For the third quarter 2021, PMT reported a net loss attributable to common shareholders of $43.9 million or $0.45 per common share, driven by fair value decline in PMT's interest rate sensitive strategies.
PMT paid a common dividend of $0.47 per share.
Book value per share decreased to $19.79 from $20.77 at the end of the prior quarter.
We also successfully completed the issuance of $250 million in preferred shares in a public equity offering.
Our high-quality loan production continues to organically generate assets for PMT, and this quarter, $28.6 billion in UPB of conventional correspondent production led to the creation of more than $425 million in new, low-coupon mortgage servicing rights.
During the quarter, we purchased subordinate securities from two securitizations of investor loans totaling $548 million in UPB from PMT's correspondent production, and after the quarter, we retained mortgage securities from PMT's inaugural securitization of investor loans totaling $414 million in UPB.
In aggregate, at the end of October, the fair value of PMT's investments in investor loans was approximately $60 million.
For more than 12 years, PMT has successfully navigated various regulatory, interest rate, and origination market environments while delivering strong returns.
Current forecasts for 2022 originations remain strong at $3 trillion.
It is worth noting that purchase originations are expected to grow to a record $2 trillion in 2022, up 9% from this year's levels, while refinance originations are expected to decline to $1.1 trillion.
Next, FHFA suspended the GSE's previously imposed 7% limit on the acquisition of investment properties and second homes, resulting in greater liquidity and competition for these loans.
FHFA also suspended the $1.5 billion annual cash window limit for each of the GSEs, increasing competition for loans among correspondent aggregators like PMT. So while correspondents have more flexibility to deliver loans to the GSEs, we expect PMT to remain an attractive option to correspondent sellers looking to sell whole loans servicing-released, particularly as the competitive environment drives tighter origination margins.
In total, we expect the quarterly run rate return for PMT strategies to average $0.42 per share or an 8.3% annualized return on equity.
It is also important to note, our forecast for PMT's taxable income continues to support the common dividend at its current level of $0.47 per share.
Total correspondent acquisition volume in the quarter was $44 billion, down 6% from the prior quarter and down 1% from the third quarter of 2020.
65% of PMT's acquisition volumes were conventional loans, similar to the prior quarter.
PMT ended the quarter with 755 correspondent seller relationships.
Conventional lock volume in the quarter was $29.4 billion, down 3% from the prior quarter and down 14% year over year.
Importantly, purchase volume was a record for PMT at nearly $29 billion, up from $27.4 billion in the prior quarter and $21.5 billion in the third quarter of 2020.
PMT's correspondent production segment pre-tax income as a percentage of interest rate lock commitments was 9 basis points, up from 6 basis points in the prior quarter.
The weighted average fulfillment fee rate in the third quarter was 15 basis points, down from 18 basis points in the prior quarter, reflecting discretionary reductions made to facilitate successful loan acquisitions by PMT. Acquisition volumes in October were $12.9 billion in UPB, and locks were $11.5 billion in UPB.
The fair value of PMT's MSR asset at the end of the third quarter was $2.8 billion, up from $2.6 billion at the end of the prior quarter.
The total UPB of loans underlying our CRT investments as of September 30 was $35.4 billion, down 14% quarter over quarter.
Fair value of our CRT investments at the end of the quarter was $1.9 billion, down from $2.2 billion at June 30, due to the decline in asset value that resulted from prepayments.
PFSI uses a variety of loss-mitigation strategies to assist delinquent borrowers, and because the scheduled loss transactions, notably PMTT1-3 and L Street Securities 2017-PM1, trigger a loss if a borrower becomes 180 days or more delinquent.
With respect to PMTT1-3, which comprises 6% of the fair value of PMT's overall CRT investment, if all presently delinquent loans proceeded unmitigated to 180 days or more delinquent, additional losses would be approximately $18 million.
Through the end of the quarter, losses to date totaled $11 million.
Moving on to L Street Securities 2017-PM1, which comprises 19% of the total fair value of PMT's CRT investment, such losses will become reversed credit events if the payment status is reported as current after a forbearance period due to COVID-19.
PMT recorded $17 million in net losses reversed in the third quarter as $24 million of losses reversed more than offset the $7 million in additional realized losses.
We estimate that an additional $20 million of these losses were eligible for reversal as of September 30, subject to review by Fannie Mae, and we expect this amount to continue to increase as additional borrowers exit forbearance and reperform.
We estimate only $9 million of the $65 million in losses to date had no potential for reversal.
This market expectation of significant future loss reversals resulted in the fair value of L Street Securities 2017-PM1 exceeding its face amount by $29 million at the end of the quarter.
During the quarter, we added $27 million in fair value of new investor loan securitization investments, and after the quarter, we added another $21 million in fair value from PMT's inaugural securitization of investor loans.
And on Slide 8, you can see $925 million of net new investments in long-term mortgage assets more than offset $836 million in runoff from prepayments on CRT assets.
PMT reports results through four segments: credit-sensitive strategies, which contributed $60.7 million in pre-tax income; interest rate-sensitive strategies, which contributed $116.8 million in pre-tax loss; correspondent production, which contributed $27.8 million in pre-tax income; and the corporate segment, which had a pre-tax loss of $12.3 million.
The contribution from PMT's CRT investments totaled $60 million.
This amount included $26.4 million in market-driven value gains, reflecting the impact of credit spread tightening and elevated prepayment speeds.
Net gain on CRT investments also included $33.1 million in realized gains and carry; $14.3 million in net losses reversed, primarily related to L Street Securities 2017-PM1, which Vandy discussed earlier; $100,000 in interest income on cash deposits; $13.2 million on financing expenses; and $800,000 of expenses to assist certain borrowers in mitigating loan delinquencies they incurred as a result of dislocations arising from the COVID-19 pandemic.
PMT's interest rate-sensitive strategies contributed a loss of $116.8 million in the quarter.
MSR fair value decreased a total of $63 million during the quarter and included $64 million in fair value increases due to changes in interest rates, $56 million of valuation decreases due to FHFA's elimination of the adverse market refinance fee, and $70 million in additional valuation declines primarily due to elevated levels of prepayment activity and increases to short-term prepayment projections.
The fair value on agency MBS and interest rate hedges also declined by $95 million and included $80 million of fair value declines due to increases in market interest rates and declines due to hedge costs of $15 million.
PMT's correspondent production segment contributed $27.8 million to pre-tax income for the quarter.
The segment's contribution for the quarter was a pre-tax loss of $12.3 million.
Finally, we recognized a tax benefit of $4.7 million in the third quarter, driven by fair value declines in MSRs held in PMT's taxable subsidiary.

Summary:
For the third quarter 2021, PMT reported a net loss attributable to common shareholders of $43.9 million or $0.45 per common share, driven by fair value decline in PMT's interest rate sensitive strategies.