PennyMac Mortgage Investment Trust
For the period ended Sep 30, 2024. Filed Oct 30, 2024.
View on SEC.govAbout this filing
A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.
Sep 30, 2024 · Filed Oct 30, 2024
Extracted filing text, with the paragraph anchors used by the comparison.
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Investment Portfolio Composition
Following is a summary of our MBS holdings:
| September 30, 2024 · December 31, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Average · Average | ||||||||||
| Fair · Principal/ · Life · Fair · Principal/ · Life | ||||||||||
| value · notional · (in years) · Coupon · value · notional · (in years) · Coupon | ||||||||||
| (dollars in thousands) | ||||||||||
| Agency pass-through securities | $3,252,908 | $3,217,437 | 6.8 | 5.4% | $4,270,056 | $4,311,342 | 7.6 | 5.1% | ||
| Principal-only stripped securities | 540,789 | 631,601 | 2.8 | 0.1% | 53,336 | 65,573 | 3.3 | 0.0% | ||
| Subordinate credit-linked securities | 196,311 | 174,813 | 5.5 | 13.1% | 301,180 | 275,963 | 4.3 | 12.4% | ||
| Senior non-Agency securities | 111,118 | 115,302 | 7.0 | 5.1% | 117,489 | 124,771 | 7.0 | 5.1% | ||
| Interest-only stripped securities | 81,256 | 395,952 | 6.9 | 4.9% | 94,231 | 419,791 | 7.3 | 4.9% | ||
| $4,182,382 | $4,535,105 | $4,836,292 | $5,197,440 | |||||||
Credit Risk Transfer Arrangements
Following is a summary of our investment in CRT arrangements:
| September 30, 2024 | December 31, 2023 | |
|---|---|---|
| (in thousands) | ||
| Carrying value of CRT arrangements: | ||
| Derivative assets - CRT derivatives | $29,690 | $16,160 |
| Derivative and credit risk transfer strip liabilities- CRT strips | (13,475) | (46,692) |
| Deposits securing CRT arrangements | 1,135,447 | 1,209,498 |
| Interest-only security payable at fair value | (35,098) | (32,667) |
| $1,116,564 | $1,146,299 | |
| UPB of loans subject to credit guarantee obligations | $21,708,165 | $23,152,230 |
Following is a summary of the composition of the loans underlying our investment in CRT arrangements as of September 30, 2024:
| Year of origination | |||||||
|---|---|---|---|---|---|---|---|
| 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | Total | |
| (in millions) | |||||||
| UPB: | |||||||
| Outstanding | $4,449 | $10,098 | $2,602 | $2,198 | $1,800 | $561 | $21,708 |
| Liquidations: | |||||||
| Balances | $1.0 | $8.4 | $59.2 | $163.5 | $123.2 | $61.4 | $416.7 |
| Losses | $— | $0.9 | $5.7 | $20.4 | $13.1 | $7.4 | $47.5 |
| Modifications: | |||||||
| Balances | $68.6 | $554.4 | $306.9 | $— | $— | $— | $929.9 |
| Losses | $1.8 | $19.4 | $14.9 | $— | $— | $— | $36.1 |
| Weighted average: | |||||||
| Original debt-to income ratio | 33.5% | 35.9% | 39.1% | 36.5% | 35.1% | 35.7% | 35.8% |
| Origination FICO credit score | 765 | 754 | 736 | 745 | 751 | 743 | 753 |
| Origination loan-to value ratio | 80.7% | 83.3% | 83.5% | 82.4% | 80.6% | 80.9% | 82.4% |
| Current loan-to value ratio (1) | 50.0% | 49.8% | 47.5% | 42.5% | 38.5% | 36.0% | 47.5% |
(1)
Based on current UPB compared to estimated fair value of the property securing the loan.
| Year of origination | |||||||
|---|---|---|---|---|---|---|---|
| Distribution by state | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | Total |
| (in millions) | |||||||
| California | $467 | $1,001 | $328 | $234 | $351 | $107 | $2,488 |
| Florida | 488 | 965 | 335 | 229 | 191 | 50 | 2,258 |
| Texas | 527 | 871 | 208 | 187 | 222 | 83 | 2,098 |
| Virginia | 239 | 449 | 94 | 101 | 125 | 54 | 1,062 |
| Maryland | 177 | 433 | 119 | 127 | 119 | 31 | 1,006 |
| Other | 2,551 | 6,379 | 1,518 | 1,320 | 792 | 236 | 12,796 |
| $4,449 | $10,098 | $2,602 | $2,198 | $1,800 | $561 | $21,708 | |
| Year of origination | |||||||
|---|---|---|---|---|---|---|---|
| Regional geographicdistribution (1) | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | Total |
| (in millions) | |||||||
| Northeast | $414 | $1,269 | $307 | $323 | $233 | $84 | $2,630 |
| Southeast | 1,509 | 3,449 | 932 | 753 | 564 | 171 | 7,378 |
| Midwest | 413 | 1,062 | 223 | 209 | 162 | 40 | 2,109 |
| Southwest | 1,157 | 2,222 | 487 | 428 | 332 | 116 | 4,742 |
| West | 956 | 2,096 | 653 | 485 | 509 | 150 | 4,849 |
| $4,449 | $10,098 | $2,602 | $2,198 | $1,800 | $561 | $21,708 | |
(1)
Northeast consists of CT, DE, ME, MA, NH, NJ, NY, PA, PR, RI, VT, VI; Southeast consists of AL, DC, FL, GA, KY, MD, MS, NC, SC, TN, VA, WV; Midwest consists of IL, IN, IA, MI, MN, NE, ND, OH, SD, WI; Southwest consists of AZ, AR, CO, KS, LA, MO, NM, OK, TX, UT; and West consists of AK, CA, GU, HI, ID, MT, NV, OR, WA and WY.
| Year of origination | |||||||
|---|---|---|---|---|---|---|---|
| Collection status | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | Total |
| (in millions) | |||||||
| Delinquency | |||||||
| Current - 89 Days | $4,429 | $10,012 | $2,552 | $2,185 | $1,793 | $559 | $21,530 |
| 90 - 179 Days | 13 | 53 | 32 | 12 | 7 | 2 | 119 |
| 180+ Days | 5 | 24 | 13 | — | — | — | 42 |
| Foreclosure | 2 | 9 | 5 | 1 | — | — | 17 |
| $4,449 | $10,098 | $2,602 | $2,198 | $1,800 | $561 | $21,708 | |
| Bankruptcy | $4 | $31 | $16 | $5 | $7 | $1 | $64 |
The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.