Exhibit 99.1
PennyMac Mortgage Investment Trust
Condensed Consolidating Balance Sheet
December 31, 2012
|
| PennyMac |
| PennyMac |
| Non-Guarantor |
| Eliminations |
| Consolidated |
| |||||
|
| (in thousands) |
| |||||||||||||
Cash and short-term investments |
| $ | 3,399 |
| $ | 45,187 |
| $ | 24,187 |
| $ | — |
| $ | 72,773 |
|
Mortgage-backed securities |
| — |
| — |
| 39,967 |
| (39,967 | ) | — |
| |||||
Mortgage loans held for sale |
| — |
| 975,184 |
| — |
| — |
| 975,184 |
| |||||
Mortgage loans at fair value |
| — |
| 505,072 |
| 684,899 |
| — |
| 1,189,971 |
| |||||
Real estate acquired in settlement of loans |
| — |
| 87,536 |
| 582 |
| (40 | ) | 88,078 |
| |||||
Principal and interest collections receivable |
| — |
| 12,400 |
| 16,804 |
| — |
| 29,204 |
| |||||
Mortgage servicing rights |
| — |
| 126,776 |
| — |
| — |
| 126,776 |
| |||||
Investment in subsidiaries |
| 1,207,471 |
| — |
| 705,321 |
| (1,912,792 | ) | — |
| |||||
Other assets |
| 205 |
| 96,124 |
| 531,283 |
| (549,935 | ) | 77,677 |
| |||||
Total assets |
| $ | 1,211,075 |
| $ | 1,848,279 |
| $ | 2,003,043 |
| $ | (2,502,734 | ) | $ | 2,559,663 |
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
Accounts payable and accrued liabilities |
| $ | 524 |
| $ | 39,309 |
| $ | 2,569 |
| $ | — |
| $ | 42,402 |
|
Assets sold under agreements to repurchase |
| — |
| 1,042,946 |
| 213,156 |
| — |
| 1,256,102 |
| |||||
Intercompany borrowings |
| — |
| 117,904 |
| — |
| (117,904 | ) | — |
| |||||
Other liabilities |
| 8,903 |
| 322,178 |
| 203,333 |
| (474,591 | ) | 59,823 |
| |||||
Total liabilities |
| 9,427 |
| 1,522,337 |
| 419,058 |
| (592,495 | ) | 1,358,327 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Shareholders’ equity |
| 1,201,648 |
| 325,942 |
| 1,583,985 |
| (1,910,239 | ) | 1,201,336 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total liabilities and shareholders’ equity |
| $ | 1,211,075 |
| $ | 1,848,279 |
| $ | 2,003,043 |
| $ | (2,502,734 | ) | $ | 2,559,663 |
|
PennyMac Mortgage Investment Trust
Condensed Consolidating Balance Sheet
December 31, 2011
|
| PennyMac |
| PennyMac |
| Non-Guarantor |
| Eliminations |
| Consolidated |
| |||||
|
| (in thousands) |
| |||||||||||||
Assets |
|
|
|
|
|
|
|
|
|
|
| |||||
Cash and short-term investments |
| $ | 11,547 |
| $ | 12,832 |
| $ | 20,529 |
| $ | — |
| $ | 44,908 |
|
US Treasury Security |
| — |
| — |
| 50,000 |
| — |
| 50,000 |
| |||||
Mortgage-backed securities |
| — |
| — |
| 139,424 |
| (66,611 | ) | 72,813 |
| |||||
Mortgage loans held for sale |
| — |
| 232,016 |
| — |
| — |
| 232,016 |
| |||||
Mortgage loans at fair value |
| — |
| 441,510 |
| 384,066 |
| — |
| 825,576 |
| |||||
Real estate acquired in settlement of loans |
| — |
| 104,883 |
| 419 |
| (1,753 | ) | 103,549 |
| |||||
Principal and interest collections receivable |
| — |
| 8,840 |
| 5,123 |
| — |
| 13,963 |
| |||||
Mortgage servicing rights |
| — |
| 6,031 |
| — |
| — |
| 6,031 |
| |||||
Investment in subsidiaries |
| 507,459 |
| — |
| 432,235 |
| (939,694 | ) | — |
| |||||
Other assets |
| 40,124 |
| 25,499 |
| 107,936 |
| (136,353 | ) | 37,206 |
| |||||
Total assets |
| $ | 559,130 |
| $ | 831,611 |
| $ | 1,139,732 |
| $ | (1,144,411 | ) | $ | 1,386,062 |
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
Liabilities and shareholders’ equity |
|
|
|
|
|
|
|
|
|
|
| |||||
Accounts payable and accrued liabilities |
| $ | — |
| $ | 8,554 |
| $ | 644 |
| $ | — |
| $ | 9,198 |
|
Assets sold under agreements to repurchase |
| — |
| 344,793 |
| 286,520 |
| — |
| 631,313 |
| |||||
Notes payable |
| — |
| 28,617 |
| — |
| — |
| 28,617 |
| |||||
Borrowings under forward purchase agreements |
| — |
| 108,273 |
| 44,154 |
| — |
| 152,427 |
| |||||
Intercompany borrowings |
| 36 |
| 81,867 |
| 2,443 |
| (84,346 | ) | — |
| |||||
Other liabilities |
| 11,324 |
| 97,449 |
| 28,335 |
| (118,618 | ) | 18,490 |
| |||||
Total liabilities |
| 11,360 |
| 669,553 |
| 362,096 |
| (202,964 | ) | 840,045 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Shareholders’ equity |
| 547,770 |
| 162,058 |
| 777,636 |
| (941,447 | ) | 546,017 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total liabilities and shareholders’ equity |
| $ | 559,130 |
| $ | 831,611 |
| $ | 1,139,732 |
| $ | (1,144,411 | ) | $ | 1,386,062 |
|
PennyMac Mortgage Investment Trust
Condensed Consolidating Income Statement
Year Ended December 31, 2012
|
| PennyMac |
| PennyMac |
| Non-Guarantor |
| Eliminations |
| Consolidated |
| |||||
|
| (in thousands) |
| |||||||||||||
Net investment income |
|
|
|
|
|
|
|
|
|
|
| |||||
Net gain on mortgage loans acquired for sale |
| $ | — |
| $ | 147,675 |
| $ | — |
| $ | — |
| $ | 147,675 |
|
Net gains on investments |
| — |
| 59,160 |
| 44,489 |
| — |
| 103,649 |
| |||||
Interest |
| 2,317 |
| 37,708 |
| 52,044 |
| (19,628 | ) | 72,441 |
| |||||
Equity in earnings of subsidiaries |
| 135,980 |
| — |
| 120,019 |
| (255,999 | ) | — |
| |||||
Other |
| — |
| 9,357 |
| 334 |
| 1,712 |
| 11,403 |
| |||||
Net investment income |
| 138,297 |
| 253,900 |
| 216,886 |
| (273,915 | ) | 335,168 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Expenses |
|
|
|
|
|
|
|
|
|
|
| |||||
Compensation |
| 276 |
| 5,921 |
| 947 |
| — |
| 7,144 |
| |||||
Management fees |
| — |
| 10,835 |
| 1,601 |
| — |
| 12,436 |
| |||||
Fulfillment fees |
| — |
| 62,906 |
| — |
| — |
| 62,906 |
| |||||
Interest |
| 167 |
| 40,001 |
| 15,576 |
| (24,102 | ) | 31,642 |
| |||||
Other |
| 1,044 |
| 23,332 |
| 9,842 |
| — |
| 34,218 |
| |||||
|
| 1,487 |
| 142,995 |
| 27,966 |
| (24,102 | ) | 148,346 |
| |||||
Pre-tax income |
| 136,810 |
| 110,905 |
| 188,920 |
| (249,813 | ) | 186,822 |
| |||||
Provision for income taxes |
| — |
| 46,618 |
| 74 |
| 1,881 |
| 48,573 |
| |||||
Net income |
| $ | 136,810 |
| $ | 64,287 |
| $ | 188,846 |
| $ | (251,694 | ) | $ | 138,249 |
|
PennyMac Mortgage Investment Trust
Condensed Consolidating Income Statement
Year Ended December 31, 2011
|
| PennyMac |
| PennyMac |
| Non-Guarantor |
| Eliminations |
| Consolidated |
| |||||
|
| (in thousands) |
| |||||||||||||
Net investment income |
|
|
|
|
|
|
|
|
|
|
| |||||
Net gain on mortgage loans acquired for sale |
| $ | — |
| $ | 7,633 |
| $ | — |
| $ | — |
| $ | 7,633 |
|
Net gains on investments |
| — |
| 48,473 |
| 34,170 |
| — |
| 82,643 |
| |||||
Interest |
| 4,258 |
| 17,087 |
| 35,723 |
| (20,920 | ) | 36,148 |
| |||||
Equity in earnings of subsidiaries |
| 62,709 |
| — |
| 63,680 |
| (126,389 | ) | — |
| |||||
Other |
| — |
| (1,415 | ) | 5,357 |
| (1,752 | ) | 2,190 |
| |||||
Net investment income |
| 66,967 |
| 71,778 |
| 138,930 |
| (149,061 | ) | 128,614 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Expenses |
|
|
|
|
|
|
|
|
|
|
| |||||
Compensation |
| 413 |
| 3,901 |
| 847 |
| — |
| 5,161 |
| |||||
Management fees |
| — |
| 5,554 |
| 1,186 |
| — |
| 6,740 |
| |||||
Fulfillment fees |
| — |
| 1,747 |
| — |
| — |
| 1,747 |
| |||||
Interest |
| 259 |
| 24,328 |
| 13,279 |
| (20,920 | ) | 16,946 |
| |||||
Other |
| 13 |
| 17,951 |
| 7,561 |
| — |
| 25,525 |
| |||||
|
| 685 |
| 53,481 |
| 22,873 |
| (20,920 | ) | 56,119 |
| |||||
Pre-tax income |
| 66,282 |
| 18,297 |
| 116,057 |
| (128,141 | ) | 72,495 |
| |||||
Provision for income taxes |
| 90 |
| 7,701 |
| 265 |
| — |
| 8,056 |
| |||||
Net income |
| $ | 66,192 |
| $ | 10,596 |
| $ | 115,792 |
| $ | (128,141 | ) | $ | 64,439 |
|
PennyMac Mortgage Investment Trust
Condensed Consolidating Income Statement
Year Ended December 31, 2010
|
| PennyMac |
| PennyMac |
| Non-Guarantor |
| Eliminations |
| Consolidated |
| |||||
|
| (in thousands) |
| |||||||||||||
Net investment income |
|
|
|
|
|
|
|
|
|
|
| |||||
Net gain on mortgage loans acquired for sale |
| $ | — |
| $ | 18 |
| $ | — |
| $ | — |
| $ | 18 |
|
Net gains on investments |
| — |
| 20,146 |
| 7,282 |
| — |
| 27,428 |
| |||||
Interest |
| — |
| 5,757 |
| 17,398 |
| (8,581 | ) | 14,574 |
| |||||
Equity in earnings of subsidiaries |
| 24,855 |
| — |
| 24,478 |
| (49,333 | ) | — |
| |||||
Other |
| — |
| 2,037 |
| (3 | ) | — |
| 2,034 |
| |||||
Net investment income |
| 24,855 |
| 27,958 |
| 49,155 |
| (57,914 | ) | 44,054 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Expenses |
|
|
|
|
|
|
|
|
|
|
| |||||
Compensation |
| 339 |
| 1,960 |
| 328 |
| — |
| 2,627 |
| |||||
Management fees |
| — |
| 4,180 |
| 698 |
| — |
| 4,878 |
| |||||
Interest |
| — |
| 8,652 |
| 754 |
| (8,580 | ) | 826 |
| |||||
Other |
| 33 |
| 7,166 |
| 1,498 |
| — |
| 8,697 |
| |||||
|
| 372 |
| 21,958 |
| 3,278 |
| (8,580 | ) | 17,028 |
| |||||
Pre-tax income |
| 24,483 |
| 6,000 |
| 45,877 |
| (49,334 | ) | 27,026 |
| |||||
Provision for income taxes |
| — |
| 2,445 |
| 98 |
| — |
| 2,543 |
| |||||
Net income |
| $ | 24,483 |
| $ | 3,555 |
| $ | 45,779 |
| $ | (49,334 | ) | $ | 24,483 |
|
PennyMac Mortgage Investment Trust
Condensed Consolidating Cash Flows
Year Ended December 31, 2012
|
| PennyMac |
| PennyMac |
| Non-Guarantor |
| Eliminations |
| Consolidated |
| |||||
|
| (in thousands) |
| |||||||||||||
Cash flows from operating activities |
| $ | 123,408 |
| $ | (880,285 | ) | $ | (286,489 | ) | $ | 222,966 |
| $ | (820,400 | ) |
Cash flows from investing activities: |
|
|
|
|
|
|
|
|
|
|
| |||||
Purchases of mortgage loans at fair value and real estate acquired in settlement of loans |
| — |
| (223,363 | ) | (318,380 | ) | (1 | ) | (541,744 | ) | |||||
Sales and repayments of mortgage loans at fair value and real estate acquired in settlement of loans |
| — |
| 219,389 |
| 124,841 |
| (23,652 | ) | 320,578 |
| |||||
Intercompany purchases of assets under agreements to resell |
| — |
| — |
| (587,332 | ) | 587,332 |
| — |
| |||||
Intercompany sales of assets purchased under agreements to resell |
| — |
| — |
| 524,652 |
| (524,652 | ) | — |
| |||||
Purchases of investment securities |
| 8,148 |
| (13,148 | ) | (115,910 | ) | — |
| (120,910 | ) | |||||
Sales and repayments of investment securities |
| — |
| — |
| 238,092 |
| 1,075 |
| 239,167 |
| |||||
Purchases and sales of MSRs, net |
| — |
| 84 |
| — |
| — |
| 84 |
| |||||
Other investment activites |
| — |
| (2,904 | ) | (190 | ) | (5,523 | ) | (8,617 | ) | |||||
Cash flows from investing activities |
| 8,148 |
| (19,942 | ) | (134,227 | ) | 34,579 |
| (111,442 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Cash flows from financing activities: |
|
|
|
|
|
|
|
|
|
|
| |||||
Proceeds from sale of assets under agreements to repurchase |
| — |
| 20,861,455 |
| 119,478 |
| — |
| 20,980,933 |
| |||||
Repayments of assets under agreements to repurchase |
| — |
| (20,303,995 | ) | (237,931 | ) | — |
| (20,541,926 | ) | |||||
Proceeds from borrowings from affiliated entities |
| — |
| 511,222 |
| 76,110 |
| (587,332 | ) | — |
| |||||
Repayment of borrowings from affiliated entities |
| — |
| (472,966 | ) | (76,110 | ) | 549,076 |
| — |
| |||||
Issuance of stock |
| 606,823 |
| — |
| — |
| — |
| 606,823 |
| |||||
Investment by parent |
| — |
| 49,597 |
| 689,834 |
| (739,431 | ) | — |
| |||||
Dividends paid |
| (94,821 | ) | — |
| (146,711 | ) | 146,711 |
| (94,821 | ) | |||||
Change in intercompany advances |
| — |
| 274,122 |
| 165,149 |
| (439,271 | ) | — |
| |||||
Cash flows from financing activities |
| 512,002 |
| 919,435 |
| 589,819 |
| (1,070,247 | ) | 951,009 |
| |||||
Net change in cash and cash equivalents |
| 643,558 |
| 19,208 |
| 169,103 |
| (812,702 | ) | 19,167 |
| |||||
Cash at beginning of period |
| — |
| 12,832 |
| 1,757 |
| — |
| 14,589 |
| |||||
Cash at end of period |
| $ | 643,558 |
| $ | 32,040 |
| $ | 170,860 |
| $ | (812,702 | ) | $ | 33,756 |
|
PennyMac Mortgage Investment Trust
Condensed Consolidating Cash Flows
Year Ended December 31, 2011
|
| PennyMac |
| PennyMac |
| Non-Guarantor |
| Eliminations |
| Consolidated |
| |||||
|
| (in thousands) |
| |||||||||||||
Cash flows from operating activities |
| $ | (39,550 | ) | (165,653 | ) | (78,734 | ) | 8,806 |
| $ | (275,131 | ) | |||
Cash flows from investing activities: |
|
|
|
|
|
|
|
|
|
|
| |||||
Purchases of mortgage loans at fair value and real estate acquired in settlement of loans |
| — |
| (248,077 | ) | (123,856 | ) | (82,901 | ) | (454,834 | ) | |||||
Sales and repayments of mortgage loans at fair value and real estate acquired in settlement of loans |
| — |
| 169,386 |
| 104,132 |
| (61,765 | ) | 211,753 |
| |||||
Intercompany purchases of assets under agreements to resell |
| — |
| — |
| (254,816 | ) | 254,816 |
| — |
| |||||
Intercompany sales of assets purchased under agreements to resell |
| — |
| — |
| 251,379 |
| (251,379 | ) | — |
| |||||
Purchases, sales and repayments of investment securities |
| (11,547 | ) | — |
| (22,533 | ) | — |
| (34,080 | ) | |||||
Investment in subsidiaries |
| (106,900 | ) | — |
| (67,638 | ) | 174,538 |
| — |
| |||||
Other investment activites |
| — |
| 3,455 |
| 677 |
| (4,764 | ) | (632 | ) | |||||
Cash flows from investing activities |
| (118,447 | ) | (75,236 | ) | (112,655 | ) | 28,545 |
| (277,793 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Cash flows from financing activities: |
|
|
|
|
|
|
|
|
|
|
| |||||
Proceeds from sale of assets under agreements to repurchase |
| — |
| 1,488,451 |
| 1,537,883 |
| — |
| 3,026,334 |
| |||||
Repayments of assets under agreements to repurchase |
| — |
| (1,206,283 | ) | (1,455,975 | ) | 62 |
| (2,662,196 | ) | |||||
Proceeds from borrowings from other PennyMac Mortgage Investment Trust companies |
| — |
| 254,816 |
| — |
| (254,816 | ) | — |
| |||||
Repayment of borrowings from other PennyMac Mortgage Investment Trust companies |
| — |
| (299,049 | ) | — |
| 299,049 |
| — |
| |||||
Issuance of stock |
| 197,475 |
| — |
| — |
| — |
| 197,475 |
| |||||
Dividends paid |
| (39,547 | ) | — |
| (27,874 | ) | 27,874 |
| (39,547 | ) | |||||
Cash investment from parent |
| — |
| 7,638 |
| 106,638 |
| (114,276 | ) | — |
| |||||
Cash flows from financing activities |
| 157,928 |
| 245,573 |
| 160,672 |
| (42,107 | ) | 522,066 |
| |||||
Net change in cash and cash equivalents |
| (69 | ) | 4,684 |
| (30,717 | ) | (4,756 | ) | (30,858 | ) | |||||
Cash at beginning of period |
| 69 |
| 8,148 |
| 37,230 |
| — |
| 45,447 |
| |||||
Cash at end of period |
| $ | — |
| $ | 12,832 |
| $ | 6,513 |
| $ | (4,756 | ) | $ | 14,589 |
|
Condensed Consolidating Cash Flows
Year Ended December 31, 2010
|
| PennyMac |
| PennyMac |
| Non- |
| Eliminations |
| Consolidated |
| |||||
|
| (in thousands) |
| |||||||||||||
Cash flows from operating activities |
| $ | 21,666 |
| $ | 230,370 |
| $ | (68,097 | ) | $ | (206,728 | ) | $ | (22,789 | ) |
Cash flows from investing activities: |
|
|
|
|
|
|
|
|
|
|
| |||||
Purchases of mortgage loans at fair value and real estate acquired in settlement of loans |
| — |
| (393,274 | ) | (25,178 | ) | — |
| (418,452 | ) | |||||
Sales and repayments of mortgage loans at fair value and real estate acquired in settlement of loans |
| — |
| 77,025 |
| 6,603 |
| (4,630 | ) | 78,998 |
| |||||
Intercompany purchases of assets under agreements to resell |
| — |
| — |
| (160,649 | ) | 160,649 |
| — |
| |||||
Intercompany sales of assets purchased under agreements to resell |
| — |
| — |
| 148,830 |
| (148,830 | ) | — |
| |||||
Purchases and repayments of investment securities |
| — |
| — |
| 122,900 |
| — |
| 122,900 |
| |||||
Sales and repayments of investment securities |
| — |
| — |
| 49,659 |
| 9,321 |
| 58,980 |
| |||||
Investment in subsidiaries |
| — |
| — |
| (23,000 | ) | 23,000 |
| — |
| |||||
Other investment activites |
| (1,471 | ) | (5,000 | ) | (304,883 | ) | 301,596 |
| (9,758 | ) | |||||
Cash flows from investing activities |
| (1,471 | ) | (321,249 | ) | (185,718 | ) | 341,106 |
| (167,332 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Cash flows from financing activities: |
|
|
|
|
|
|
|
|
|
|
| |||||
Proceeds from sale of assets under agreements to repurchase |
| — |
| 91,838 |
| 867,986 |
| (299,261 | ) | 660,563 |
| |||||
Repayments of assets under agreements to repurchase |
| — |
| — |
| (596,416 | ) | 184,477 |
| (411,939 | ) | |||||
Proceeds from borrowings from affiliated entities |
| — |
| 160,649 |
| — |
| (160,649 | ) | — |
| |||||
Repayment of borrowings from affiliated entities |
| — |
| (153,460 | ) | (31,582 | ) | 185,042 |
| — |
| |||||
Issuance of stock |
| (150 | ) | — |
| (150 | ) | 150 |
| (150 | ) | |||||
Dividends paid |
| (20,030 | ) | — |
| — |
| 7,070 |
| (12,960 | ) | |||||
Cash investment from parent |
| — |
| — |
| 51,057 |
| (51,057 | ) | — |
| |||||
Capital distribution |
| — |
| — |
| (23,000 | ) | 23,000 |
| — |
| |||||
Cash flows from financing activities |
| (20,180 | ) | 99,027 |
| 267,895 |
| (111,228 | ) | 235,514 |
| |||||
Net change in cash and cash equivalents |
| 15 |
| 8,148 |
| 14,080 |
| 23,150 |
| 45,393 |
| |||||
Cash at beginning of period |
| — |
| — |
| 54 |
| — |
| 54 |
| |||||
Cash at end of period |
| $ | 15 |
| $ | 8,148 |
| $ | 14,134 |
| $ | 23,150 |
| $ | 45,447 |
|