Pennymac mortgage investment trust (PMT)
Balance Sheet / TTM
Mar'20Dec'19Sep'19Jun'19Mar'19Dec'18Sep'18Jun'18Mar'18Dec'17Sep'17Jun'17Mar'17Dec'16Sep'16Jun'16Mar'16Dec'15Sep'15Jun'15Mar'15Dec'14Sep'14Jun'14Mar'14Dec'13Sep'13Jun'13Mar'13Dec'12Sep'12Jun'12Mar'12Dec'11Sep'11Jun'11Dec'10
ASSETS
Investment securities—Interest-only stripped CRT securities

-

-

67

62

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Cash

1,099

104

113

77

68

59

88

63

102

77

99

69

120

34

139

95

66

58

89

114

65

76

46

37

11

27

100

27

19

33

67

27

16

14

11

2

45

Short-term investments at fair value

137

90

74

76

29

74

26

39

71

18

5

77

19

122

33

16

47

41

31

32

44

139

37

104

91

92

80

73

45

39

38

32

63

30

30

38

-

United States Treasury security

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

50

-

-

-

Mortgage-backed securities at fair value pledged to creditors

3,947

2,839

2,325

2,600

2,589

2,610

2,126

1,698

1,436

989

1,036

1,065

1,089

865

708

531

364

322

315

287

316

307

267

218

198

197

204

-

-

-

-

167

174

72

86

82

119

Agency debt security at fair value

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

12

-

-

-

-

-

-

-

-

-

-

Loans acquired for sale at fair value ($2,813,903 and $4,070,134 pledged to creditors, respectively)

2,856

4,148

3,947

2,477

1,435

1,643

1,949

1,790

1,115

1,269

1,270

1,318

1,278

1,673

2,043

1,461

1,339

1,283

1,050

2,213

1,366

637

688

909

344

458

737

1,309

1,123

975

847

460

155

232

40

18

3

Loans at fair value ($246,346 and $268,757 pledged to creditors, respectively)

251

270

290

358

398

408

633

749

779

1,089

1,347

1,527

1,583

1,721

1,957

2,035

2,496

2,555

2,637

2,730

2,859

2,726

2,561

2,697

2,079

2,600

1,848

1,309

1,366

1,189

1,089

969

667

696

715

657

364

Mortgage loans at fair value held by variable interest entity (includes $522,684 and $516,473 pledged to secure agreement to repurchase and asset-backed secured financing of the variable interest entity at fair value)

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

529

-

536

-

-

-

-

-

-

-

-

-

-

Mortgage servicing rights at fair value

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

10

1

1

-

1

1

1

0

0

0

-

Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value pledged to secure Assets sold to PennyMac Financial Services, Inc. under agreements to repurchase

157

178

183

194

205

216

223

229

236

236

248

261

277

288

280

294

321

412

418

359

222

191

187

190

151

138

2

-

-

-

-

-

-

-

-

-

-

Derivative and credit risk transfer strip assets ($142,183 pledged to creditors at December 31, 2019)

173

202

274

258

188

167

143

133

122

113

67

73

41

33

44

35

18

10

16

13

12

11

10

14

7

7

18

51

15

23

-

-

-

1

-

-

-

Firm commitment to purchase credit risk transfer securities at fair value

0

109

54

15

79

37

18

4

-

0

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Real estate acquired in settlement of loans ($30,385 and $40,938 pledged to creditors, respectively)

50

65

79

97

72

85

95

109

141

162

185

207

224

274

288

299

327

341

353

324

317

303

275

240

172

138

99

88

84

88

86

89

81

80

60

48

29

Real estate held for investment ($23,262 pledged to creditors at December 31, 2018)

-

-

0

-

-

43

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Mortgage loans under forward purchase agreements at fair value pledged to secure borrowings under forward purchase agreements

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

0

0

202

218

228

242

-

0

-

16

105

129

152

-

-

Mortgage servicing rights at lower of amortized cost or fair value

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

179

-

63

31

17

5

0

-

-

Principal and interest collections receivable

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

22

29

31

-

30

21

14

8

6

14

8

Principal and interest collections receivable under forward purchase agreements

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

9

-

-

-

-

3

7

5

9

-

-

Interest receivable

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

6

4

3

-

2

3

2

2

2

2

0

Restricted cash

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

180

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Real estate held for investment (includes $23,262 pledged to creditors at December 31, 2018)

-

-

-

0

42

-

45

46

45

44

42

40

35

29

25

20

12

8

4

1

-

0

0

0

13

9

3

0

-

-

-

0

23

22

9

-

-

Deposits securing credit risk transfer arrangements pledged to creditors

1,855

1,969

2,044

2,060

1,137

1,146

662

651

622

588

545

503

463

450

427

338

-

147

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Mortgage servicing rights at fair value ($1,141,337 and $1,510,651 pledged to creditors, respectively)

1,157

1,535

1,162

1,126

1,156

1,162

1,109

1,010

957

844

790

734

696

656

524

471

455

459

423

394

359

357

345

315

301

290

258

225

-

126

-

-

-

-

-

-

-

Servicing advances

39

48

32

35

37

67

48

53

63

77

61

67

70

76

78

74

76

88

79

78

79

79

59

63

60

59

43

39

37

32

-

-

-

18

-

-

-

Due from PennyMac Financial Services, Inc.

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

6

-

9

9

5

6

4

4

3

6

0

3

5

4

2

8

5

0

7

7

2

Other

189

204

157

85

111

85

92

94

96

87

78

57

90

124

61

79

286

88

162

116

87

59

119

72

59

66

23

36

14

46

98

56

42

13

20

11

14

Total assets

11,918

11,771

10,744

9,465

7,555

7,813

7,267

6,676

5,790

5,604

5,785

6,010

6,002

6,357

6,618

5,767

5,820

5,826

5,592

6,677

5,737

4,897

4,604

4,869

4,227

4,310

4,249

3,443

2,927

2,559

2,328

1,890

1,378

1,386

1,155

883

589

LIABILITIES
Assets sold under agreements to repurchase

6,348

6,648

6,355

5,364

4,179

4,777

4,394

3,780

3,408

3,180

3,203

3,497

3,500

3,784

4,041

3,275

3,245

3,128

2,864

3,500

3,563

2,729

2,416

2,701

1,887

2,039

-

-

-

-

-

-

-

-

-

-

-

Mortgage loan participation purchase and sale agreements

-

-

0

0

73

178

31

87

0

44

43

38

72

25

88

96

62

0

61

70

71

20

-

-

-

0

-

-

-

-

-

-

-

-

-

-

-

Credit risk transfer financing at fair value

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

649

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Notes payable secured by credit risk transfer and mortgage servicing assets

1,967

1,696

1,361

1,370

739

445

445

445

-

0

80

159

100

275

196

163

206

236

192

192

-

0

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Asset-backed secured financing at fair value

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

170

-

-

-

-

-

-

-

-

-

-

Exchangeable senior notes

444

443

249

248

248

248

248

247

247

247

246

246

246

246

245

245

245

245

244

244

250

244

250

250

250

250

250

250

-

0

-

-

-

-

-

-

-

Unsettled mortgage-backed securities purchases

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

115

-

17

-

-

Loans sold under agreements to repurchase

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

345

262

147

Securities

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

196

-

-

-

-

157

53

115

62

70

101

Mortgage loans acquired for sale at fair value

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

670

1,243

1,035

894

755

418

143

212

-

-

-

Mortgage loans at fair value

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

797

313

576

353

274

412

282

275

-

-

-

Mortgage loans at fair value held by variable interest entity

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

293

-

-

-

-

-

-

-

-

-

-

Real estate acquired in settlement of loans

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

22

8

3

7

11

19

21

27

12

7

-

Note payable secured by mortgage loans at fair value

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

0

0

-

28

-

-

-

Borrowings under forward purchase agreements

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

0

0

216

226

229

244

-

-

-

16

127

152

163

-

-

Asset-backed financing of a variable interest entity at fair value

232

243

261

270

275

276

278

287

296

307

318

329

340

353

384

325

344

247

234

151

162

165

166

170

166

165

-

-

-

-

-

-

-

-

-

-

-

Interest-only security payable at fair value

14

25

24

26

32

36

8

7

7

7

6

6

4

4

1

1

0

0

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Derivative and credit risk transfer strip liabilities at fair value

462

6

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Firm commitment to purchase credit risk transfer securities at fair value

409

0

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Federal Home Loan Bank advances

-

-

-

-

-

-

-

-

-

-

-

-

-

-

0

0

0

183

183

138

-

0

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Derivative liabilities

-

-

9

22

8

5

11

3

3

1

4

8

5

9

1

3

13

3

2

6

2

2

1

6

0

1

5

26

2

0

-

-

-

-

-

-

-

Accounts payable and accrued liabilities

40

91

108

36

74

70

70

58

63

64

76

74

80

107

88

75

71

64

67

75

71

67

80

69

72

71

34

31

22

48

63

24

9

8

1

1

9

Due to PennyMac Financial Services, Inc.

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

17

-

17

16

18

23

21

19

20

18

20

16

14

12

9

21

17

12

13

11

5

Underwriting fees payable

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

5

5

-

5

5

5

5

5

5

5

Income taxes payable

12

1

0

21

32

36

52

47

42

27

20

14

12

18

36

26

29

33

42

36

39

51

66

63

58

59

54

51

38

36

23

9

4

0

1

0

-

Liability for losses under representations and warranties

7

7

7

7

7

7

7

7

8

8

10

10

11

15

14

19

18

20

18

16

15

14

13

11

10

10

9

7

6

4

-

-

-

0

-

-

-

Total liabilities

10,095

9,320

8,524

7,521

5,828

6,247

5,709

5,131

4,248

4,060

4,174

4,555

4,544

5,006

5,263

4,406

4,405

4,330

4,077

5,152

4,195

3,319

3,016

3,292

2,684

2,843

2,754

2,199

1,704

1,358

1,144

1,085

782

840

624

360

269

Commitments and contingencies ─ Note 20

-

-

-

-

-

-

0

0

0

0

0

-

-

0

-

-

-

-

-

0

0

-

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

SHAREHOLDERS’ EQUITY
Preferred shares of beneficial interest, $0.01 par value per share, authorized 100,000,000 shares, issued and outstanding 12,400,000 shares, liquidation preference $310,000,000

299

299

299

299

299

299

299

299

299

299

299

0

0

0

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Common shares of beneficial interest—authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding, 99,841,390 and 100,182,227 common shares, respectively

0

1

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

Additional paid-in capital

2,126

2,127

1,901

1,647

1,431

1,285

1,284

1,282

1,281

1,290

1,362

1,489

1,487

1,377

1,380

1,389

1,406

1,469

1,468

1,483

1,482

1,479

1,470

1,468

1,466

1,384

1,383

1,132

1,131

1,129

1,128

767

564

518

508

507

317

(Accumulated deficit) retained earnings

-603

22

17

-3

-4

-19

-26

-37

-39

-46

-52

-34

-29

-26

-26

-29

7

25

44

41

59

97

117

107

76

81

110

111

90

70

55

37

30

27

21

15

2

Total shareholders’ equity

1,823

2,450

2,219

1,943

1,727

1,566

1,558

1,545

1,542

1,544

1,610

1,454

1,458

1,351

1,354

1,360

1,414

1,496

1,514

1,525

1,542

1,578

1,588

1,577

1,543

1,467

1,494

1,244

1,222

1,201

1,184

805

595

546

530

522

319

Total liabilities and shareholders’ equity

11,918

11,771

10,744

9,465

7,555

7,813

7,267

6,676

5,790

5,604

5,785

6,010

6,002

6,357

6,618

5,767

5,820

5,826

5,592

6,677

5,737

4,897

4,604

4,869

4,227

4,310

4,249

3,443

2,927

2,559

2,328

1,890

1,378

1,386

1,155

883

589

Variable Interest Entities [Member]
Loans at fair value ($246,346 and $268,757 pledged to creditors, respectively)

242

256

275

284

289

290

292

301

311

321

331

343

353

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Derivative and credit risk transfer strip assets ($142,183 pledged to creditors at December 31, 2019)

0

170

188

186

130

123

126

119

103

98

56

52

25

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Deposits securing credit risk transfer arrangements pledged to creditors

1,855

1,969

2,044

2,060

1,137

1,146

662

651

622

588

545

503

463

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Other—interest receivable

0

0

0

0

0

0

0

0

0

0

0

0

1

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Total assets

2,098

2,397

2,509

2,532

1,558

1,561

1,082

1,073

1,038

1,009

935

899

844

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Asset-backed financing of a variable interest entity at fair value

232

243

261

270

275

276

278

287

296

307

318

329

340

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Derivative and credit risk transfer liabilities at fair value

360

0

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Interest-only security payable at fair value

14

25

24

26

32

36

8

7

7

7

6

6

4

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Accounts payable and accrued liabilities—interest payable

0

0

0

0

0

0

0

0

0

0

0

0

1

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Total liabilities

608

269

286

297

308

313

287

296

305

315

325

337

345

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

PennyMac Financial Services, Inc. [Member]
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value pledged to secure Assets sold to PennyMac Financial Services, Inc. under agreements to repurchase

157

178

183

194

205

216

223

-

-

236

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Due from PennyMac Financial Services, Inc.

3

2

4

1

3

4

2

4

0

4

4

5

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Due from PennyMac Financial Services, Inc.

-

-

-

-

-

-

-

-

-

-

-

-

10

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Assets sold under agreements to repurchase

99

107

107

118

125

131

133

138

142

144

148

150

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Assets sold under agreements to repurchase

-

-

-

-

-

-

-

-

-

-

-

-

150

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Due to PennyMac Financial Services, Inc.

56

48

39

34

29

33

27

19

27

27

16

17

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

Due to PennyMac Financial Services, Inc.

-

-

-

-

-

-

-

-

-

-

-

-

20

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-