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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, 2024

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/PRA

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/PRB

 

PMT/PRC

 

New York Stock Exchange

 

New York Stock Exchange

 

8.50% Senior Note Due 2028

 

PMTU

 

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 April 30, 2024

Common Shares of Beneficial Interest, $0.01 par value

86,845,447

 

 


 

PENNYMAC MORTGAGE INVESTMENT TRUST

FORM 10-Q

March 31, 2024

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 Income

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

53

 

Our Company

53

 

Results of Operations

56

 

Net Investment Income

57

 

Expenses

65

 

Balance Sheet Analysis

68

 

Asset Acquisitions

68

 

Investment Portfolio Composition

69

 

Cash Flows

72

 

Liquidity and Capital Resources

72

 

Off-Balance Sheet Arrangements and Aggregate Contractual Obligations

76

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

77

Item 4.

Controls and Procedures

78

PART II. OTHER INFORMATION

79

Item 1.

Legal Proceedings

79

Item 1A

 

Risk Factors

 

79

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

79

Item 3.

Defaults Upon Senior Securities

79

Item 4.

Mine Safety Disclosures

79

Item 5.

Other Information

79

Item 6.

Exhibits

80

 


 

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, 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, 2023, filed with the Securities and Exchange Commission (“SEC”) on February 22, 2024.

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;
changes in real estate values, housing prices and housing sales;
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;
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 PennyMac Financial Services, Inc., PNMAC Capital Management, LLC and PennyMac Loan Services, LLC, 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 PennyMac Financial Services, Inc., PNMAC Capital Management, LLC and PennyMac Loan Services, LLC, and 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 income;
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;
changes in our credit risk transfer arrangements and agreements;
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);
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

2


 

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, income 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,

 

 

 

2024

 

 

2023

 

 

 

(in thousands, except share information)

 

ASSETS

 

 

 

 

 

 

Cash

 

$

126,578

 

 

$

281,085

 

Short-term investments at fair value

 

 

343,343

 

 

 

128,338

 

Mortgage-backed securities at fair value pledged to creditors

 

 

3,949,678

 

 

 

4,836,292

 

Loans acquired for sale at fair value ($903,963 and $659,751 pledged to creditors, respectively)

 

 

911,602

 

 

 

669,018

 

Loans at fair value ($1,406,774 and $1,431,896 pledged to creditors, respectively)

 

 

1,408,610

 

 

 

1,433,820

 

Derivative assets ($22,899 and $16,160 pledged to creditors, respectively)

 

 

62,734

 

 

 

177,984

 

Deposits securing credit risk transfer arrangements pledged to creditors

 

 

1,187,100

 

 

 

1,209,498

 

Mortgage servicing rights at fair value ($3,901,513 and $3,871,249 pledged to creditors, respectively)

 

 

3,951,737

 

 

 

3,919,107

 

Servicing advances ($105,287 and $181,201 pledged to creditors, respectively)

 

 

125,971

 

 

 

206,151

 

Due from PennyMac Financial Services, Inc.

 

 

1

 

 

 

56

 

Other ($1,891 and $1,905 pledged to creditors, respectively)

 

 

226,346

 

 

 

252,538

 

Total assets

 

$

12,293,700

 

 

$

13,113,887

 

LIABILITIES

 

 

 

 

 

 

Assets sold under agreements to repurchase

 

$

5,118,377

 

 

$

5,624,558

 

Mortgage loan participation purchase and sale agreements

 

 

25,216

 

 

 

 

Notes payable secured by credit risk transfer and mortgage servicing assets

 

 

2,880,025

 

 

 

2,910,605

 

Unsecured senior notes

 

 

601,373

 

 

 

600,458

 

Asset-backed financing of variable interest entities at fair value

 

 

1,308,680

 

 

 

1,336,731

 

Interest-only security payable at fair value

 

 

32,227

 

 

 

32,667

 

Derivative and credit risk transfer strip liabilities at fair value

 

 

18,750

 

 

 

51,381

 

Accounts payable and accrued liabilities

 

 

125,055

 

 

 

354,989

 

Due to PennyMac Financial Services, Inc.

 

 

30,835

 

 

 

29,262

 

Income taxes payable

 

 

174,730

 

 

 

190,003

 

Liability for losses under representations and warranties

 

 

19,519

 

 

 

26,143

 

Total liabilities

 

 

10,334,787

 

 

 

11,156,797

 

 

 

 

 

 

 

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,
86,845,447 and 86,624,044 common shares, respectively

 

 

868

 

 

 

866

 

Additional paid-in capital

 

 

1,922,954

 

 

 

1,923,437

 

Accumulated deficit

 

 

(506,391

)

 

 

(508,695

)

Total shareholders’ equity

 

 

1,958,913

 

 

 

1,957,090

 

Total liabilities and shareholders’ equity

 

$

12,293,700

 

 

$

13,113,887

 

 

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:

 

 

 

March 31,

 

 

December 31,

 

 

 

2024

 

 

2023

 

 

 

(in thousands)

 

ASSETS

 

 

 

 

 

 

Loans at fair value

 

$

1,406,576

 

 

$

1,431,689

 

Derivative assets

 

 

22,899

 

 

 

16,160

 

Deposits securing credit risk transfer arrangements

 

 

1,187,100

 

 

 

1,209,498

 

Other—interest receivable

 

 

4,047

 

 

 

4,106

 

 

$

2,620,622

 

 

$

2,661,453

 

LIABILITIES

 

 

 

 

 

 

Asset-backed financings at fair value

 

$

1,308,680

 

 

$

1,336,731

 

Derivative and credit risk transfer strip liabilities at fair value

 

 

17,352

 

 

 

46,692

 

Interest-only security payable at fair value

 

 

32,227

 

 

 

32,667

 

Accounts payable and accrued liabilities—interest payable

 

 

4,047

 

 

 

4,106

 

 

$

1,362,306

 

 

$

1,420,196

 

 

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

 

5


 

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF INCOME (UNAUDITED)

 

 

Quarter ended March 31,

 

 

2024

 

 

2023

 

 

(in thousands, except per common share amounts)

 

Net investment income

 

 

 

 

 

Net loan servicing fees:

 

 

 

 

 

From nonaffiliates

 

 

 

 

 

Contractually specified

$

160,357

 

 

$

164,214

 

Other

 

3,011

 

 

 

3,943

 

 

163,368

 

 

 

168,157

 

Change in fair value of mortgage servicing rights

 

(28,202

)

 

 

(137,444

)

Mortgage servicing rights hedging results

 

(89,814

)

 

 

(54,891

)

 

45,352

 

 

 

(24,178

)

From PennyMac Financial Services, Inc.

 

353

 

 

 

485

 

 

 

45,705

 

 

 

(23,693

)

Net gains on investments and financings

 

39,753

 

 

 

125,804

 

 

 

 

 

 

 

Net gains on loans acquired for sale:

 

 

 

 

 

From nonaffiliates

 

12,913

 

 

 

5,145

 

From PennyMac Financial Services, Inc.

 

1,605

 

 

 

1,328

 

 

14,518

 

 

 

6,473

 

Loan origination fees

 

2,008

 

 

 

7,706

 

Net interest expense:

 

 

 

 

 

Interest income

 

143,559

 

 

 

153,019

 

Interest expense

 

171,527

 

 

 

179,137

 

Net interest expense

 

(27,968

)

 

 

(26,118

)

Results of real estate acquired in settlement of loans

 

134

 

 

 

56

 

Other

 

55

 

 

 

138

 

Net investment income

 

74,205

 

 

 

90,366

 

Expenses

 

 

 

 

 

Earned by PennyMac Financial Services, Inc.:

 

 

 

 

 

Loan servicing fees

 

20,262

 

 

 

20,449

 

Management fees

 

7,188

 

 

 

7,257

 

Loan fulfillment fees

 

4,016

 

 

 

11,923

 

Compensation

 

1,916

 

 

 

1,539

 

Professional services

 

1,758

 

 

 

1,523

 

Loan collection and liquidation

 

1,369

 

 

 

579

 

Safekeeping

 

932

 

 

 

1,116

 

Loan origination

 

473

 

 

 

2,178

 

Other

 

3,910

 

 

 

5,001

 

Total expenses

 

41,824

 

 

 

51,565

 

Income before benefit from income taxes

 

32,381

 

 

 

38,801

 

Benefit from income taxes

 

(15,227

)

 

 

(21,896

)

Net income

 

47,608

 

 

 

60,697

 

Dividends on preferred shares

 

10,455

 

 

 

10,455

 

Net income attributable to common shareholders

$

37,153

 

 

$

50,242

 

Earnings per common share

 

 

 

 

 

Basic

$

0.43

 

 

$

0.56

 

Diluted

$

0.39

 

 

$

0.50

 

Weighted average common shares outstanding

 

 

 

 

 

Basic

 

86,689

 

 

 

88,831

 

Diluted

 

111,017

 

 

 

113,388

 

 

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

6


 

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (UNAUDITED)

 

 

 

 

Quarter ended March 31, 2024

 

 

 

Preferred shares

 

 

Common shares

 

 

 

 

 

 

 

 

 

Number

 

 

 

 

 

Number

 

 

 

 

 

Additional

 

 

 

 

 

 

 

 

 

of

 

 

 

 

 

of

 

 

Par

 

 

paid-in

 

 

Accumulated

 

 

 

 

 

 

shares

 

 

Amount

 

 

shares

 

 

value

 

 

capital

 

 

deficit

 

 

Total

 

 

 

(in thousands, except per share amounts)

 

Balance at December 31, 2023

 

 

22,400

 

 

$

541,482

 

 

 

86,624

 

 

$

866

 

 

$

1,923,437

 

 

$

(508,695

)

 

$

1,957,090

 

Net income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

47,608

 

 

 

47,608

 

Share-based compensation

 

 

 

 

 

 

 

 

221

 

 

 

2

 

 

 

(483

)

 

 

 

 

 

(481

)

Dividends:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred shares

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(10,455

)

 

 

(10,455

)

Common shares ($0.40 per share)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(34,849

)

 

 

(34,849

)

Balance at March 31, 2024

 

 

22,400

 

 

$

541,482

 

 

 

86,845

 

 

$

868

 

 

$

1,922,954

 

 

$

(506,391

)

 

$

1,958,913

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quarter ended March 31, 2023

 

 

 

Preferred shares

 

 

Common shares

 

 

 

 

 

 

 

 

 

Number

 

 

 

 

 

Number

 

 

 

 

 

Additional

 

 

 

 

 

 

 

 

 

of

 

 

 

 

 

of

 

 

Par

 

 

paid-in

 

 

Accumulated

 

 

 

 

 

 

shares

 

 

Amount

 

 

shares

 

 

value

 

 

capital

 

 

deficit

 

 

Total

 

 

 

(in thousands, except per share amounts)

 

Balance at December 31, 2022

 

 

22,400

 

 

$

541,482

 

 

 

88,889

 

 

$

889

 

 

$

1,947,266

 

 

$

(526,822

)

 

$

1,962,815

 

Net income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

60,697

 

 

 

60,697

 

Share-based compensation

 

 

 

 

 

 

 

 

135

 

 

 

1

 

 

 

589

 

 

 

 

 

 

590

 

Dividends:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred shares