PennyMac Mortgage Investment Trust
For the period ended Sep 30, 2026. Filed Nov 3, 2026.
View on SEC.govAbout 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.
Sep 30, 2026 · Filed Nov 3, 2026
Extracted filing text, with the paragraph anchors used by the comparison.
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Investment Portfolio Composition
Following is a summary of our MBS holdings:
| September 30, 2026 · December 31, 2025 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Average · Average | |||||||||||
| Fair value · Principal/notional · Life (in years) · Coupon · Fair value · Principal/notional · Life (in years) · Coupon | |||||||||||
| (dollars in thousands) | |||||||||||
| Agency pass-through | $2,003,424 | $2,091,972 | 8.3 | 5.4% | $2,850,447 | $2,805,895 | 7.6 | 5.3% | |||
| Floating rate collateralized mortgage obligations | 1,770,651 | 1,796,823 | 9.3 | 4.7% | 855,997 | 850,172 | 6.8 | 5.0% | |||
| Principal-only stripped | 335,190 | 465,593 | 8.3 | 0.1% | 521,129 | 610,256 | 4.1 | 0.1% | |||
| Senior non-Agency | 117,536 | 127,299 | 8.9 | 5.3% | 152,784 | 155,369 | 5.4 | 5.4% | |||
| Subordinate residential transition | 3,926 | 4,000 | 3.4 | 9.1% | — | — | — | — | |||
| 4,230,727 | $4,485,687 | 4,380,357 | $4,421,692 | ||||||||
| Interest-only stripped securities | 75,264 | $310,930 | 8.9 | 4.8% | 72,502 | $344,592 | 7.7 | 4.8% | |||
| $4,305,991 | $4,452,859 | ||||||||||
Our investment in Mortgage-backed securities at fair value does not include any mortgage-backed securities held from variable interest entities that we consolidate.
Credit Risk Transfer Arrangements
Following is a summary of our investment in CRT arrangements:
| September 30, 2026 | December 31, 2025 | |
|---|---|---|
| (in thousands) | ||
| Carrying value of CRT arrangements: | ||
| Derivative assets – CRT derivatives | $30,695 | $32,659 |
| Derivative and credit risk transfer strip liabilities- CRT strips | (5,231) | (5,999) |
| Deposits securing CRT arrangements | 887,188 | 1,009,334 |
| Interest-only security payable at fair value | (34,608) | (37,650) |
| $878,044 | $998,344 | |
| UPB of loans subject to credit guarantee obligations | $16,878,161 | $19,517,530 |
Following is a summary of the composition of the loans underlying our investment in CRT arrangements as of September 30, 2026:
| Year of origination | ||||||
|---|---|---|---|---|---|---|
| 2020 | 2019 | 2018 | 2017 | 2016 | Total | |
| (dollars in millions) | ||||||
| UPB: | ||||||
| Outstanding | $3,766 | $8,469 | $2,161 | $1,811 | $671 | $16,878 |
| Liquidations: | ||||||
| Balances | $2.3 | $14.9 | $70.2 | $182.5 | $130.6 | $400.5 |
| Losses | $0.2 | $2.3 | $8.5 | $23.7 | $14.2 | $48.9 |
| Modifications (1): | ||||||
| Balances | $134.6 | $986.8 | $323.1 | $— | $— | $1,444.5 |
| Losses | $3.0 | $33.0 | $24.8 | $— | $— | $60.8 |
| Weighted average: | ||||||
| Original debt-to income ratio | 33.5% | 36.0% | 39.2% | 36.6% | 34.9% | 35.9% |
| Origination: | ||||||
| FICO credit score | 765 | 754 | 736 | 745 | 752 | 753 |
| Loan-to value ratio | 80.5% | 83.3% | 83.6% | 82.4% | 80.3% | 82.5% |
| Current loan-to value ratio (2) | 46.5% | 46.5% | 44.8% | 39.3% | 36.1% | 45.1% |
(1)
Includes only modifications that generate losses according to the terms of the CRT arrangements.
(2)
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 | Total |
| (in millions) | ||||||
| California | $413 | $866 | $282 | $199 | $135 | $1,895 |
| Florida | 410 | 803 | 273 | 188 | 73 | 1,747 |
| Texas | 431 | 719 | 170 | 153 | 72 | 1,545 |
| Virginia | 205 | 379 | 79 | 82 | 44 | 789 |
| Maryland | 150 | 370 | 104 | 107 | 47 | 778 |
| Other | 2,157 | 5,332 | 1,253 | 1,082 | 300 | 10,124 |
| $3,766 | $8,469 | $2,161 | $1,811 | $671 | $16,878 | |
| Year of origination | ||||||
|---|---|---|---|---|---|---|
| Regional geographic distribution (1) | 2020 | 2019 | 2018 | 2017 | 2016 | Total |
| (in millions) | ||||||
| Southeast | $1,275 | $2,871 | $770 | $618 | $211 | $5,745 |
| West | 823 | 1,797 | 555 | 405 | 206 | 3,786 |
| Southwest | 957 | 1,840 | 399 | 356 | 120 | 3,672 |
| Northeast | 362 | 1,078 | 255 | 262 | 78 | 2,035 |
| Midwest | 349 | 883 | 182 | 170 | 56 | 1,640 |
| $3,766 | $8,469 | $2,161 | $1,811 | $671 | $16,878 | |
(1)
Southeast consists of AL, DC, FL, GA, KY, MD, MS, NC, SC, TN, VA, WV; West consists of AK, CA, GU, HI, ID, MT, NV, OR, WA and WY; Southwest consists of AZ, AR, CO, KS, LA, MO, NM, OK, TX, UT; Northeast consists of CT, DE, ME, MA, NH, NJ, NY, PA, PR, RI, VT, VI and Midwest consists of IL, IN, IA, MI, MN, NE, ND, OH, SD, WI.
| Year of origination | ||||||
|---|---|---|---|---|---|---|
| Collection status | 2020 | 2019 | 2018 | 2017 | 2016 | Total |
| (in millions) | ||||||
| Delinquency | ||||||
| Current – 89 Days | $3,750 | $8,388 | $2,117 | $1,804 | $670 | $16,729 |
| 90 – 179 Days | 8 | 42 | 21 | 7 | 1 | 79 |
| 180+ Days | 5 | 30 | 16 | — | — | 51 |
| Foreclosure | 3 | 9 | 7 | — | — | 19 |
| $3,766 | $8,469 | $2,161 | $1,811 | $671 | $16,878 | |
| Bankruptcy | $3 | $32 | $14 | $3 | $2 | $54 |
The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.