PennyMac Mortgage Investment Trust(PMT) - 2025 Q3 - Quarterly Report

Investment and Financial Performance - As of September 30, 2025, the company held net CRT-related investments totaling approximately $1.0 billion[280]. - During the nine months ended September 30, 2025, the company invested approximately $235.9 million in non-Agency subordinate bonds and held $372.8 million at fair value[282]. - The company purchased newly originated prime credit quality residential loans with fair values totaling $64.7 billion for the nine months ended September 30, 2025, compared to $67.9 billion for the same period in 2024[286]. - The company sold $25.0 billion in UPB of conventional loans to PennyMac Loan Services, Inc. during the nine months ended September 30, 2025[287]. - The company held approximately $3.7 billion of MSRs at fair value at September 30, 2025[285]. - The company reported net investment income of $99.2 million for the quarter ended September 30, 2025, compared to $80.9 million for the same period in 2024[292]. - Non-cash items accounted for 58% of net investment income for the quarter ended September 30, 2025[292]. - The company sold loans held for sale totaling $7.97 billion in the quarter ended September 30, 2025[283]. - The company received sourcing fees totaling $5.2 million for the nine months ended September 30, 2025, compared to $5.6 million for the same period in 2024[286]. - Net income for the quarter ended September 30, 2025, increased by $16.9 million compared to the same quarter in 2024, driven by reduced mortgage servicing rights and hedging losses, partially offset by decreased gains on investments[300]. - Total assets as of September 30, 2025, reached $18,525,671, an increase from $14,408,706 as of December 31, 2024[299]. - Net gains on investments and financings for the quarter ended September 30, 2025, were $64,087, a decrease from $146,695 in the same quarter of 2024[304]. - The company expects to acquire a portion of conventional loans and all jumbo loans produced in the correspondent channel from PFSI in Q4 2025[296]. - The credit sensitive strategies segment experienced a $56.9 million decrease in net gains on CRT arrangements for the nine months ended September 30, 2025, compared to the same period in 2024[306]. - Net loan servicing fees for the quarter ended September 30, 2025, were $15,429, a significant recovery from a loss of $85,080 in the same quarter of 2024[299]. - The annualized return on average common shareholders' equity for the quarter ended September 30, 2025, was 14.3%, up from 8.8% in the same quarter of 2024[299]. - The company recognized net valuation gains of $37.6 million on mortgage-backed securities for the quarter ended September 30, 2025, compared to $123.4 million in the same quarter of 2024[305]. - The net investment income for the nine months ended September 30, 2025, was $213,898, a decrease from $226,267 in the same period of 2024[303]. Loan and Servicing Activities - The company plans to continue investing in subordinate MBS generated from private label securitization of Agency eligible loans, which is expected to increase asset-backed financing of variable interest entities[297]. - For the quarter ended September 30, 2025, net gains on investments and financings from credit risk transfer derivatives totaled $2,947,000, a decrease from $8,735,000 in the same quarter of 2024[308]. - The realized gains from credit risk transfer strips were $10,800,000 for the quarter ended September 30, 2025, compared to $14,489,000 in the same quarter of 2024, reflecting a decline of approximately 25%[308]. - Interest income from deposits securing credit risk transfer arrangements was $11,125,000 for the quarter ended September 30, 2025, down from $15,042,000 in the same quarter of 2024, representing a decrease of about 26%[308]. - The carrying value of credit risk transfer arrangements as of September 30, 2025, was $1,018,552,000, a decrease from $1,101,803,000 at December 31, 2024[310]. - The unpaid principal balance of loans underlying credit risk transfer arrangements was $19,937,381,000 as of September 30, 2025, down from $21,249,304,000 at December 31, 2024[310]. - The total net gains on loans held for sale for the nine months ended September 30, 2025, were $45,007,000, compared to $46,737,000 for the same period in 2024, indicating a slight decline[313]. - The company recorded a provision for losses relating to representations and warranties of $222,000 for the quarter ended September 30, 2025, compared to $459,000 for the same quarter in 2024[320]. - Loans indemnified at the end of the period for September 30, 2025, were $16,207,000, compared to $14,981,000 for the same period in 2024, reflecting an increase of approximately 8%[320]. - The liability for representations and warranties at the end of the period was $5,152,000 as of September 30, 2025, down from $8,315,000 in the same period of 2024[320]. - The net loans repurchased (resolved) with losses chargeable to liability for representations and warranties was $(3,938,000) for the quarter ended September 30, 2025, compared to $(1,819,000) for the same quarter in 2024[320]. - The company recorded a reduction in liability for representations and warranties of $39,000 for the quarter and $2.1 million for the nine months ended September 30, 2025, compared to $5.2 million and $18.6 million for the same periods in 2024[325]. - Loan origination fees decreased during the quarter and nine months ended September 30, 2025, due to fewer loans purchased for sale to nonaffiliates compared to the same periods in 2024[326]. - Net loan servicing fees for the quarter ended September 30, 2025, were $15,429,000, a decrease from $85,080,000 in the same quarter of 2024, while for the nine months ended September 30, 2025, they were $12,166,000 compared to $57,119,000 in 2024[327]. - The average unpaid principal balance (UPB) of loans outstanding as of September 30, 2025, was $218,799,013, down from $226,237,613 as of December 31, 2024[333]. - The company reported a 30-89 days delinquency of $2,743,880,000 as of September 30, 2025, compared to $2,645,952,000 as of December 31, 2024[333]. - The average balance of mortgage servicing rights (MSRs) was $3,717,551,000 for the quarter ended September 30, 2025, compared to $3,876,497,000 for the same quarter in 2024[331]. - The change in fair value of MSRs for the nine months ended September 30, 2025, was $(182,007,000), compared to $(140,829,000) for the same period in 2024[331]. - The company experienced an increase in loan recapture income from PFSI, reflecting higher refinancing activity in the MSR portfolio during the quarter and nine months ended September 30, 2025, compared to the same period in 2024[332]. - The average loan-to-value (LTV) ratio for the MSR servicing portfolio as of September 30, 2025, was 75%[334]. - The company’s contractually specified servicing fees for the quarter ended September 30, 2025, were $151,395,000, down from $162,605,000 in the same quarter of 2024[328]. Interest Income and Expenses - Net interest income for the quarter ended September 30, 2025, was $230,088 thousand, an increase from $176,734 thousand in the same quarter of 2024, reflecting a growth of 30.2%[336]. - Average yield on interest-earning assets for the quarter ended September 30, 2025, was 7.02%, compared to 8.55% for the same quarter in 2024, indicating a decrease of 1.53 percentage points[336]. - Loans held for investment generated interest income of $67,160 thousand with an average yield of 5.10% for the quarter ended September 30, 2025, compared to $16,044 thousand and 4.60% in the same quarter of 2024, showing significant growth in both income and yield[336]. - The total interest expense for the quarter ended September 30, 2025, was $228,394 thousand, up from $184,171 thousand in the same quarter of 2024, representing an increase of 24%[336]. - For the nine months ended September 30, 2025, net interest income was $602,660 thousand, compared to $472,128 thousand for the same period in 2024, marking a year-over-year increase of 27.6%[337]. - The average yield on loans held for sale was 6.57% for the nine months ended September 30, 2025, compared to 6.77% for the same period in 2024, reflecting a slight decrease of 0.20 percentage points[337]. - Interest income from mortgage-backed securities for the nine months ended September 30, 2025, was $182,903 thousand, with an average yield of 6.01%, compared to $184,762 thousand and 6.04% in the same period of 2024[337]. - The company experienced a decrease in interest expense due to reduced costs of repurchase agreement financing, contributing to improved net interest income[337]. - The total interest expense for the nine months ended September 30, 2025, was $615,680 thousand, compared to $527,539 thousand for the same period in 2024, indicating an increase of 16.7%[337]. - The company reported a net interest expense decrease of $4,394 thousand for the quarter ended September 30, 2025, compared to an increase of $17,888 thousand in the same quarter of 2024, highlighting improved financial management[337]. Expenses and Financial Management - Total expenses decreased by $2.1 million, or 4%, for the quarter ended September 30, 2025, but increased by $17.5 million, or 13%, for the nine months ended September 30, 2025, compared to the same periods in 2024[338]. - Loan servicing fees decreased by $1.2 million for the quarter but increased by $1.6 million for the nine months ended September 30, 2025, compared to the same periods in 2024[339]. - Management fees decreased by $241,000 for the quarter and $681,000 for the nine months ended September 30, 2025, due to lower average shareholders' equity[341]. - Loan fulfillment fees decreased by $5.3 million for the quarter and $2.7 million for the nine months ended September 30, 2025, due to a decrease in the volume of loans purchased for sale[342]. - Professional services expense increased by $6.0 million for the quarter and $17.2 million for the nine months ended September 30, 2025, due to increased legal and consulting fees[343]. Asset and Debt Management - Total assets increased by approximately $4.1 billion, or 29%, from December 31, 2024, to September 30, 2025, primarily due to an increase in loans held for investment[352]. - Loans held for investment increased by $3.8 billion at fair value, while loans held for sale increased by $304.7 million at fair value[352]. - The Company's effective tax rate was (24.0)% for the quarter ended September 30, 2025, with consolidated pretax income of $47.0 million[348]. - The TRS recognized a tax benefit of $11.2 million on a pretax loss of $43.8 million for the quarter ended September 30, 2025[348]. - Common overhead allocation from PFSI decreased by $885,000 for the quarter and $2.9 million for the nine months ended September 30, 2025, due to changes in the allocation method[346]. - Correspondent loan purchases for the quarter ended September 30, 2025, totaled $9.3 billion, a decrease from $26.5 billion in the same period of 2024[355]. - The total correspondent loan purchases for the nine months ended September 30, 2025, were $64.7 billion, compared to $67.9 billion in 2024[355]. - The company reported a net acquisition of subordinate credit-linked securities of $(194,513) thousand for the quarter ended September 30, 2025, compared to $(111,044) thousand in 2024[356]. - Interest rate sensitive assets included $876,394 thousand in floating rate collateralized mortgage obligations for the quarter ended September 30, 2025[356]. - The carrying value of credit risk transfer (CRT) arrangements as of September 30, 2025, was $1,018,552 thousand, down from $1,101,803 thousand at December 31, 2024[359]. - The UPB of loans subject to credit guarantee obligations was $19,937,381 thousand as of September 30, 2025, compared to $21,249,304 thousand at December 31, 2024[360]. - The weighted average original debt-to-income ratio for loans in CRT arrangements was 35.8% as of September 30, 2025[360]. - The average origination FICO credit score for loans in CRT arrangements was 752 as of September 30, 2025[360]. - The company expects that its ability to grow its investment portfolio will depend on raising additional equity capital over time[357]. - The total mortgage-backed securities at fair value as of September 30, 2025, amounted to $4,609,164 thousand[358]. Cash Flow and Liquidity - Total cash used in operating activities was $3.9 billion for the nine months ended September 30, 2025, compared to $1.1 billion for the same period in 2024[365]. - Net cash used in investing activities was $123.1 million for the nine months ended September 30, 2025, down from $1.1 billion provided in the same period in 2024[366]. - Net cash provided by financing activities was $4.0 billion for the nine months ended September 30, 2025, compared to a net cash used of $67.3 million in 2024[367]. - The company experienced a net decrease in cash of $74.2 million during the nine months ended September 30, 2025[364]. - Operating cash flows from loans held for sale were $(4.4) billion for the nine months ended September 30, 2025, compared to $(1.0) billion in 2024[365]. - The total delinquency status showed $4.1 billion current (0-89 days) for 2020, down from $9.2 billion in 2019[363]. - The total collection status indicated $4.1 billion in total for 2020, compared to $9.3 billion in 2019[363]. - The company plans to continue investing in subordinate MBS generated from private label securitization to increase asset-backed financing[372]. - The company redeemed $350 million of secured term notes on August 20, 2025[372]. - The liquidity strategy includes cash flows from the investment portfolio and proceeds from borrowings or additional equity offerings[371]. - Total assets as of September 30, 2025, amounted to $18,525,671,000, with secured financing of $13,040,201,000[374]. - The company reported total debt of $16,309,442,000, resulting in a debt-to-equity ratio of 8.7:1[374]. - Average balance outstanding for assets sold under agreements to repurchase was $6,670,245,000 for the quarter ended September 30, 2025, compared to $5,513,519,000 in the same quarter of 2024[376]. - The maximum daily balance outstanding for repurchase agreements reached $8,082,484,000 in Q3 2025, up from $6,474,799,000 in Q3 2024[376]. - The company issued $105 million in unsecured 9.00% senior notes due June 15, 2030, and $172.5 million in unsecured 9.00% senior notes due February 15, 2030[378]. - As of September 30, 2025, the company had net income of $230,996,000, with pre-tax income reported at $310,479,000[384]. - The total facility size for assets sold under agreements to repurchase was approximately $12.8 billion as of September 30, 2025[376]. - The company expects to renew or replace short-term borrowings to maintain liquidity and access to capital[377]. - The amount at risk related to assets sold under agreements to repurchase totaled $996,858,000 as of September 30, 2025[377]. - The company is compliant with financial covenants, including maintaining positive net income for at least one of the previous two consecutive quarters[386]. - The company maintains a minimum of $75 million in unrestricted cash and cash equivalents across its subsidiaries, with a minimum tangible net worth of $1.25 billion for both the company and its Operating Partnership[387]. - As of September 30, 2025, the company has not entered into any off-balance sheet arrangements, and its management and servicing agreements are detailed in the financial statements[391]. - The company is subject to liquidity and net worth requirements established by the Federal Housing Finance Agency (FHFA) and Ginnie Mae, and believes it is in compliance with these requirements as of September 30, 2025[389]. - The company explores various financing means, including debt financing through bank warehouse lines of