PennyMac Mortgage Investment Trust

For the period ended Mar 31, 2024. Filed May 2, 2024.

About this filing

A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.

Mar 31, 2024 · Filed May 2, 2024

PMT$8.00+1.9%Stored close · as of Nov 9, 2026

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Contents

Investment Portfolio Composition

Following is a summary of our MBS holdings:

March 31, 2024 · December 31, 2023
Average · Average
Fair · Principal/ · Life · Fair · Principal/ · Life
value · notional · (in years) · Coupon · value · notional · (in years) · Coupon
(dollars in thousands)
Agency pass-through securities	$3,335,086	$3,367,176	7.8	5.4%		$4,270,056		$4,311,342	7.6	5.1%
Subordinate credit-linked securities	194,558	174,813	4.4	13.2%		301,180		275,963	4.3	12.4%
Senior non-Agency securities	113,925	121,791	8.2	5.1%		117,489		124,771	7.0	5.1%
Interest-only stripped securities	94,667	413,762	7.6	4.9%		94,231		419,791	7.3	4.9%
Principal-only stripped securities	211,442	263,964	4.3	0.1%		53,336		65,573	3.3
	$3,949,678	$4,341,506			$4,836,292		$5,197,440

Credit Risk Transfer Arrangements

Following is a summary of our investment in CRT arrangements:

	March 31, 2024	December 31, 2023
(in thousands)
Carrying value of CRT arrangements:
Derivative assets - CRT derivatives	$22,899	$16,160
Derivative and credit risk transfer strip liabilities- CRT strips	(17,352)	(46,692)
Deposits securing CRT arrangements	1,187,100	1,209,498
Interest-only security payable at fair value	(32,227)	(32,667)
	$1,160,420	$1,146,299
UPB of loans subject to credit guarantee obligations	$22,725,768	$23,152,230

Following is a summary of the composition of the loans underlying our investment in CRT arrangements as of March 31, 2024:

	Year of origination
	2020	2019	2018	2017	2016	2015	Total
(in millions)
UPB:
Outstanding	$4,634	$10,574	$2,730	$2,310	$1,887	$591	$22,726
Liquidations:
Balances	$0.6	$6.8	$57.1	$160.1	$120.4	$61.0	$406.0
Losses	0.0	$0.8	$5.8	$19.9	$12.7	$7.4	$46.6
Modifications:
Balances	$67.5	$551.8	$305.0	$—	$—	$—	$924.3
Losses	$1.5	$15.9	$12.3	$—	$—	$—	$29.7

Year of origination
Original debt-to income ratio	2020	2019	2018	2017	2016	2015	Total
(in millions)
<25%	$952	$1,569	$248	$287	$280	$64	$3,400
25 - 30%	744	1,337	221	265	256	65	2,888
30 - 35%	817	1,619	319	357	325	88	3,525
35 - 40%	807	1,894	439	420	356	107	4,023
40 - 45%	799	2,294	648	593	498	161	4,993
>45%	515	1,861	855	388	172	106	3,897
	$4,634	$10,574	$2,730	$2,310	$1,887	$591	$22,726
Weighted average	33.5%	35.8%	39.0%	36.5%	35.0%	35.7%	35.7%

Year of origination
Origination FICO credit score	2020	2019	2018	2017	2016	2015	Total
(in millions)
600 - 649	$31	$145	$65	$28	$17	$10	$296
650 - 699	226	999	580	349	231	115	2,500
700 - 749	1,094	3,112	965	788	595	181	6,735
750 or greater	3,276	6,291	1,113	1,141	1,044	285	13,150
Not available	7	27	7	4	—	—	45
	$4,634	$10,574	$2,730	$2,310	$1,887	$591	$22,726
Weighted average	765	754	736	745	751	743	753

Year of origination
Origination loan-to value ratio	2020	2019	2018	2017	2016	2015	Total
(in millions)
<80%	$2,192	$3,742	$873	$752	$770	$241	$8,570
80-85%	772	2,028	644	653	508	154	4,759
85-90%	298	595	125	119	105	35	1,277
90-95%	418	1,116	315	281	208	63	2,401
95-100%	954	3,093	773	505	296	98	5,719
	$4,634	$10,574	$2,730	$2,310	$1,887	$591	$22,726
Weighted average	80.7%	83.3%	83.5%	82.5%	80.6%	80.9%	82.4%

Year of origination
Current loan-to value ratio (1)	2020	2019	2018	2017	2016	2015	Total
(in millions)
<80%	$4,617	$10,513	$2,714	$2,309	$1,887	$591	$22,631
80-85%	11	39	9	1	—	—	60
85-90%	4	13	4	—	—	—	21
90-95%	1	4	1	—	—	—	6
95-100%	1	3	2	—	—	—	6
>100%	—	2	—	—	—	—	2
	$4,634	$10,574	$2,730	$2,310	$1,887	$591	$22,726
Weighted average	52.7%	52.4%	49.9%	44.8%	40.8%	38.2%	50.1%

(1) Based on current UPB compared to estimated fair value of the property securing the loan.

	Year of origination
Distribution by state	2020	2019	2018	2017	2016	2015	Total
(in millions)
California	$482	$1,040	$342	$245	$364	$110	$2,583
Florida	509	1,016	350	240	201	52	2,368
Texas	551	916	218	195	234	90	2,204
Virginia	249	472	99	107	131	58	1,116
Maryland	182	450	124	133	125	33	1,047
Other	2,661	6,680	1,597	1,390	832	248	13,408
	$4,634	$10,574	$2,730	$2,310	$1,887	$591	$22,726

	Year of origination
Regional geographicdistribution (1)	2020	2019	2018	2017	2016	2015	Total
(in millions)
Northeast	$433	$1,318	$321	$338	$244	$88	$2,742
Southeast	1,573	3,624	980	794	593	182	7,746
Midwest	431	1,111	234	219	171	42	2,208
Southwest	1,207	2,334	512	450	349	123	4,975
West	990	2,187	683	509	530	156	5,055
	$4,634	$10,574	$2,730	$2,310	$1,887	$591	$22,726

(1)

Northeast consists of CT, DE, ME, MA, NH, NJ, NY, PA, PR, RI, VT, VI; Southeast consists of AL, DC, FL, GA, KY, MD, MS, NC, SC, TN, VA, WV; Midwest consists of IL, IN, IA, MI, MN, NE, ND, OH, SD, WI; Southwest consists of AZ, AR, CO, KS, LA, MO, NM, OK, TX, UT; and West consists of AK, CA, GU, HI, ID, MT, NV, OR, WA and WY.

	Year of origination
Collection status	2020	2019	2018	2017	2016	2015	Total
(in millions)
Delinquency
Current - 89 Days	$4,619	$10,485	$2,683	$2,298	$1,878	$590	$22,553
90 - 179 Days	8	45	26	10	8	1	98
180+ Days	5	28	13	1	1	—	48
Foreclosure	2	16	8	1	—	—	27
	$4,634	$10,574	$2,730	$2,310	$1,887	$591	$22,726
Bankruptcy	$3	$27	$16	$5	$7	$—	$58

ContentsView on SEC.gov

The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.