PennyMac Mortgage Investment Trust(PMT) - 2021 Q2 - Quarterly Report

Form 10-Q Filing Information This section provides basic identification details for PennyMac Mortgage Investment Trust (PMT) as the registrant for the Form 10-Q filing Registrant Details This section identifies PennyMac Mortgage Investment Trust (PMT) as the registrant for the Form 10-Q, detailing its filing type and period - Registrant: PennyMac Mortgage Investment Trust (PMT)[2] - Filing Type: Quarterly Report (Form 10-Q)[2] - Period Ended: June 30, 2021[2] Securities and Filer Status This section lists PMT's registered securities on the New York Stock Exchange and confirms its compliance as a 'Large accelerated filer' Title of Each Class | Title of Each Class | Trading Symbol (s) | Name of Each Exchange on Which Registered | | :------------------------------------------------ | :----------------- | :---------------------------------------- | | 8.125% Series A Cumulative Redeemable Preferred | PMT/PA | New York Stock Exchange | | 8.00% Series B Cumulative Redeemable Preferred | PMT/PB | New York Stock Exchange | | Common Shares of Beneficial Interest, $0.01 Par Value | PMT | New York Stock Exchange | - Registrant has filed all required reports and been subject to filing requirements for the past 90 days: Yes[3] - Registrant has submitted electronically every Interactive Data File: Yes[3] Large accelerated filer | Large accelerated filer | ☒ | | :---------------------- | :- | - Registrant is not a shell company: No[4] Common Shares of Beneficial Interest, $0.01 par value | Class | Outstanding at August 5, 2021 | | :---------------------------------------- | :---------------------------- | | Common Shares of Beneficial Interest, $0.01 par value | 97,872,349 | Table of Contents Special Note Regarding Forward-Looking Statements This section provides important disclaimers regarding forward-looking statements and associated risks Nature of Forward-Looking Statements This section clarifies that the report contains forward-looking statements, identifiable by specific terminology, based on assumptions about future expectations - Forward-looking statements are identified by terms like 'may,' 'will,' 'should,' 'potential,' 'intend,' 'expect,' 'seek,' 'anticipate,' 'estimate,' 'approximately,' 'believe,' 'could,' 'project,' 'predict,' 'continue,' 'plan'[9] - Examples include projections of revenues, income, EPS, capital structure, descriptions of future operations, products, services, and forecasts of economic performance, interest rates, profit margins, and market share[12] - Actual results and performance could differ materially from expectations due to various factors, many beyond the company's control[10] Risk Factors This section outlines numerous factors that could cause actual results to differ materially from anticipated outcomes, including market volatility and regulatory changes - Exposure to risks of loss and disruptions from adverse weather, disasters, climate change, and pandemics (e.g., COVID-19)[13][14][17] - Impact on CRT arrangements from increased borrower forbearance requests under the CARES Act[13][14][17] - Changes in investment objectives, strategies, new lines of business, or new products/services[13][14][17] - Volatility in the industry, debt/equity markets, general economy, or real estate finance/markets[13][14][17] - Events undermining confidence in financial and housing markets (e.g., instability of large institutions, terrorist attacks, conflicts)[13][14][17] - Changes in general business, economic, market, employment, and political conditions, or consumer confidence/spending[13][14][17] - Declines in real estate or significant changes in U.S. housing prices/activity[13][14](index=14&type=chunk][17] - Availability of and competition for attractive risk-adjusted investment opportunities[13][14][17] - Dependence on manager and servicer, potential conflicts of interest[13][14][17] - Availability, terms, and deployment of short-term and long-term capital; adequacy of cash reserves and working capital[13][14][17] - Substantial amount of debt and ability to maintain desired financing-to-asset relationship[13][14][17] - Increased prepayments of mortgages and loans underlying MBS, MSRs, ESS, and other investments[13][14][17] - Degree to which hedging strategies protect from interest rate volatility[13][14][17] - Ability to maintain appropriate internal control over financial reporting, technology failures, cybersecurity risks[13][14][17](index=17&type=chunk] - Ability to comply with various federal, state, and local laws and regulations, including REIT qualification rules and Investment Company Act exclusions[13][14][17] - Forward-looking statements are made as of their date, and the company undertakes no obligation to update them[16] PART I. FINANCIAL INFORMATION This section presents the unaudited consolidated financial statements and related notes for PennyMac Mortgage Investment Trust Item 1. Financial Statements (Unaudited): This section presents the unaudited consolidated financial statements of PennyMac Mortgage Investment Trust and its subsidiaries, along with comprehensive notes detailing accounting policies and segment information Consolidated Balance Sheets The consolidated balance sheets provide a snapshot of the company's financial position at June 30, 2021, and December 31, 2020, showing increases in total assets and liabilities Metric (in thousands) | Metric (in thousands) | June 30, 2021 | December 31, 2020 | | :-------------------- | :------------ | :---------------- | | Total Assets | $13,598,112 | $11,492,011 | | Total Liabilities | $11,254,722 | $9,195,152 | | Total Shareholders' Equity | $2,343,390 | $2,296,859 | - Cash increased from $57,704 thousand (Dec 31, 2020) to $68,616 thousand (June 30, 2021)[20] - Mortgage-backed securities at fair value pledged to creditors increased from $2,213,922 thousand to $2,309,864 thousand[20] - Loans acquired for sale at fair value significantly increased from $3,551,890 thousand to $5,535,300 thousand[20] - Mortgage servicing rights at fair value increased from $1,755,236 thousand to $2,551,373 thousand[20] - Assets sold under agreements to repurchase increased from $6,309,418 thousand to $7,193,671 thousand[20] - Notes payable secured by credit risk transfer and mortgage servicing assets increased from $1,924,999 thousand to $2,829,177 thousand[20] Assets and Liabilities of Consolidated VIEs (in thousands) | Metric | June 30, 2021 | December 31, 2020 | | :------------------------------------------ | :------------ | :---------------- | | Total VIE Assets | $2,644,424 | $3,002,061 | | Total VIE Liabilities | $412,859 | $375,571 | Consolidated Statements of Operations The consolidated statements of operations