PennyMac Mortgage Investment Trust(PMT)2023-11-01 20:13Financial Performance - Net investment income for Q3 2023 was $163,429,000, an increase of 8.99% from $151,065,000 in Q3 2022[267]. - Net income attributable to common shareholders for Q3 2023 was $50,967,000, compared to $1,458,000 in Q3 2022, reflecting a significant improvement[267]. - Total assets decreased to $13,223,336,000 as of September 30, 2023, down from $13,921,564,000 at the end of 2022[268]. - The annualized return on average common shareholders' equity increased to 14.5% in Q3 2023, compared to 0.4% in Q3 2022[267]. - Total liabilities decreased from $11.958 billion as of December 31, 2022, to $11.274 billion as of September 30, 2023[316]. - Total assets as of September 30, 2023, amount to $7,086,520,000, while total liabilities are $6,029,989,000, resulting in a net income of $121,171,000 for the nine months ended September 30, 2023[342]. Investment Activities - As of September 30, 2023, the company held net CRT-related investments totaling approximately $1.1 billion[252]. - The company purchased approximately $70.6 million of subordinate credit-linked MBS during the nine months ended September 30, 2023, with a fair value of $277.1 million at the same date[253]. - The company’s correspondent production activities resulted in the acquisition of newly originated prime credit quality residential loans with fair values totaling $63.7 billion for the nine months ended September 30, 2023[255]. - The company recognized a $210.5 million increase in net gains on CRT arrangements for the nine months ended September 30, 2023, compared to the same period in 2022[269]. - The carrying value of CRT arrangements was $1,145.2 million as of September 30, 2023, compared to $1,144.1 million at December 31, 2022[299]. - The total UPB of loans underlying CRT arrangements was $23.6 billion as of September 30, 2023, down from $25.3 billion at December 31, 2022[299]. Loan Performance - The company sold $21.0 billion in UPB of conventional loans to PennyMac Loan Services during the nine months ended September 30, 2023[256]. - The outstanding unpaid principal balance (UPB) of loans increased to $230,066,301 thousand as of September 30, 2023, compared to $229,858,573 thousand at December 31, 2022[277]. - The delinquency status shows that loans 30-89 days delinquent rose to $2,005,518 thousand from $1,903,007 thousand, while loans 90 or more days delinquent not in foreclosure increased to $944,892 thousand from $880,841 thousand[277]. - The company experienced a decrease in loan recapture income from PFSI due to reduced refinancing activity during Q3 2023 compared to the same period in 2022[274]. - The company recorded cash losses from sales of loans amounting to $71,105 thousand for the quarter ended September 30, 2023, down from $390,543 thousand in the same quarter of 2022[280]. Market Conditions - The mortgage origination market is projected to decrease from an estimated $2.3 trillion in 2022 to a range of $1.6 trillion to $1.8 trillion for 2023[263]. - The company experienced credit spread tightening for CRT securities in the credit markets during the quarter and nine months ended September 30, 2023, contrasting with widening spreads in the same periods of 2022[299]. Cash Flow and Financing - Cash provided by operating activities totaled $807.2 million in 2023, compared to $1.3 billion in 2022, indicating a decline of approximately 37%[328]. - Net cash used in financing activities was $743.1 million in 2023, compared to net cash provided of $67.1 million in 2022, reflecting a change of approximately $810.2 million[330]. - The company does not raise equity or enter into borrowings for the purpose of financing dividend payments, relying instead on cash earnings to fund operating expenses and dividends[331]. - The company issued $53.5 million principal amount of unsecured 8.50% senior notes due September 30, 2028, with interest payable quarterly starting December 30, 2023[339]. Expenses and Fees - Total expenses decreased by $15.7 million (26%) for the quarter and $45.7 million (25%) for the nine months ended September 30, 2023, compared to the same periods in 2022[304]. - Net loan servicing fees for Q3 2023 were $281,298,000, down from $390,124,000 in Q3 2022, primarily due to lower valuation gains[270]. - Loan servicing fees for the quarter ended September 30, 2023, were $20.3 million, slightly up from $20.2 million in the same quarter of 2022[304]. - Management fees decreased by $556,000 and $2.2 million during the quarter and nine months ended September 30, 2023, respectively, reflecting a decrease in average shareholders' equity[308]. Risk Management - The company is required to maintain a minimum of $75 million in unrestricted cash and cash equivalents among its subsidiaries, with additional minimums for other entities[343]. - The company believes it is in compliance with revised capital and liquidity requirements established by the Federal Housing Finance Agency and Ginnie Mae as of September 30, 2023[348]. - The estimated change in fair value of mortgage-backed securities as of September 30, 2023, shows a potential increase of $293,452,000 with a -200 basis point interest rate shift[356].