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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 June 30, 2023

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 Road, Westlake Village, California

91361

(Address of principal executive offices)

(Zip Code)

(818) 224-7442

(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

Common Shares of Beneficial Interest, $0.01 Par Value

 

PMT

 

New York Stock Exchange

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

 

 

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 August 1, 2023

Common Shares of Beneficial Interest, $0.01 par value

86,760,408

 

 


 

PENNYMAC MORTGAGE INVESTMENT TRUST

FORM 10-Q

June 30, 2023

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

9

 

Notes to Consolidated Financial Statements

11

Item 2.

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

56

 

Our Company

56

 

Results of Operations

59

 

Net Investment Income

60

 

Expenses

70

 

Balance Sheet Analysis

72

 

Asset Acquisitions

72

 

Investment Portfolio Composition

73

 

Cash Flows

76

 

Liquidity and Capital Resources

76

 

Off-Balance Sheet Arrangements and Aggregate Contractual Obligations

79

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

80

Item 4.

Controls and Procedures

81

PART II. OTHER INFORMATION

82

Item 1.

Legal Proceedings

82

Item 1A

 

Risk Factors

 

82

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

82

Item 3.

Defaults Upon Senior Securities

82

Item 4.

Mine Safety Disclosures

82

Item 5.

Other Information

82

Item 6.

Exhibits

83

 


 

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, 2022, filed with the Securities and Exchange Commission (“SEC”) on February 24, 2023.

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

1


 

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

 

 

 

June 30,

 

 

December 31,

 

 

 

2023

 

 

2022

 

 

 

(in thousands, except share information)

 

ASSETS

 

 

 

 

 

 

Cash

 

$

238,805

 

 

$

111,866

 

Short-term investments at fair value

 

 

242,037

 

 

 

252,271

 

Mortgage-backed securities at fair value pledged to creditors

 

 

4,731,341

 

 

 

4,462,601

 

Loans acquired for sale at fair value ($1,061,550 and $1,801,368 pledged to creditors, respectively)

 

 

1,080,047

 

 

 

1,821,933

 

Loans at fair value ($1,454,798 and $1,510,148 pledged to creditors, respectively)

 

 

1,457,272

 

 

 

1,513,399

 

Derivative assets ($4,602 and $1,262 pledged to creditors, respectively)

 

 

29,012

 

 

 

84,940

 

Deposits securing credit risk transfer arrangements pledged to creditors

 

 

1,269,558

 

 

 

1,325,294

 

Mortgage servicing rights at fair value ($3,929,319 and $3,962,820 pledged to creditors, respectively)

 

 

3,977,938

 

 

 

4,012,737

 

Servicing advances ($55,185 and $100,888 pledged to creditors, respectively)

 

 

112,743

 

 

 

197,972

 

Due from PennyMac Financial Services, Inc.

 

 

7,824

 

 

 

3,560

 

Other ($2,866 and $3,297 pledged to creditors, respectively)

 

 

238,345

 

 

 

134,991

 

Total assets

 

$

13,384,922

 

 

$

13,921,564

 

LIABILITIES

 

 

 

 

 

 

Assets sold under agreements to repurchase

 

$

5,914,625

 

 

$

6,616,528

 

Mortgage loan participation purchase and sale agreements

 

 

34,787

 

 

 

 

Notes payable secured by credit risk transfer and mortgage servicing assets

 

 

3,158,407

 

 

 

2,804,028

 

Exchangeable senior notes

 

 

547,767

 

 

 

546,254

 

Asset-backed financing of variable interest entities at fair value

 

 

1,361,108

 

 

 

1,414,955

 

Interest-only security payable at fair value

 

 

24,060

 

 

 

21,925

 

Derivative and credit risk transfer strip liabilities at fair value

 

 

98,038

 

 

 

167,226

 

Accounts payable and accrued liabilities

 

 

104,547

 

 

 

160,212

 

Due to PennyMac Financial Services, Inc.

 

 

25,046

 

 

 

36,372

 

Income taxes payable

 

 

147,972

 

 

 

151,778

 

Liability for losses under representations and warranties

 

 

37,069

 

 

 

39,471

 

Total liabilities

 

 

11,453,426

 

 

 

11,958,749

 

 

 

 

 

 

 

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,
86,760,408 and 88,888,889 common shares, respectively

 

 

868

 

 

 

889

 

Additional paid-in capital

 

 

1,921,710

 

 

 

1,947,266

 

Accumulated deficit

 

 

(532,564

)

 

 

(526,822

)

Total shareholders’ equity

 

 

1,931,496

 

 

 

1,962,815

 

Total liabilities and shareholders’ equity

 

$

13,384,922

 

 

$

13,921,564

 

 

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) are summarized below:

 

 

 

June 30,

 

 

December 31,

 

 

 

2023

 

 

2022

 

 

 

(in thousands)

 

ASSETS

 

 

 

 

 

 

Loans at fair value

 

$

1,454,607

 

 

$

1,509,942

 

Derivative assets at fair value

 

 

4,602

 

 

 

1,262

 

Deposits securing credit risk transfer arrangements

 

 

1,269,558

 

 

 

1,325,294

 

Other—interest receivable

 

 

4,224

 

 

 

4,343

 

 

$

2,732,991

 

 

$

2,840,841

 

LIABILITIES

 

 

 

 

 

 

Asset-backed financings at fair value

 

$

1,361,108

 

 

$

1,414,955

 

Derivative and credit risk transfer strip liabilities at fair value

 

 

87,565

 

 

 

160,553

 

Interest-only security payable at fair value

 

 

24,060

 

 

 

21,925

 

Accounts payable and accrued liabilities—interest payable

 

 

4,224

 

 

 

4,343

 

 

$

1,476,957

 

 

$

1,601,776

 

 

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 June 30,

 

 

Six months ended June 30,

 

 

 

2023

 

 

2022

 

 

2023

 

 

2022

 

 

 

(in thousands, except per common share amounts)

 

Net investment income