secondary mortgage markets or underwriting criteria could materially and adversely affect our business.” · word for word

High leverage risk

“As of December 31, 2025, we had $19.1 billion of total indebtedness outstanding (approximately $18.1 billion of which was secured) and up to $6.1 billion of additional capacity under our secured borrowings and other secured debt financing arrangements.” · word for word

Full-year net income declined from $119.2M to $86.1M; book value decreased from $15.87 to $15.25.

“Net income attributable to common shareholders of $86.1 million, versus $119.2 million in 2024; book value per share decreased from $15.87 to $15.25.” · word for word

Interest rate volatility impact on MSR valuations

“Changes in fair value due to changes in valuation inputs used in our valuation model during the nine months ended September 30, 2025 reflect the effects of expectations for faster future prepayments of the underlying loans due to decreases in interest rates during the nine months ended September 30, 2025, compared to a steepening interest rate yield curve in” · word for word

Credit risk on CRT and subordinate MBS investments

“The current period of economic uncertainty and market volatility may also lead to a reduction in economic activity and slowing home price growth or depreciation, which could lead to increasing mortgage delinquencies or defaults and increased losses. If these effects are realized, they could negatively affect the performance of our credit-sensitive assets suc” · word for word

Dependence on related party transactions

“We are externally managed by PNMAC Capital Management, LLC (“PCM”), an investment adviser that specializes in and focuses on U.S. mortgage assets. Our loans and MSRs are serviced by PennyMac Loan Services, LLC (“PLS”). PCM and PLS are both indirect controlled subsidiaries of PennyMac Financial Services, Inc. (“PFSI”)” · word for word