Thank you, Isaac.
to quarter net first PMT attributable the For XXXX, loss reported
per shareholders common common million, $XXX.X or share. of $X.XX
of PMT a reports Sensitive contributed $XXX.X million. Sensitive million in $XX $XXX.X contributed million Rate income; segments: pretax in pretax Corporate, Interest Correspondent which pretax Strategies, $XX.X Production, loss; which which in Strategies, through results four loss Credit contributed with pretax and income; million
Our investments COVID-XX detail value results previously risk offset the I per in results a hedge these PMT sensitive non-cash will from presentation. on at XX, losses more on as and fair discuss outsized gains share dividend rate common $X.XX instruments quarter. this at quarter share results. XXXX, in related reflect and announced record value strategies $XX.XX XXXX March GSE for down $XX.XX the credit by production was segment in per by crisis, transfer the paid of interest XX, the Book driven to partially December later correspondent
quarter investments $XX balance, capital dollars securities. which conventional volumes loan unpaid resulted this a totaled CRT while firm in first by to Fannie to purchase the quarter production $XX.X driven which PMT’s be principal prior UPB, million Mae, We of from the down of from delivered of its XXX% commitment XXXX. in CRT XX% eligible in billion loans $XXX to quarter billion continued up
totaled for investments quarter the million. MSR New $XXX
of $X.X at average approximately million. average March, common offering price sold XXX,XXX proceeds. And repurchased cost weighted in shares $X.X price at a our common million through In net At-The-Market XXX,XXX equity we a $X.XX, weighted shares in February, of of a $XX.XX for we at program,
weighted at $X.X to principal value, total notes quarter-end XX.X% of repurchased the million notes average May par X.XXX% Slide of unsecured in $XXX.X X, we resulting of April, million. due approximately exchangeable on In price after a of our senior retired X. in we Continuing savings
May date, $XXX.X maturity principal remaining the we notes. of X, the repaid in On million the
the let’s Slide mortgage Now to that markets. and have the developments X affected turn discuss
During of health United the States substantial which the slowdown triggered COVID-XX by related of effects significantly quarter and was impacted the pandemic XXXX, measures economy. in the first public a the
federal six increased as $X in In Over and the future. stimulus, CARES of hardships trillion with evidencing million XX impacted as providing if borrowers higher the filed to for months claims, last to hardships, these mortgages federally expectations weeks have an up for fiscal government to the jobless the crisis. homeowners coming enacted XX.X Act, in leading indirectly and by to economic delinquencies the curtail effort forbearance COVID-XX or workers of well impact, granting the directly homeowners response backed
liquidity for designed is impact substantial credit markets putting program liquidity the servicers and consumer the many The mortgage COVID-XX financial forbearance to servicers. market reduce of with has reduced increased, has assets. volatility losses, strain increased sellers and The however, undercapitalized the significantly for been advance on of financial obligations on
In as backed in mortgage response, increase including expectations near and securities. outlook credit actual for losses uncertain many elevated supported well Funds the The the an government as the enterprise required among returns participants. volatility delinquencies sponsored asset Reserve and of due risk including impacted zero, severely securities, economic through Fed transfer value assets, to market has markets in credit to the liquidity reduced many Agency purchases rates market Federal also and
has liquidity increased our since year more other liquidity, throughout than disciplined participants, total PMT management Unlike has raise to capital reflecting ten sold approach not and PMT’s any our market history. assets and to February, liquidity
pandemic, lower COVID-XX market. further mortgage additional liquidity Slide Prior discuss demand of economic of to market the mortgage infusion experiencing from and Reserve markets and historically by was turn origination Federal acted The interest mortgage the low stimulus interest the market rates. to X rates. origination the Let’s the into to has healthy financial onset the
decreased have the mortgage the loans and fixed new trillion to $X.X in acted originations despite economy XX the this year further total sustain month. of increase to March, currently the of declined XXXX. quarter an trillion economic in at heightened to demand forecasts the recent developments XXXX, $X.X points These average for estimate in for overall The slowdown and end end mortgage rate of XX at X.X% April basis X.X% from
while refinance to are has purchase environment demand volumes rate continued support low expected for to reduce orders The stay-at-home robust mortgages.
strong their We management, mortgage between remain mortgage continuously due limit crisis. in by as The allowed or to strains these period strong to competitors, extended PennyMac’s have primarily fund the risk the settle rate participation continued scale and in wide capital correspondent expertise, an forced us loans been for is primary volumes refinance secondary expected and reduce market of crisis. lending time to April. advantages the broker the spread COVID-XX and see organizations on to channels, originate, many of introduced to throughout and have certain
Slide CRT for strategies strong its capital correspondent acquisition opportunities first volumes Elevated quarter. quarter. the turn MSR conventional to during PMT’s strategy to X quarter of business. by PMT’s investment investment Let’s and correspondent the both investments. are On investment each slide by we investment activity production seven, this deployment to discuss detail during activity driven PMT’s drove
Fair totaled $X million to firm quarter. led on a $XXX expand upon losses which I investments billion, deliveries in in CRT of Mae Net CRT Fannie $XXX commitment will new million. investments later the runoff, new presentation. this my securities totaled purchase value to Eligible CRT for quarter
curtailing of investments announced March update, will CRT the new investor in our we we be As year. remainder in over the
further the REO. December distressed at value of $XX quarter, majority real to PMT’s end substantial owned of the is portfolio declined $XX XX. from in and million million portfolio loan the estate first fair at The
billion net of million. the and million $XXX were ESS totaled and loan sourced runoff investments in $XX production MSR of New $XXX securitization conventional of from UPB
As declined value more investments by MSR a rates value during of of offsetting million, investments. the decline the the in the of fair new net and the $XXX result ESS significant interest quarter, our than
held Accordingly, Agency ESS mitigate a $X.X comprehensive by position billion. quarter MBS were declines total, by are the in of increased and totaling to sensitivity investments fair In billion, in new assets. part value strategy the the billion. Agency designed MSR interest in $X.X the PMT offset MBS first by of as net rate first quarter, our we $X net
As a
assets slightly, mortgage to billion. grew long-term result, $X.X
arrangements of CRT our the With over we to we CRT of issued remainder term the successfully of review issuance, investments. of transaction. billion CRT slide notes X-year our our related $X.X February, $XXX outstanding This CRT for Now with notes PMT’s the investments for let’s details In financing funded term that at X to term million XX. turn investments. financing and fifth outstanding Slide established March financing the underlying entirety
do on by value value. million $XXX to extensions. Notes quarter. Importantly, its of these two-year its earliest been fair fair investments. fair the Notes the contain and secured CRT or amortized The not term not balance during the at the calls value of payable assets PMT of maturity subject PMT optional all secured the March margin payable financing, provisions. losses XXXX, mark-to-market And notes contain assets, term on note notes not by notes declined related cost, by these as to carries sheet result, a is has CRT CRT of The
PMT’s UPB by turn loss PMT’s transaction. loss of structured become XXX X scheduled-severity CRT let’s XXX transactions, how regardless represent our or or program. credit to varies a for these for our events at are Now discuss underlying investments. investments are days framework more losses more whereby Slide transactions the and delinquent, which pursuant X CRT to earliest of Loans CRT days assessed is any assessed delinquent. investment, early The percent assessment in a of loan three forbearance when becomes
natural current such forbearance fire as CRT a as to represents if transaction, similarly casualty of reversed events or necessary. payment of reported if XX% this the transaction the which UPB is event is with fourth become to at exception months loans credit structured theft, due up thereafter period a the underlying notable three conclusion or investment, disaster, in that the status Our a
COVID-XX that casualty as Fannie underlying transaction completed PMT’s CRT total ongoing is pandemic sixth well Mae the published a transaction as CRT event. has investment. PMT’s fifth its the comprise UPB clarification XX% of
these transactions, and actual principal For based are on loss, interest costs. loss an calculated liquidation loans, defaulted losses framework including other and for
if loss. impacted reduce forbearance losses. only an actual result Loans there are payments Modifications is that also in in
of the quarter, let’s to $X.X CRT declined of PMT’s investments. quarter. the fair and billion billion change investments down carrying PMT’s Now in $X.X turn XX of to end value first discuss end CRT The the of at from value the the at fourth Slide
of decline credit the losses our net $X perceptions was quarter. financial in crisis during billion result mortgage more created primarily new The the as of the the reduction value loans. value markets CRT be of in changing on that a investments future well offset market COVID-XX than in This to investments disruption of investments significant incurred the fair as fair
had impact enactment of substantial CRT the the provide which uncertainty forbearance rise the and to fair Both to of CARES investments. the our on substantial negative payment dramatic investments. unemployment CARES our of This, mortgage and substantial requires to the caused historic loans. PMT borrowers, CRT in underlying negative effects The of the a turn, the performance on had Act, Act value affected value fair as
rates, at value slide, at an loss the As million. on discount XXst the X% impact $XXX value we fair fair related December which was of you CRT to of a on can the see from approximately XXst, increased approximately increase XX% estimate to March in investments this our
Changes of key an which for $XXX this loss our flow Note can of these collateral be assumptions Form additional found million expectations, losses. XX-Q in quarter. value resulted in assumptions, in included fair X More discussion in cash
CRT discuss Slide expected return to for investments. turn let’s Now scenarios XX PMT’s loss and and
taking slide, On account our into loss varying CRT scenarios specific our return and across the distinctions we this transactions. discuss expected
from XX.X% our in transactions. basis Our which would various XX points CRT to across of XX.X% result to range losses for expected the points XX basis investments IRRs
of case. in case losses average scenario additional and results X.X% we of scenario an weighted expected in base scenarios times have of The of base result significant of base presented outlook, with X% scenario. in for two economic a times IRR and a here uncertainty impact The XX at our times these in XX%. three loss IRR weighted is in remaining IRR which long-term the the case three scenarios stress points, average would losses of stressed return higher weighted Because basis the the of times this average loss two base case
discussed, framework. to pursuant PMT’s events three contractual recourse scheduled-severity previously have CRT its transactions first As and smaller
become not Our events calculated assuming credit do these delinquent. were loans loss scenarios more investments days COVID-XX and expected in returns on at XXX that forbearances or
On at based would for March the resulting being period participants, prices CRT days market the price market be securities, may or have the lasts on that than or loan and XXX status losses determined XXst, forbearance indications severity scheduled certain a of rather end as if the forbearance treated more. losses assumed
existing precedence irrespective the hurricane delinquencies more related of the days If CRT to is that amendments are There respectively, delinquent Freddie triggered first and on Mac contractual CAS terms three market XXXX documents, amended not and forbearance. for treatment for at made modified expectation transactions these XXX STACR losses are Mae COVID-XX disasters. or Fannie forbearance that this the and based to of
transactions be Our for returns those expected materially could lower.
PMT’s the discuss for investment turn our let’s and the Now quarters. XX run-rate strategies. next for several PMT’s over reflects return expectation run-rate Slide returns potential potential to
PMT’s for return Our related which EPS diluted to average allocation an average of expected with run-rate a Credit equity on Strategies common quarter, per on in investment annualized an PMT’s equity of is XX.X%. equity strategies would annualized result return XX%. of is potential to XX%, expectation Sensitive $X.XX
with Equity our quarter, expected CRT, the stem go-forward of in fair The which Our increased that has from return our the potential higher a Sensitive previous consist primarily projected value first of increased returns significant from Credit Strategies estimates. investments our experienced in return rates declines projected credit of in expected expense XX%, CRT increase transaction. upon on financing an allocated Strategies to an Sensitive sixth is higher equity to settlement and X.X%. Interest Rate of return with losses expected average despite annualized
interest We returns. volatility impact moderate segment this aggregate, consider ESS MBS and to of and MSR results positions are used in as the primarily the from rate on hedge
as projected well lower to the servicing elevated allocated due reflect hedge increase on by in segment income, expenses on expectations MSRs the to COVID-XX of continued equity Our this an and continued and impact market returns as volatility. driven costs
presentation. of approximately over XX%, to PMT’s like decline my turn will average who That few Correspondent quarters. annualized return activities. on I’d expected Fartaj, margins to which now the investment reflects Equity mortgage allocated review gradually the to elevated Officer, XX%, Chief concludes the segment that with is Production equity to Vandy And an next Investment over significantly discussion our
