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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

Form 10-Q

 

(Mark One)

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2022

Or

TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from                      to                     

Commission file number: 001-34416

 

PennyMac Mortgage Investment Trust

(Exact name of registrant as specified in its charter)

 

 

Maryland

 

27-0186273

(State or other jurisdiction of

incorporation or organization)

 

(IRS Employer

Identification No.)

 

 

 

3043 Townsgate RoadWestlake Village, California

 

91361

(Address of principal executive offices)

 

(Zip Code)

(818224-7442

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:

 

Title of Each Class

 

Trading Symbol (s)

 

Name of Each Exchange on Which Registered

8.125% Series A Cumulative Redeemable Preferred
Shares of Beneficial Interest, $0.01 Par Value

 

PMT/PA

 

New York Stock Exchange

8.00% Series B Cumulative Redeemable Preferred
Shares of Beneficial Interest, $0.01 Par Value

6.75% Series C Cumulative Redeemable Preferred
Shares of Beneficial Interest, $0.01 Par Value

 

PMT/PB

 

PMT/PC

 

 

New York Stock Exchange

 

New York Stock Exchange

 

Common Shares of Beneficial Interest, $0.01 Par Value

 

PMT

 

New York Stock Exchange

 

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports) and (2) has been subject to such filing requirements for the past 90 days.     Yes       No  

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).     Yes       No  

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer”, “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

 

Large accelerated filer

 

 

Accelerated filer

 

Non-accelerated filer

 

☐   

 

Smaller reporting company

 

 

 

 

 

Emerging growth company

 

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act):    Yes      No  

 

Indicate the number of shares outstanding of each of the registrant’s classes of common stock, as of the latest practicable date.

 

 

Class

 

Outstanding at May 5, 2022

Common Shares of Beneficial Interest, $0.01 par value

 

91,953,676

 

 


 

 

PENNYMAC MORTGAGE INVESTMENT TRUST

FORM 10-Q

March 31, 2022

TABLE OF CONTENTS

 

 

 

Page

Special Note Regarding Forward-Looking Statements

 

1

PART I. FINANCIAL INFORMATION

 

4

Item 1.

 

Financial Statements (Unaudited)

 

4

 

 

Consolidated Balance Sheets

 

4

 

 

Consolidated Statements of Operations

 

6

 

 

Consolidated Statements of Changes in Shareholders’ Equity

 

7

 

 

Consolidated Statements of Cash Flows

 

8

 

 

Notes to Consolidated Financial Statements

 

10

Item 2.

 

Management’s Discussion and Analysis of Financial Condition and Results of Operations

 

57

 

 

Our Company

 

57

 

 

Results of Operations

 

60

 

 

Net Investment Income

 

61

 

 

Expenses

 

71

 

 

Balance Sheet Analysis

 

73

 

 

Asset Acquisitions

 

73

 

 

Investment Portfolio Composition

 

74

 

 

Cash Flows

 

77

 

 

Liquidity and Capital Resources

 

77

 

 

Off-Balance Sheet Arrangements and Aggregate Contractual Obligations

 

80

Item 3.

 

Quantitative and Qualitative Disclosures About Market Risk

 

81

Item 4.

 

Controls and Procedures

 

82

PART II. OTHER INFORMATION

 

83

Item 1.

 

Legal Proceedings

 

83

Item 2.

 

Unregistered Sales of Equity Securities and Use of Proceeds

 

83

Item 3.

 

Defaults Upon Senior Securities

 

83

Item 4.

 

Mine Safety Disclosures

 

83

Item 5.

 

Other Information

 

83

Item 6.

 

Exhibits

 

84

 

 

 


 

 

SPECIAL NOTE REGARDING FORWARD-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 expectations, 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, income, 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 risks, as well as the risks and uncertainties discussed elsewhere in this Report and the section entitled “Risk Factors” in our Annual Report on Form 10-K for the year ended December 31, 2021, filed with the Securities and Exchange Commission (“SEC”) on February 25, 2022.

Factors that could cause actual results to differ materially from historical results or those anticipated include, but are not limited to:

 

changes in interest rates;

 

our exposure to risks of loss and disruptions in operations resulting from adverse weather conditions, man-made or natural disasters, climate change and pandemics such as the COVID-19 pandemic;

 

the impact to our CRT arrangements and agreements of increased borrower requests for forbearance under the Coronavirus Aid, Relief and Economic Security Act;

 

changes in our investment objectives or investment or operational strategies, including any new lines of business or new products and services that may subject us to additional risks;

 

the degree and nature of our competition;

 

volatility in our industry, the debt or equity markets, the general economy or the real estate finance and real estate markets specifically, whether the result of market events or otherwise;

 

events or circumstances which undermine confidence in the financial and housing markets or otherwise have a broad impact on financial and housing markets, such as the sudden instability or collapse of large depository institutions or other significant corporations, terrorist attacks, natural or man-made disasters, or threatened or actual armed conflicts;

 

changes in general business, economic, market, employment and domestic and international political conditions, or in consumer confidence and spending habits from those expected;

 

declines in real estate or significant changes in U.S. housing prices or activity in the U.S. housing market;

 

the availability of, and level of competition for, attractive risk-adjusted investment opportunities in loans and mortgage-related assets that satisfy our investment objectives;

 

the inherent difficulty in winning bids to acquire loans, and our success in doing so;

 

the concentration of credit risks to which we are exposed;

 

our dependence on our manager and servicer, potential conflicts of interest with such entities and their affiliates, and the performance of such entities;

1


 

 

changes in personnel and lack of availability of qualified personnel at our manager, servicer or their affiliates;

 

the availability, terms and deployment of short-term and long-term capital;

 

the adequacy of our cash reserves and working capital;

 

our substantial amount of debt;

 

our ability to maintain the desired relationship between our financing and the interest rates and maturities of our assets;

 

the timing and amount of cash flows, if any, from our investments;

 

unanticipated increases or volatility in financing and other costs, including a rise in interest rates;

 

the performance, financial condition and liquidity of borrowers;

 

the ability of our servicer, which also provides us with fulfillment services, to approve and monitor correspondent sellers and underwrite loans to investor standards;

 

incomplete or inaccurate information or documentation provided by customers or counterparties, or adverse changes in the financial condition of our customers and counterparties;

 

our indemnification and repurchase obligations in connection with loans we purchase and later sell or securitize;

 

the quality and enforceability of the collateral documentation evidencing our ownership and rights in the assets in which we invest;

 

increased rates of delinquency, default and/or decreased recovery rates on our investments;

 

the performance of loans underlying mortgage-backed securities in which we retain credit risk;

 

our ability to foreclose on our investments in a timely manner or at all;

 

the degree to which our hedging strategies may or may not protect us from interest rate volatility;

 

the effect of the accuracy of or changes in the estimates we make about uncertainties, contingencies and asset and liability valuations when measuring and reporting upon our financial condition and results of operations;

 

our ability to maintain appropriate internal control over financial reporting;

 

technology failures, cybersecurity risks and incidents, and our ability to mitigate  cybersecurity risks and cyber intrusions;

 

our ability to obtain and/or maintain licenses and other approvals in those jurisdictions where required to conduct our business;

 

our ability to detect misconduct and fraud;

 

our ability to comply with various federal, state and local laws and regulations that govern our business;

 

developments in the secondary markets for our loan products;

 

legislative and regulatory changes that impact the loan industry or housing market;

 

changes in regulations that impact the business, operations or governance of mortgage lenders and/or publicly-traded companies or such changes that increase the cost of doing business with such entities;

 

the Consumer Financial Protection Bureau and its issued and future rules and the enforcement thereof;

 

changes in government support of homeownership;

 

our ability to effectively identify, manage and hedge our credit, interest rate, prepayment, liquidity, and climate risks;

 

changes in government or government-sponsored home affordability programs;

 

limitations imposed on our business and our ability to satisfy complex rules for us to qualify as a real estate investment trust (“REIT”) for U.S. federal income tax purposes and qualify for an exclusion from the Investment Company Act of 1940 and the ability of certain of our subsidiaries to qualify as REITs or as taxable REIT subsidiaries for U.S. federal income tax purposes, as applicable, and our ability and the ability of our subsidiaries to operate effectively within the limitations imposed by these rules;

 

changes in governmental regulations, accounting treatment, tax rates and similar matters (including changes to laws governing the taxation of REITs, or the exclusions from registration as an investment company);

2


 

 

our ability to make distributions to our shareholders in the future;

 

our failure to deal appropriately with issues that may give rise to reputational risk; and

 

our organizational structure and certain requirements in our charter documents.

Other factors that could also cause results to differ from our expectations may not be described in this Report or any other document. Each of these factors could by itself, or together with one or more other factors, adversely affect our business, results of operations and/or financial condition.

Forward-looking statements speak only as of the date they are made, and we undertake no obligation to update any forward-looking statement to reflect the impact of circumstances or events that arise after the date the forward-looking statement was made.

 

3


 

 

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS (UNAUDITED)

 

 

 

March 31,

 

 

December 31,

 

 

 

2022

 

 

2021

 

 

 

(in thousands, except share information)

 

ASSETS

 

 

 

 

 

 

 

 

Cash

 

$

187,880

 

 

$

58,983

 

Short-term investments at fair value

 

 

236,468

 

 

 

167,999

 

Mortgage-backed securities at fair value pledged to creditors

 

 

3,070,330

 

 

 

2,666,768

 

Loans acquired for sale at fair value ($1,675,107 and $4,059,479 pledged to creditors, respectively)

 

 

1,708,745

 

 

 

4,171,025

 

Loans at fair value ($1,822,947 and $1,564,924 pledged to creditors, respectively)

 

 

1,826,482

 

 

 

1,568,726

 

Derivative assets ($970 and $19,627 pledged to creditors, respectively)

 

 

77,823

 

 

 

34,238

 

Deposits securing credit risk transfer arrangements pledged to creditors

 

 

1,536,862

 

 

 

1,704,911

 

Mortgage servicing rights at fair value ($3,352,952 and $2,863,544 pledged to creditors, respectively)

 

 

3,391,172

 

 

 

2,892,855

 

Servicing advances ($64,852 and $93,455 pledged to creditors, respectively)

 

 

134,002

 

 

 

204,951

 

Due from PennyMac Financial Services, Inc.

 

 

20,562

 

 

 

15,953

 

Other ($6,204 and $7,293 pledged to creditors, respectively)

 

 

197,189

 

 

 

286,299

 

Total assets

 

$

12,387,515

 

 

$

13,772,708

 

LIABILITIES

 

 

 

 

 

 

 

 

Assets sold under agreements to repurchase

 

$

5,092,700

 

 

$

6,671,890

 

Mortgage loan participation purchase and sale agreements

 

 

65,699

 

 

 

49,988

 

Notes payable secured by credit risk transfer and mortgage servicing assets

 

 

2,372,279

 

 

 

2,471,961

 

Exchangeable senior notes

 

 

544,100

 

 

 

502,459

 

Asset-backed financings at fair value

 

 

1,712,650

 

 

 

1,469,999

 

Interest-only security payable at fair value

 

 

16,373

 

 

 

10,593

 

Derivative and credit risk transfer strip liabilities at fair value

 

 

129,350

 

 

 

42,206

 

Accounts payable and accrued liabilities

 

 

117,682

 

 

 

96,156

 

Due to PennyMac Financial Services, Inc.

 

 

27,722

 

 

 

40,091

 

Income taxes payable

 

 

46,797

 

 

 

9,598

 

Liability for losses under representations and warranties

 

 

40,225

 

 

 

40,249

 

Total liabilities

 

 

10,165,577

 

 

 

11,405,190

 

 

 

 

 

 

 

 

 

 

Commitments and contingencies Note 17

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

SHAREHOLDERS’ EQUITY

 

 

 

 

 

 

 

 

Preferred shares of beneficial interest, $0.01 par value per share, authorized 100,000,000 shares,

   issued and outstanding 22,400,000, liquidation preference $560,000,000

 

 

541,482

 

 

 

541,482

 

Common shares of beneficial interest—authorized, 500,000,000 common shares of $0.01

   par value; issued and outstanding, 93,007,076 and 94,897,255 common shares, respectively

 

 

930

 

 

 

949

 

Additional paid-in capital

 

 

2,000,107

 

 

 

2,081,757

 

Accumulated deficit

 

 

(320,581

)

 

 

(256,670

)

Total shareholders’ equity

 

 

2,221,938

 

 

 

2,367,518

 

Total liabilities and shareholders’ equity

 

$

12,387,515

 

 

$

13,772,708

 

 

The accompanying notes are an integral part of these consolidated financial statements.

4


 

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS (UNAUDITED)

Assets and liabilities of consolidated variable interest entities (“VIEs”) included in total assets and liabilities (the assets of each VIE can only be used to settle liabilities of that VIE):

 

 

 

March 31,

 

 

December 31,

 

 

 

2022

 

 

2021

 

 

 

(in thousands)

 

ASSETS

 

 

 

 

 

 

 

 

Loans at fair value

 

$

1,822,533

 

 

$

1,564,565

 

Derivative assets at fair value

 

 

970

 

 

 

19,627

 

Deposits securing credit risk transfer arrangements

 

 

1,536,862

 

 

 

1,704,911

 

Other‒interest receivable

 

 

4,621

 

 

 

3,701

 

 

 

$

3,364,986

 

 

$

3,292,804

 

LIABILITIES

 

 

 

 

 

 

 

 

Asset-backed financings at fair value

 

$

1,712,650

 

 

$

1,469,999

 

Derivative and credit risk transfer strip liabilities at fair value

 

 

77,614

 

 

 

27,500

 

Interest-only security payable at fair value

 

 

16,373

 

 

 

10,593

 

Accounts payable and accrued liabilities‒interest payable

 

 

4,621

 

 

 

3,701

 

 

 

$

1,811,258

 

 

$

1,511,793

 

 

The accompanying notes are an integral part of these consolidated financial statements.

 

 

5


 

 

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED)

 

 

Quarter ended March 31,

 

 

2022

 

 

2021

 

 

(in thousands, except per common share amounts)

 

Net investment income

 

 

 

 

 

 

 

Net loan servicing fees:

 

 

 

 

 

 

 

From nonaffiliates

 

 

 

 

 

 

 

Contractually specified

$

146,885

 

 

$

116,287

 

Other

 

9,114

 

 

 

16,245

 

 

 

155,999