PennyMac Mortgage Investment Trust reported a net loss

Item 1.

Financial Statements (Unaudited)

3

Consolidated Balance Sheets¹

3

Consolidated Statements of Operations¹

5

Consolidated Statements of Changes in Shareholders' Equity

6

Consolidated Statements of Cash Flows¹

8

Notes to Consolidated Financial Statements²

10

Item 2.

Management's Discussion and Analysis of Financial Condition and Results of Operations³

57

Our Company

57

Results of Operations

61

Net Investment Income

62

Expenses

71

Balance Sheet Analysis

73

Asset Acquisitions

73

Investment Portfolio Composition

75

Cash Flows

76

Liquidity and Capital Resources

77

Off-Balance Sheet Arrangements and Aggregate Contractual Obligations

82

Item 6.

Exhibits

85

SPECIAL NOTE REGARDING FO RWARD-LOOKING STATEMENTS

This Quarterly Report on Form 10-Q (this "Report") contains certain forward-looking statements that are subject to various risks and uncertainties. Forward-looking statements are generally identifiable by use of forward-looking terminology such as "may," "will," "should," "potential," "intend," "expect," "seek," "anticipate," "estimate," "approximately," "believe," "could," "project," "predict," "continue," "plan" or other similar words or expressions.

Forward-looking statements are based on certain assumptions, discuss future expectations⁵, describe future plans and strategies, contain financial and operating projections or state other forward-looking information. Examples of forward-looking statements include the following:

• projections of our revenues, results of operations, earnings per share, capital structure or other financial items;

• descriptions of our plans or objectives for future operations, products or services;

• forecasts of our future economic performance, interest rates, profit margins and our share of future markets; and

• descriptions of assumptions underlying or relating to any of the foregoing expectations regarding the timing of generating any revenues.

Our ability to predict results or the actual effect of future events, actions, plans or strategies is inherently uncertain. Although we believe that the expectations reflected in such forward-looking statements are based on reasonable assumptions, our actual results and performance could differ materially from those set forth in the forward-looking statements. There are a number of factors, many of which are beyond our control that could cause actual results to differ significantly from management's expectations. Some of these factors are discussed below.

You should not place undue reliance on any forward-looking statement and should consider the following uncertainties and risks⁴, as well as the risks and uncertainties discu