PennyMac Mortgage Investment Trust(PMT) - 2023 Q1 - Quarterly Report

Financial Performance - The company reported net gains on loans acquired for sale of $130.2 million in Q1 2023, compared to $104.3 million in Q1 2022, indicating an increase of approximately 24.9%[241] - The company’s net investment income for Q1 2023 was $90.4 million, compared to $81.8 million in Q1 2022, representing an increase of approximately 10.5%[241] - Net investment income for Q1 2023 was $90,366,000, an increase of 10.3% from $81,839,000 in Q1 2022[249] - Net income attributable to common shareholders was $50,242,000 in Q1 2023, a significant recovery from a loss of $29,584,000 in Q1 2022[249] - The annualized return on average common shareholder's equity improved to 13.9% in Q1 2023, compared to a negative 6.8% in Q1 2022[249] - The credit sensitive strategies segment reported a $57,322,000 pretax income, a substantial increase from a loss of $55,961,000 in the same quarter last year[249] - Net gains on mortgage-backed securities (MBS) were $78,218,000 in Q1 2023, a recovery from losses of $186,525,000 in Q1 2022[251] Loan and Investment Activity - During Q1 2023, the company purchased newly originated prime credit quality residential loans with fair values totaling $20.4 billion, down from $23.3 billion in Q1 2022, reflecting a decrease of approximately 12.4%[229] - The company sold $4.1 billion in UPB of conventional loans to PennyMac Loan Services (PLS) during Q1 2023, optimizing capital allocation[229] - The company intends to continue selling conventional loans to PLS in Q2 2023 to further optimize capital allocation[247] - The company held net CRT-related investments totaling approximately $1.1 billion as of March 31, 2023, reflecting its focus on credit-sensitive strategies[234] - The company purchased approximately $142.7 million in Agency fixed-rate pass-through securities and non-Agency senior MBS during Q1 2023, with a total fair value of approximately $4.4 billion held at the end of the quarter[236] - Interest rate lock commitments issued on loans acquired for sale totaled $11.37 billion in Q1 2023, an increase from $10.19 billion in Q1 2022[268] Asset and Liability Management - Total assets increased to $15,357,229,000 as of March 31, 2023, compared to $13,921,564,000 at December 31, 2022, reflecting a growth of 10.3%[249] - The total liabilities increased to $13.4 billion as of March 31, 2023, from $12.0 billion on December 31, 2022[297] - The company’s short-term debt rose to $8.1 billion as of March 31, 2023, compared to $6.6 billion at the end of 2022[297] - The company managed custodial funds of $2.35 billion as of March 31, 2023, compared to $1.78 billion at the end of 2022, reflecting growth in managed assets[266] - Total secured borrowings amounted to $12.3 billion, with a debt-to-equity ratio of 6.5:1 as of March 31, 2023[316] Market Conditions and Risks - The projected mortgage origination market is expected to decrease from an estimated $2.2 trillion in 2022 to a range of $1.6 trillion to $1.8 trillion for 2023 due to rising interest rates and economic slowdown[243] - The company is exposed to various market risks including real estate risk, credit risk, interest rate risk, prepayment risk, inflation risk, and market value risk[329] - The company’s primary trading asset is its inventory of loans acquired for sale, which is sensitive to changes in market interest rates[330] - The fair values of MSRs and mortgage-backed securities are primarily influenced by changes in market interest rates for comparable loans[330] Tax and Regulatory Compliance - The company's effective tax rate was (56.4)% with consolidated pretax income of $38.8 million for the quarter ended March 31, 2023[293] - The TRS recognized a tax benefit of $21.8 million on a pretax loss of $90.1 million for the quarter ended March 31, 2023[293] - The valuation allowance for deferred tax assets remains zero as of March 31, 2023, due to cumulative GAAP income at the TRS for the three-year period ended March 31, 2022[294] - The company is compliant with the revised capital and liquidity requirements established by the FHFA and Ginnie Mae as of March 31, 2023[323] Operational Efficiency - Total expenses decreased by $12.2 million, or 19%, during the quarter ended March 31, 2023, compared to the same period in 2022[286] - Loan servicing fees decreased by $639 thousand to $20,449 thousand for the quarter ended March 31, 2023, from $21,088 thousand in the same period in 2022[287] - Loan fulfillment fees decreased by $4.8 million during the quarter ended March 31, 2023, due to a decrease in loan commitment volume[288] - Management fees decreased by $860 thousand to $7,257 thousand for the quarter ended March 31, 2023, compared to $8,117 thousand in the same period in 2022[289] - Loan origination expenses decreased by $664 thousand, or 23%, during the quarter ended March 31, 2023, compared to the same period in 2022[290] Delinquency and Collection Status - The company experienced a decrease in delinquent loans, with current loans at $24,277,884,000 as of March 31, 2023, compared to $24,673,719,000 at December 31, 2022[255] - Delinquent loans (30-89 days) decreased to $1.56 billion in Q1 2023 from $1.90 billion in Q1 2022, indicating improved collection status[266] - The collection status reveals that 90-179 days delinquency amounts to $107 million, while 180+ days delinquency totals $92 million[307] Changes in Fair Value - The estimated change in fair value of mortgage-backed securities due to a -200 basis points interest rate shift is $246,425,000, while a +200 basis points shift results in a decrease of $376,732,000[332] - The change in fair value of Mortgage Servicing Rights (MSRs) due to a -20% shift in pricing spread is $223,452,000, and a +20% shift results in a decrease of $201,628,000[333] - The fair value of CRT arrangements changes by $43,419,000 with a -100 basis points pricing spread shift, while a +100 basis points shift results in a decrease of $40,589,000[334]