PennyMac Mortgage Investment Trust

Aggregation and Securitization Segment

Through its Aggregation and Securitization Segment, PMT aggregates loans, either through participation in correspondent activity or direct purchases of PFSI’s production. These loans are aggregated for execution in the secondary market primarily to the Government-Sponsored Enterprises or via private label securitizations to drive organic creation of assets for long-term investment, which results in current period income. For correspondent production volumes initially acquired by PFSI, PMT retains the right to purchase up to 100% of thenon-government loan production, and pays PFSI a fulfillment fee for those loans it purchases. PMT also acquires additionalnon-government loans from PFSI for inclusion in private label securitizations. Through these activities, PMT’s Aggregation and Securitization segment generated pretax income of $16.4 million in the first quarter, compared to $1.0 million of pretax loss in the prior quarter.

PMT purchased a total of $2.8 billion in UPB of conventional conforming and nonconforming loans through its purchase agreement that PFSI acquired from correspondent sellers, down 24% from the prior quarter. PMT acquired 18% of total conventional conforming correspondent production and 100% of nonconforming correspondent production in the first quarter. Interest rate lock commitments on loans for PMT’s account totaled $3.7 billion, down 9% from the prior quarter. Additionally, PMT acquired $1.5 billion in UPB of loans from PFSI’s production for inclusion in private label securitizations, down from $1.8 billion in the prior quarter.

Segment revenues were $33.3 million and included net gains on loans acquired for sale of $22.9 million, net interest income of $8.0 million, and other income of $2.4 million, which primarily consists of volume-based origination fees. Net gains on loans acquired for sale increased $15.7 million from the prior quarter, which included losses related to spread widening on jumbo loans held for sale during aggregation. Interest income was $39.5 million, up slightly from $39.4 million in the prior quarter, and interest expense was $31.6 million, down from $33.1 million in the prior quarter.

Segment expenses were $16.9 million, down from $17.4 million in the prior quarter due to lower volumes. The weighted average fulfillment fee rate in the first quarter was 21 basis points, up from 18 basis points in the prior quarter.