PennyMac Mortgage Investment Trust 2024年度报告

PennyMac Mortgage Investment Trust (NYSE: PMT) is a specialty finance company that investsprimarily in residential mortgage loans and mortgage-related assets. As a real estateinvestment trust (REIT), our objective is to provide attractive risk-adjusted returns to ourshareholders over the long-term, primarily through dividends and secondarily through capitalappreciation. Our investment focus is on mortgage-related assets that we create through our industry-leadingcorrespondent production activities, primarily mortgage servicing rights (MSRs). Incorrespondent production, we acquire, pool and securitize or sell newly originated prime creditquality loans. Our interest rate sensitive investments primarily include MSRs, mortgage-backedsecurities and related hedge instruments. Our credit sensitive investments consist primarily ofcredit risk transfer investments related to loans sourced through our correspondent productionthat were delivered to Fannie Mae, as well as subordinate bonds created from private labelsecuritizations sourced from our own production volumes. PMT is managed by PNMAC Capital Management, LLC, a wholly-owned subsidiary of PennyMacFinancial Services, Inc. (NYSE: PFSI), and an investment adviser registered with the Securitiesand Exchange Commission that specializes in mortgage assets. Our correspondent productionoperations are conducted on a fee-for-service basis by another PennyMac Financial subsidiary,PennyMac Loan Services, LLC, which also services most of the loans in our investment andMSR portfolios. Dear Fellow Shareholders, 2024 was a strong year for PennyMac Mortgage Investment Trust (NYSE: PMT), highlighting thesound fundamentals underlying our diversified portfolio of residential mortgage-relatedinvestments and our ability to successfully navigate a market characterized by significantinterest rate volatility. During the year, the yield on the 10-year Treasury bond ranged from 3.6percent to 4.7 percent and as a result, many of our mortgage real estate investment trust (REIT)peers saw their book value per share fluctuate significantly as interest rates increased anddecreased. In contrast, our book value per share was relatively stable as the active hedging ofmortgage servicing rights offset the majority of fair value changes in our interest rate sensitivestrategies. In 2024 we worked tirelessly on multiple facets of PMT’s business to establish a strongfoundation as we enter 2025. Early in the year we realized significant gains from theopportunistic sale of certain investments as credit spreads tightened, and also successfullysold $833 million of lower coupon mortgage-backed securities (MBS) as a part of a majorrebalance of our Agency MBS portfolio. Additionally, over the course of the year we issued atotal of $1.3 billion in term debt to address and extend upcoming debt maturities, generally attighter financing spreads versus previous issuances. Finally, we also renewed PMT'sagreements with our manager and mortgage industry leader PennyMac Financial Services, Inc.(NYSE: PFSI), solidifying the unique synergistic partnership between the two companies foranother five years. PMT’s solid financial results in recent years has been primarily due to the performance of ourseasoned investments in mortgage servicing rights (MSRs) and the unique credit risk transfer(CRT) investments we executed with Fannie Mae from 2015 to 2020. Approximately two-thirdsof our shareholders’ equity is currently allocated towards these investments; and given themajority of mortgages underlying these assets were originated during periods of very lowinterest rates, their expected lives have extended and the related cash flows are expected topersist for some time. At the same time, delinquency levels underlying these investments areexpected to remain low because of the solid fundamental credit characteristics of themortgages underlying these investments combined with continued home price appreciation,which provides these borrowers with a substantial equity cushion. Further, being the producerand servicer of the underlying loans affords certain competitive advantages versus traditionalmortgage REITs as we review and diligence the loans selected for investment on the front end,and as the servicer of the loans, we can proactively work with borrowers in times of stress tominimize losses on the back end. All of these factors drive our continued belief that these coreinvestments will perform well over the foreseeable future, anchoring PMT’s return potential forthe next several years. In recent periods, volume or pricing limits for the government-sponsored enterprises (GSEs) oncertain types of loans, such as non-owner occupied and second homes, coupled with stronginvestor demand for senior tranches of private-label securities have provided PMT with a uniqueopportunity. Pennymac’s significant footprint in the correspondent channel allows us to sourcesignificant volumes of such loans, and combined with our manager’s securiti