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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, 2019

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)

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  

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

PMT/PB

New York Stock Exchange

Common Shares of Beneficial Interest, $0.01 Par Value

PMT

New York Stock Exchange

 

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 2, 2019

Common Shares of Beneficial Interest, $0.01 par value

 

68,412,435

 

 


PENNYMAC MORTGAGE INVESTMENT TRUST

FORM 10-Q

March 31, 2019

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

 

54

 

 

Our Company

 

54

 

 

Results of Operations

 

58

 

 

Net Investment Income

 

59

 

 

Expenses

 

68

 

 

Balance Sheet Analysis

 

71

 

 

Asset Acquisitions

 

71

 

 

Investment Portfolio Composition

 

72

 

 

Cash Flows

 

78

 

 

Liquidity and Capital Resources

 

79

 

 

Off-Balance Sheet Arrangements and Aggregate Contractual Obligations

 

81

Item 3.

 

Quantitative and Qualitative Disclosures About Market Risk

 

83

Item 4.

 

Controls and Procedures

 

85

PART II. OTHER INFORMATION

 

86

Item 1.

 

Legal Proceedings

 

86

Item 1A.

 

Risk Factors

 

86

Item 2.

 

Unregistered Sales of Equity Securities and Use of Proceeds

 

86

Item 3.

 

Defaults Upon Senior Securities

 

86

Item 4.

 

Mine Safety Disclosures

 

86

Item 5.

 

Other Information

 

86

Item 6.

 

Exhibits

 

87

 

 

 


SPECIAL NOTE REGARDING FORWARD-LOOKING STATEMENTS

This Quarterly Report on Form 10-Q (“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, 2018, filed with the Securities and Exchange Commission (“SEC”) on February 26, 2019.

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

 

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 occurrence of natural disasters or other events or circumstances that could impact our operations;

 

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 mortgage loans and mortgage-related assets that satisfy our investment objectives;

 

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

 

the concentration of credit risks to which we are exposed;

 

the degree and nature of our competition;

 

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 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 mortgage 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 mortgage loans underlying mortgage-backed securities (“MBS”) in which we retain credit risk;

 

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

 

increased prepayments of the mortgages and other loans underlying our MBS or relating to our mortgage servicing rights (“MSRs”), excess servicing spread (“ESS”) and other investments;

 

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;

 

our exposure to risks of loss and disruptions in operations resulting from adverse weather conditions and man-made or natural disasters;

 

technologies for loans and our ability to mitigate security 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 mortgage loan products;

 

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

 

changes in regulations or the occurrence of other events that impact the business, operations or prospects of government agencies such as the Government National Mortgage Association (“Ginnie Mae”), the Federal Housing Administration (the “FHA”) or the Veterans Administration (the “VA”), the U.S. Department of Agriculture (“USDA”), or government-sponsored entities such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (Fannie Mae, Freddie Mac and Ginnie Mae are each referred to as an “Agency” and, collectively, as the “Agencies”), or such changes that increase the cost of doing business with such entities;

 

the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) and its implementing regulations and regulatory agencies, and any other legislative and regulatory changes that impact the business, operations or governance of mortgage lenders and/or publicly-traded companies;

 

the Consumer Financial Protection Bureau (“CFPB”) and its issued and future rules and the enforcement thereof;

 

changes in government support of homeownership;

 

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 (the “Investment Company Act”) and the ability of certain of our subsidiaries to qualify as REITs or as taxable REIT

2


 

subsidiaries (“TRSs”) 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

 

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,

 

 

 

2019

 

 

2018

 

 

 

(in thousands, except share information)

 

ASSETS

 

 

 

 

 

 

 

 

Cash

 

$

68,538

 

 

$

59,845

 

Short-term investments at fair value

 

 

29,751

 

 

 

74,850

 

Mortgage-backed securities at fair value pledged to creditors

 

 

2,589,106

 

 

 

2,610,422

 

Mortgage loans acquired for sale at fair value (includes $1,414,330 and $1,621,879

   pledged to creditors, respectively)

 

 

1,435,071

 

 

 

1,643,957

 

Mortgage loans at fair value (includes $394,361 and $399,266 pledged to creditors, respectively)

 

 

398,664

 

 

 

408,305

 

Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value

   pledged to secure Assets sold to PennyMac Financial Services, Inc. under agreements to

   repurchase

 

 

205,081

 

 

 

216,110

 

Derivative assets (includes $97,883 and $87,976 pledged to creditors, respectively)

 

 

188,710

 

 

 

167,165

 

Firm commitment to purchase credit risk transfer securities at fair value

 

 

79,784

 

 

 

37,994

 

Real estate acquired in settlement of loans (includes $18,927 and $40,198

   pledged to creditors, respectively)

 

 

72,175

 

 

 

85,681

 

Real estate held for investment (includes $30,007 and $23,262 pledged to creditors, respectively)

 

 

42,346

 

 

 

43,110

 

Deposits securing credit risk transfer agreements (includes $1,137,283 and $1,146,501

   pledged to creditors, respectively)

 

 

1,137,283

 

 

 

1,146,501

 

Mortgage servicing rights at fair value (includes $1,133,736 and $1,139,582

   pledged to creditors, respectively)

 

 

1,156,908

 

 

 

1,162,369

 

Servicing advances

 

 

37,392

 

 

 

67,666

 

Due from PennyMac Financial Services, Inc.

 

 

3,345

 

 

 

4,077

 

Other

 

 

111,833

 

 

 

85,309

 

Total assets

 

$

7,555,987

 

 

$

7,813,361

 

LIABILITIES

 

 

 

 

 

 

 

 

Assets sold under agreements to repurchase

 

$

4,179,829

 

 

$

4,777,027

 

Mortgage loan participation purchase and sale agreements

 

 

73,142

 

 

 

178,639

 

Exchangeable senior notes

 

 

248,652

 

 

 

248,350

 

Notes payable

 

 

739,224

 

 

 

445,573

 

Asset-backed financing of a variable interest entity at fair value

 

 

275,509

 

 

 

276,499

 

Interest-only security payable at fair value

 

 

32,564

 

 

 

36,011

 

Assets sold to PennyMac Financial Services, Inc. under agreements to repurchase

 

 

125,929

 

 

 

131,025

 

Derivative liabilities

 

 

8,750

 

 

 

5,914

 

Accounts payable and accrued liabilities

 

 

74,294

 

 

 

70,687

 

Due to PennyMac Financial Services, Inc.

 

 

29,951

 

 

 

33,464

 

Income taxes payable

 

 

32,866

 

 

 

36,526

 

Liability for losses under representations and warranties

 

 

7,688

 

 

 

7,514

 

Total liabilities

 

 

5,828,398

 

 

 

6,247,229

 

 

 

 

 

 

 

 

 

 

Commitments and contingencies Note 20

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

SHAREHOLDERS’ EQUITY

 

 

 

 

 

 

 

 

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

   issued and outstanding 12,400,000 shares, liquidation preference $310,000,000

 

 

299,707

 

 

 

299,707

 

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

   par value; issued and outstanding, 68,412,435 and 60,951,444 common shares, respectively

 

 

684

 

 

 

610

 

Additional paid-in capital

 

 

1,431,887

 

 

 

1,285,533

 

Accumulated deficit

 

 

(4,689

)

 

 

(19,718

)

Total shareholders’ equity

 

 

1,727,589

 

 

 

1,566,132

 

Total liabilities and shareholders’ equity

 

$

7,555,987

 

 

$

7,813,361

 

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,

 

 

 

2019

 

 

2018

 

 

 

(in thousands)

 

ASSETS

 

 

 

 

 

 

 

 

Mortgage loans at fair value

 

$

289,552

 

 

$

290,573

 

Derivative assets

 

 

130,447

 

 

 

123,987

 

Deposits securing credit risk transfer agreements

 

 

1,137,283

 

 

 

1,146,501

 

Other—interest receivable

 

 

825

 

 

 

839

 

 

 

$

1,558,107

 

 

$

1,561,900

 

LIABILITIES

 

 

 

 

 

 

 

 

Asset-backed financing at fair value

 

$

275,509

 

 

$

276,499

 

Interest-only security payable at fair value

 

 

32,564

 

 

 

36,011

 

Accounts payable and accrued liabilities—interest payable

 

 

825

 

 

 

839

 

 

 

$

308,898

 

 

$

313,349

 

 

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,

 

 

 

2019

 

 

2018

 

 

 

(in thousands, except per share amounts)

 

Net investment income

 

 

 

 

 

 

 

 

Net gain (loss) on investments:

 

 

 

 

 

 

 

 

From nonaffiliates

 

$

98,655

 

 

$

(7,733

)

From PennyMac Financial Services, Inc.

 

 

(3,562

)

 

 

7,751

 

 

 

 

95,093

 

 

 

18

 

Net gain on mortgage loans acquired for sale:

 

 

 

 

 

 

 

 

From nonaffiliates

 

 

19,329

 

 

 

4,986

 

From PennyMac Financial Services, Inc.

 

 

1,994

 

 

 

2,641