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Press Release: PennyMac Mortgage Investment Trust -3-

· 02/04/2021 16:30
PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES CONSOLIDATED BALANCE SHEETS (UNAUDITED) December 31, September December 31, 2020 30, 2020 2019 ------------ ------------ ------------- (in thousands except share amounts) ASSETS Cash $ 57,704 $ 278,486 $ 104,056 Short-term investments 127,295 81,624 90,836 Mortgage-backed securities at fair value 2,213,922 2,404,766 2,839,633 Loans acquired for sale at fair value 3,551,890 4,024,494 4,148,425 Loans at fair value 151,734 193,832 270,793 Excess servicing spread received from PennyMac Financial Services, Inc. 131,750 142,990 178,586 Derivative and credit risk transfer strip assets 164,318 107,436 202,318 Firm commitment to purchase credit risk transfer securities at fair value - - 109,513 Real estate acquired in settlement of loans 28,709 35,697 65,583 Deposits securing credit risk transfer arrangements 2,799,263 1,417,792 1,969,784 Mortgage servicing rights 1,755,236 1,388,403 1,535,705 Servicing advances 121,820 46,897 48,971 Due from PennyMac Financial Services, Inc. 8,152 18,872 2,760 Other 404,553 313,778 204,388 ---------- ---------- ------------ Total assets $11,516,346 $10,455,067 $ 11,771,351 ========== ========== ============ LIABILITIES Assets sold under agreements to repurchase $ 6,309,418 $ 5,439,835 $ 6,648,890 Mortgage loan participation and sale agreements 16,851 79,721 - Exchangeable senior notes 196,796 196,058 443,506 Notes payable secured by credit risk transfer and mortgage servicing assets 1,924,999 1,602,389 1,696,295 Asset-backed financing of a variable interest entity at fair value 134,726 175,879 243,360 Interest-only security payable at fair value 10,757 12,940 25,709 Assets sold to PennyMac Financial Services, Inc. under agreement to repurchase 80,862 86,958 107,512 Derivative and credit risk transfer strip liabilities at fair value 287,808 166,080 6,423 Firm commitment to purchase credit risk transfer securities at fair value - 148,794 - Accounts payable and accrued liabilities 124,809 94,864 91,149 Due to PennyMac Financial Services, Inc. 87,005 122,478 48,159 Income taxes payable 23,563 33,164 1,819 Liability for losses under representations and warranties 21,893 14,641 7,614 ---------- ---------- ------------ Total liabilities 9,219,487 8,173,801 9,320,436 ---------- ---------- ------------ SHAREHOLDERS' EQUITY Preferred shares of

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 manmade 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 the Company's investment objectives; the inherent difficulty in winning bids to acquire mortgage loans, and the Company's success in doing so; the concentration of credit risks to which the Company is exposed; the degree and nature of the Company's competition; the Company's dependence on its 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 its manager, servicer or their affiliates; the availability, terms and deployment of short-term and long-term capital; the adequacy of the Company's cash reserves and working capital; the Company's ability to maintain the desired relationship between its financing and the interest rates and maturities of its assets; the timing and amount of cash flows, if any, from the Company's investments; unanticipated increases or volatility in financing and other costs, including a rise in interest rates; our substantial amount of indebtedness; the performance, financial condition and liquidity of borrowers; the ability of the Company's servicer, which also provides the Company 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 the Company's customers and counterparties; the Company's indemnification and repurchase obligations in connection with mortgage loans it purchases and later sells or securitizes; the quality and enforceability of the collateral documentation evidencing the Company's ownership and rights in the assets in which it invests; increased rates of delinquency, default and/or decreased recovery rates on the Company's investments; the performance of mortgage loans underlying mortgage backed securities in which the Company retains credit risk; the Company's ability to foreclose on its investments in a timely manner or at all; increased prepayments of the mortgages and other loans underlying the Company's mortgage-backed securities or relating to the Company's mortgage servicing rights, excess servicing spread and other investments; the degree to which the Company's hedging strategies may or may not protect it from interest rate volatility; the effect of the accuracy of or changes in the estimates the Company makes about uncertainties, contingencies and asset and liability valuations when measuring and reporting upon the Company's financial condition and results of operations; the Company's ability to maintain appropriate internal control over financial reporting; technologies for loans and the Company's ability to mitigate security risks and cyber intrusions; the Company's ability to obtain and/or maintain licenses and other approvals in those jurisdictions where required to conduct its business; the Company's ability to detect misconduct and fraud; the Company's ability to comply with various federal, state and local laws and regulations that govern its business; developments in the secondary markets for the Company's 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, the Federal Housing Administration or the Veterans Administration, the U.S. Department of Agriculture, or government-sponsored entities such as the Federal National Mortgage Association or the Federal Home Loan Mortgage Corporation, or such changes that increase the cost of doing business with such entities; the Dodd-Frank Wall Street Reform and Consumer Protection 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 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 the Company's business and its ability to satisfy complex rules for it to qualify as a 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 the Company's subsidiaries to qualify as REITs or as taxable REIT subsidiaries for U.S. federal income tax purposes, as applicable, and the Company's ability and the ability of its 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); the Company's ability to make distributions to its shareholders in the future; the Company's failure to deal appropriately with issues that may give rise to reputational risk; and the Company's organizational structure and certain requirements in its charter documents. You should not place undue reliance on any forward-looking statement and should consider all of the uncertainties and risks described above, as well as those more fully discussed in reports and other documents filed by the Company with the Securities and Exchange Commission from time to time. The Company undertakes no obligation to publicly update or revise any forward-looking statements or any other information contained herein, and the statements made in this press release are current as of the date of this release only.

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February 04, 2021 16:30 ET (21:30 GMT)