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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, 2020

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

 

PMT/PB

 

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 August 6, 2020

Common Shares of Beneficial Interest, $0.01 par value

 

99,275,258

 

 


PENNYMAC MORTGAGE INVESTMENT TRUST

FORM 10-Q

June 30, 2020

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 Operation

 

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

 

65

 

 

Our Company

 

65

 

 

Results of Operations

 

68

 

 

Net Investment Income

 

70

 

 

Expenses

 

83

 

 

Balance Sheet Analysis

 

86

 

 

Asset Acquisitions

 

87

 

 

Investment Portfolio Composition

 

88

 

 

Cash Flows

 

92

 

 

Liquidity and Capital Resources

 

93

 

 

Off-Balance Sheet Arrangements and Aggregate Contractual Obligations

 

95

Item 3.

 

Quantitative and Qualitative Disclosures About Market Risk

 

97

Item 4.

 

Controls and Procedures

 

99

PART II. OTHER INFORMATION

 

100

Item 1.

 

Legal Proceedings

 

100

Item 1A.

 

Risk Factors

 

100

Item 2.

 

Unregistered Sales of Equity Securities and Use of Proceeds

 

102

Item 3.

 

Defaults Upon Senior Securities

 

102

Item 4.

 

Mine Safety Disclosures

 

102

Item 5.

 

Other Information

 

102

Item 6.

 

Exhibits

 

103

 

 

 


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, 2019, filed with the Securities and Exchange Commission (“SEC”) on February 21, 2020.

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

 

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 COVID-19;

 

the impact to our CRT agreements of increased borrower requests for forbearance under the CARES 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;

 

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;

1


 

the adequacy of our cash reserves and working capital;

 

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;

 

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;

2


 

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.

 

3


PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS (UNAUDITED)

 

 

 

June 30,

 

 

December 31,

 

 

 

2020

 

 

2019

 

 

 

(in thousands, except share information)

 

ASSETS

 

 

 

 

 

 

 

 

Cash

 

$

346,007

 

 

$

104,056

 

Short-term investments at fair value

 

 

273,592

 

 

 

90,836

 

Mortgage-backed securities at fair value ($2,107,787 and $2,839,633 pledged to

   creditors, respectively)

 

 

2,612,986

 

 

 

2,839,633

 

Loans acquired for sale at fair value ($2,135,617 and $4,070,134 pledged to creditors, respectively)

 

 

2,179,962

 

 

 

4,148,425