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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

Form 10-K

 

(Mark One)

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

For the fiscal year ended December 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)

(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

Common Shares of Beneficial Interest, $0.01 Par Value

 

PMT

 

New York Stock Exchange

8.125% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred
Shares of Beneficial Interest, $0.01 Par Value

 

PMT/PA

 

New York Stock Exchange

8.00% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred
Shares of Beneficial Interest, $0.01 Par Value

 

PMT/PB

 

New York Stock Exchange

 

Securities registered pursuant to Section 12(g) of the Act: None

 

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.     Yes       No  

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.     Yes       No  

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, a 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  

As of June 28, 2019 the aggregate market value of the registrant’s common shares of beneficial interest, $0.01 par value (“common shares”), held by nonaffiliates was $1,679,283,823 based on the closing price as reported on the New York Stock Exchange on that date.

As of February 20, 2020, there were 100,339,851 common shares of the registrant outstanding.

Documents Incorporated By Reference

 

Document

 

Parts Into Which Incorporated

Definitive Proxy Statement for 2020 Annual Meeting of Shareholders

 

Part III

 

 


PENNYMAC MORTGAGE INVESTMENT TRUST

FORM 10-K

December 31, 2019

TABLE OF CONTENTS

 

 

 

Page

Special Note Regarding Forward-Looking Statements

 

3

PART I

 

6

Item 1

 

Business

 

6

Item 1A

 

Risk Factors

 

15

Item 1B

 

Unresolved Staff Comments

 

43

Item 2

 

Properties

 

43

Item 3

 

Legal Proceedings

 

43

Item 4

 

Mine Safety Disclosures

 

43

PART II

 

44

Item 5

 

Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities

 

44

Item 6

 

Selected Financial Data

 

45

Item 7

 

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

 

46

Item 7A

 

Quantitative and Qualitative Disclosures About Market Risk

 

87

Item 8

 

Financial Statements and Supplementary Data

 

91

Item 9

 

Changes in and Disagreements With Accountants on Accounting and Financial Disclosure

 

91

Item 9A

 

Controls and Procedures

 

91

Item 9B

 

Other Information

 

94

PART III

 

95

Item 10

 

Directors, Executive Officers and Corporate Governance

 

95

Item 11

 

Executive Compensation

 

95

Item 12

 

Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters

 

95

Item 13

 

Certain Relationships and Related Transactions, and Director Independence

 

96

Item 14

 

Principal Accounting Fees and Services

 

96

PART IV

 

97

Item 15

 

Exhibits and Financial Statement Schedules

 

97

Item 16

 

Form 10-K Summary

 

101

 

 

Signatures

 

 

 

2


SPECIAL NOTE REGARDING FORWARD-LOOKING STATEMENTS

This Annual Report on Form 10-K (“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 any subsequent Quarterly Reports on Form 10-Q.

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;

 

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;

 

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;

3


 

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 (“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, man-made or natural disasters, the effects of climate change, or other events;

 

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 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 (“GSEs”) 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;

4


 

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 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.

 

 

5


PART I

 

Item 1.

Business

The following description of our business should be read in conjunction with the information included elsewhere in this Report. This description contains forward-looking statements that involve risks and uncertainties. Actual results could differ significantly from the projections and results discussed in the forward-looking statements due to the factors described under the caption “Risk Factors” and elsewhere in this Report. References in this Report to “we,” “our,” “us,” “PMT,” or the “Company” refer to PennyMac Mortgage Investment Trust and its consolidated subsidiaries, unless otherwise indicated.

Our Company

We are a specialty finance company that invests primarily in mortgage-related assets. We were organized in Maryland and began operations in 2009. We conduct substantially all of our operations, and make substantially all of our investments, through PennyMac Operating Partnership, L.P. (our “Operating Partnership”) and its subsidiaries. A wholly-owned subsidiary of ours is the sole general partner, and we are the sole limited partner, of our Operating Partnership. Certain of the activities conducted or investments made by us that are described below are conducted or made through a wholly-owned subsidiary that is a taxable REIT subsidiary (“TRS”) of our Operating Partnership.

The management of our business and execution of our operations is performed on our behalf by subsidiaries of PennyMac Financial Services, Inc. (“PFSI” or “PennyMac”). PFSI is a specialty financial services firm focused on the production and servicing of loans and the management of investments related to the U.S. mortgage market. Specifically:

 

We are managed by PNMAC Capital Management, LLC (“PCM” or our “Manager”), a wholly-owned subsidiary of PennyMac and an investment adviser registered with the United States Securities and Exchange Commission (“SEC”) that specializes in, and focuses on, U.S. mortgage assets.

 

Our loan production and servicing activities (as described below) are performed on our behalf by another wholly-owned PennyMac subsidiary, PennyMac Loan Services, LLC (“PLS” or our “Servicer”).

Our investment focus is on residential mortgage-backed securities (“MBS”) and mortgage-related assets that we create through our correspondent production activities, including mortgage servicing rights (“MSRs”) and credit risk transfer (“CRT”) investments, including CRT agreements (“CRT Agreements”) and CRT securities (together, “CRT arrangements”). We have acquired these investments largely by purchasing, pooling and selling newly originated prime credit quality residential loans (“correspondent production”), retaining the MSRs relating to such loans and investing in CRT arrangements associated with certain of such loans.

Our business includes four segments: credit sensitive strategies, interest rate sensitive strategies, correspondent production, and corporate.

 

The credit sensitive strategies segment represents the Company’s investments in CRT arrangements including firm commitments to purchase CRT securities, distressed loans, real estate and non-Agency subordinated bonds.

 

The interest rate sensitive strategies segment represents the Company’s investments in MSRs, excess servicing spread (“ESS”), Agency and senior non-Agency MBS and the related interest rate hedging activities.  

 

The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between mortgage lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality residential loans either directly or in the form of MBS, using the services of PLS.

 

The corporate segment includes management fee and corporate expense amounts and certain interest income.

6


Following is a summary of our segment results for the years presented:

 

 

 

Year ended December 31,

 

 

 

2019

 

 

2018

 

 

2017

 

 

2016

 

 

2015

 

 

 

(in thousands)

 

Net investment income:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit sensitive strategies

 

$

191,865

 

 

$

110,271

 

 

$

133,400

 

 

$

66,256

 

 

$

108,315

 

Interest rate sensitive strategies

 

 

50,650

 

 

 

133,613

 

 

 

51,777

 

 

 

36,651

 

 

 

39,447

 

Correspondent production

 

 

242,762

 

 

 

105,606

 

 

 

131,981

 

 

 

168,530

 

 

 

100,400

 

Corporate

 

 

3,538

 

 

 

1,577

 

 

 

782

 

 

 

651

 

 

 

603

 

 

 

$

488,815

 

 

$

351,067

 

 

$

317,940

 

 

$

272,088

 

 

$

248,765

 

Pretax income:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit sensitive strategies

 

$

182,176

 

 

$

87,251

 

 

$

102,214

 

 

$

17,288

 

 

$

66,038

 

Interest rate sensitive strategies

 

 

1,148

 

 

 

98,432

 

 

 

22,683

 

 

 

14,041

 

 

 

20,516

 

Correspondent production

 

 

64,593

 

 

 

16,472

 

 

 

42,938

 

 

 

73,842

 

 

 

36,390

 

Corporate

 

 

(57,276

)

 

 

(44,167

)

 

 

(43,289

)

 

 

(43,408

)

 

 

(49,640

)

 

 

$

190,641

 

 

$

157,988

 

 

$

124,546

 

 

$

61,763

 

 

$

73,304

 

Total assets at year end:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit sensitive strategies

 

$

2,364,749