PennyMac Mortgage Investment Trust(PMT)2024-10-30 20:01Financial Performance - Net income for the quarter ended September 30, 2024, was $41.4 million, a decrease of $20.0 million compared to $61.4 million for the same quarter in 2023[2]. - The company reported net investment income of $80.9 million for the quarter ended September 30, 2024, compared to $163.4 million for the same quarter in 2023[186]. - Net investment income for the quarter ended September 30, 2024, was $35,876,000, compared to $46,573,000 for the same period in 2023, reflecting a decrease of approximately 23%[199]. - The company reported a net cash flow of $63.3 million for the nine months ended September 30, 2024, compared to $124.5 million for the same period in 2023[245]. - The net loss for the nine months ended September 30, 2024, is $129,464,000, with a pre-tax loss of $171,817,000 and a benefit from income taxes of $42,353,000[256]. Investment and Asset Management - As of September 30, 2024, the company held net CRT-related investments totaling approximately $1.1 billion[182]. - The company sold approximately $111.0 million of subordinate credit-linked MBS during the nine months ended September 30, 2024, and held subordinate credit-linked MBS with fair values totaling approximately $196.3 million[182]. - The company received approximately $159.5 million of MSRs as proceeds from sales of loans acquired for sale during the nine months ended September 30, 2024, holding approximately $3.8 billion of MSRs at fair value[182]. - The company purchased newly originated prime credit quality residential loans with fair values totaling $67.9 billion for the nine months ended September 30, 2024, compared to $63.7 billion for the same period in 2023[183]. - The company reported a total of $13,055.7 million in assets as of September 30, 2024, compared to $13,113.9 million as of December 31, 2023[235]. Loan Production and Sales - During the nine months ended September 30, 2024, the company sold $30.2 billion and $26.3 billion UPB of government guaranteed or insured loans and conventional loans, respectively, to PennyMac Loan Services[183]. - The company plans to continue selling a portion of its conventional loans to private label securitizations throughout the remainder of 2024 to optimize capital allocation[9]. - The UPB of loans fulfilled by PLS was $5,948,057 thousand for the quarter ended September 30, 2024, compared to $2,760,000 thousand for the same period in 2023[227]. - The company purchased $26.5 billion in correspondent production loans for sale during the quarter ended September 30, 2024, compared to $21.8 billion in the same period in 2023, representing a 21.5% increase[237]. Delinquency and Loan Performance - The company experienced an increase in 30-89 days delinquent loans to $2,510,113 thousand as of September 30, 2024, from $2,184,500 thousand as of December 31, 2023[214]. - The company reported a 60+ delinquency rate of 0.5% for Freddie Mac loans, with a current LTV of 56%[216]. - As of September 30, 2024, the unpaid principal balance of the MSR servicing portfolio is $228,127 million, with an average loan size of $270,000 and a 60+ delinquency rate of 0.7%[216]. Expenses and Liabilities - The company recorded a decrease in net servicing fees of $366.4 million for the quarter ended September 30, 2024, compared to the same quarter in 2023, due to increased net MSR valuation losses[10]. - Total expenses increased by $9.3 million during the quarter ended September 30, 2024, compared to the same period in 2023, primarily due to increased loan fulfillment fees[224]. - The total liability for representations and warranties at the end of the period was $8.315 million for the quarter ended September 30, 2024, down from $33.152 million in the same period of 2023[206]. Taxation and Compliance - The company aims to qualify as a REIT to avoid federal income tax on distributed income, with a portion of activities conducted in a taxable REIT subsidiary subject to corporate taxes[184]. - The effective tax rate for the Company was (56.1)% for the quarter ended September 30, 2024, with consolidated pretax income of $26.5 million[231]. - The TRS recognized a tax benefit of $15.5 million on a pretax loss of $64.7 million for the quarter ended September 30, 2024[231]. Market Outlook - The mortgage origination market is projected to grow from $1.7 trillion in 2024 to $2.3 trillion in 2025 due to declining interest rates and increased refinancing activity[1]. - The company expects to continue growing its investment portfolio through cash flow from business activities and additional equity capital[239]. Financing and Debt Management - The company is exploring various means of financing, including debt financing through bank warehouse lines of credit and securitization transactions[259]. - The total secured borrowings amounted to $9,977,254 thousand as of September 30, 2024, with a debt-to-equity ratio of 4.9:1 excluding non-recourse debt[251]. - The company has renewed, extended, or replaced all debt financing arrangements that matured between September 30, 2024, and the date of the report[261].