PennyMac Mortgage Investment Trust Debt Disclosure
Note 15— Notes Payable Secured By Credit Risk Transfer and Mortgage Servicing Assets
The Company, through its indirect subsidiary, PMT CREDIT RISK TRANSFER TRUST (the “Issuer Trust”), issued Term Notes to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). All of the Term Notes rank pari passu with each other and with the Series 2017-VF1 Note dated December 20, 2017 (the "FMSR VFN") issued by another one of the Company’s indirect subsidiaries.
PMC finances mortgage servicing rights through the issuance of the FMSR VFN sold to institutional buyers under an agreement to repurchase. On August 4, 2020, PMC increased the committed borrowing capacity to $700 million and extended the VFN termination date to August 3, 2021.
Following is a summary of the secured Term Notes issued:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Maturity date (2) |
|
|||
|
Term Notes |
|
Issuance date |
|
Issued |
|
|
Unpaid principal balance |
|
|
Annual interest rate spread (1) |
|
|
Stated |
|
Optional extension |
|
||||
|
|
|
|
|
(in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|||||
|
2020 2R |
|
December 22, 2020 |
|
$ |
500,000 |
|
|
$ |
500,000 |
|
|
|
3.81 |
% |
|
December 28, 2022 |
|
|
— |
|
|
2020 1R |
|
February 14, 2020 |
|
$ |
350,000 |
|
|
$ |
190,905 |
|
|
|
2.35 |
% |
|
March 1, 2023 |
|
February 27, 2025 |
|
|
|
2019 3R |
|
October 16, 2019 |
|
$ |
375,000 |
|
|
|
185,551 |
|
|
|
2.70 |
% |
|
October 27, 2022 |
|
October 29, 2024 |
|
|
|
2019 2R |
|
June 11, 2019 |
|
$ |
638,000 |
|
|
|
436,473 |
|
|
|
2.75 |
% |
|
May 29, 2023 |
|
May 29, 2025 |
|
|
|
2019 1R |
|
March 29, 2019 |
|
$ |
295,700 |
|
|
|
167,090 |
|
|
|
2.00 |
% |
|
March 29, 2022 |
|
March 27, 2024 |
|
|
|
|
|
|
|
|
|
|
|
$ |
1,480,019 |
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Spread over one-month LIBOR. |
|
(2) |
The indentures relating to these issuances provide the Company with the option of extending the maturity dates of the Term Notes under the conditions specified in respective agreements. |
On April 25, 2018, the Company, through its indirect subsidiary, PMT ISSUER TRUST-FMSR, issued an aggregate principal amount of $450 million in secured term notes (the “2018-FT1 Notes”) to qualified institutional buyers under Rule 144A of the Securities Act. The 2018-FT1 Notes bear interest at a rate equal to one-month LIBOR plus 2.35% per annum. The 2018-FT1 Notes mature on April 25, 2023 or, if extended pursuant to the terms of the related term note indenture supplement, April 25, 2025 (unless earlier redeemed in accordance with their terms). The 2018-FT1 Notes rank pari passu with the FMSR VFN pledged to Credit Suisse under an agreement to repurchase. The 2018-FT1 Notes and the FMSR VFN are secured by certain participation certificates relating to Fannie Mae MSRs and ESS relating to such MSRs.
On February 1, 2018, the Company, through PMC and PMH, entered into a Loan and Security Agreement with Credit Suisse First Boston Mortgage Capital LLC, pursuant to which PMC and PMH may finance certain mortgage servicing rights (inclusive of any related excess servicing spread arising therefrom and that may be transferred from PMC to PMH from time to time) relating to loans pooled into Freddie Mac securities (collectively, the “Freddie MSRs”), in an aggregate loan amount not to exceed $175 million. The Freddie MSR note has been extended through April 23, 2021.
Following is a summary of financial information relating to the notes payable:
|
|
|
Year ended December 31, |
|
|||||||||
|
|
|
2020 |
|
|
2019 |
|
|
2018 |
|
|||
|
|
(dollars in thousands) |
|
||||||||||
|
Weighted average interest rate (1) |
|
|
3.19 |
% |
|
|
4.70 |
% |
|
|
4.68 |
% |
|
Average balance |
|
$ |
1,771,370 |
|
|
$ |
1,101,501 |
|
|
$ |
300,035 |
|
|
Total interest expense |
|
$ |
59,261 |
|
|
$ |
53,968 |
|
|
$ |
14,623 |
|
|
Maximum daily amount outstanding |
|
$ |
2,032,665 |
|
|
$ |
1,742,227 |
|
|
$ |
450,000 |
|
|
(1) |
Excludes the effect of amortization of debt issuance costs of $2.7 million, $2.2 million and $681,000 for the years ended December 31, 2020, 2019 and 2018, respectively. |
|
|
|
December 31, 2020 |
|
|
December 31, 2019 |
|
||
|
|
|
(dollars in thousands) |
|
|||||
|
Carrying value: |
|
|
|
|
|
|
|
|
|
Amount outstanding |
|
$ |
1,930,018 |
|
|
$ |
1,702,262 |
|
|
Unamortized debt issuance costs |
|
|
(5,019 |
) |
|
|
(5,967 |
) |
|
|
|
$ |
1,924,999 |
|
|
$ |
1,696,295 |
|
|
Weighted average interest rate |
|
|
2.99 |
% |
|
|
4.30 |
% |
|
Assets securing notes payable: |
|
|
|
|
|
|
|
|
|
MSRs (1) |
|
$ |
1,742,905 |
|
|
$ |
1,510,651 |
|
|
CRT Agreements: |
|
|
|
|
|
|
|
|
|
Deposits securing CRT arrangements |
|
$ |
2,799,263 |
|
|
$ |
1,524,590 |
|
|
Derivative assets |
|
$ |
58,699 |
|
|
$ |
115,110 |
|
|
(1) |
Beneficial interests in Freddie Mac and Fannie Mae MSRs are pledged as collateral for Notes payable secured by credit risk transfer and mortgage servicing assets. |
About Debt Disclosures
Debt disclosures detail a company's borrowing structure — the types of instruments, interest rates, maturity schedule, and covenant restrictions that define its financial obligations and flexibility. This section is essential for assessing refinancing risk, interest rate exposure, and the margin of safety against financial distress.
Key signals: the maturity schedule reveals concentration risk — large maturities within 1-2 years during tight credit markets can force dilutive refinancing or asset sales. Compare the fair value of debt against carrying amount to gauge whether the market views the company's credit risk differently than the balance sheet suggests. Watch covenant compliance disclosures for tightening cushions, especially leverage and interest coverage ratios. Variable-rate debt exposure quantifies sensitivity to interest rate changes. Secured versus unsecured mix affects recovery rates and future borrowing capacity. Compare net debt-to-EBITDA against industry peers and covenant limits to assess financial health.