PMT produced another strong quarter of financial results with net income attributable to common shareholders of $65.4 million or diluted earnings per share of $0.67.
PMT paid a common dividend of $0.47 per share.
Book value per share increased 3% to $20.90 from $20.30 at the end of the prior quarter, partially due to strong earnings and partially due to the issuance of senior exchangeable notes.
Our high-quality loan production in the quarter resulted in the creation of more than $400 million in new, low‐rate mortgage servicing rights, and PMT ended the quarter with approximately $2.4 billion in fair value of MSRs, which we expect will perform well in a rising rate environment.
We issued $659 million of three‐year term notes associated with PMT's sixth CRT transaction and the entirety of PMT's CRT investments is now financed with term notes that do not contain margin call provisions, providing stable financing throughout much of the expected life of the asset.
We also issued $350 million in five-year Fannie Mae MSR term notes to support the growing MSR portfolio.
And finally, we issued $345 million of five‐year senior exchangeable notes, upsized from an initial $200 million offered with strong support from institutional investors.
This issuance with an initial conversion price of $21.69 represents an attractive premium to PMT's book value per share at issuance.
The origination market continues to be historically strong as mortgage rates remain near record lows despite the increases in the 10‐year treasury yield since the start of the year.
Recent economic forecasts for 2021 originations range from $3.3 trillion to $4 trillion, while average forecasts for 2022 originations remain strong at $2.6 trillion.
It is worth noting that in each of 2021 and 2022, purchase originations are expected to total $1.7 trillion, almost 40% higher than 2019 levels.
Additionally, we expect the $1.5 billion annual limit per client on cash window deliveries into each of the GSEs to drive more volume into the correspondent channel.
In total, we expect a quarterly run‐rate return for PMT's strategies of $0.50 per share or a 9.5% annualized return on equity.
Total correspondent acquisition volume in the quarter was $51.2 billion in UPB, down 10% from the prior quarter and up 72% year over year.
PMT ended the quarter with 727 correspondent seller relationships, up from 714 at December 31.
Conventional lock volume in the quarter was $34 billion in UPB, down 14% from the prior quarter and up 78% year over year.
Margins in the channel have normalized and PMT's correspondent production segment pre-tax income as a percentage of interest rate lock commitments was 10 basis points, down from 13 basis points in the prior quarter.
Acquisition volumes remained strong in April, with $18.5 billion in UPB of total acquisitions and $15.6 billion in UPB of total locks.
The fair value of PMT's MSR asset at the end of the first quarter was $2.4 billion, up from $1.8 billion at the end of the prior quarter.
The total UPB of loans underlying our CRT investments as of March 31 was $48 billion, down significantly quarter over quarter as a result of elevated prepayments.
Fair value of our CRT investments at the end of the quarter was $2.58 billion, down slightly from $2.62 billion at December 31 as fair value gains largely offset the decline in asset value that resulted from prepayments.
PFSI's position as the manager and servicer of loans underlying PMT's CRT investments gives PMT a strategic advantage given we can work directly with borrowers who have loans underlying PMT's investments and have experienced hardships related to COVID‐19.
PFSI uses a variety of loss mitigation strategies to assist delinquent borrowers, and because of 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, we have deployed additional loss mitigation resources and continue to assist those borrowers at risk.
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 $34 million.
Through the end of the quarter, losses to date totaled $7 million.
As a reminder, mortgage obligations underlying PMTT1‐3 become credit events at 180 days or more delinquent regardless of any grant of forbearance.
Moving on to L Street Securities 2017‐PM1, which comprises 18% 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 $14 million in net losses reversed in the first quarter as $43 million of losses reversed more than offset the $29 million in additional realized losses.
We estimate that an additional $32 million of these losses were eligible for reversal as of March 31 subject to review by Fannie Mae and we expect this amount to increase as additional borrowers exit forbearance and reperform.
We estimate that only $6 million of the losses outstanding 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 $46 million at the end of the quarter.
The most common method for borrowers to exit forbearance to date has been a COVID‐19 payment deferral.
PMT reports results through four segments: credit-sensitive strategies, which contributed $134.3 million in pre-tax income; interest rate sensitive strategies, which contributed $64.6 million in pre-tax loss; correspondent production, which contributed $35.6 million in pre-tax income; and the corporate segment, which had a pre-tax loss of $14.2 million.
The contribution from PMT's CRT investments totaled $135.7 million.
This amount included $98.1 million in market‐driven value gains, reflecting the impact of credit spread tightening and elevated prepayment speeds.
Net gain on CRT investments also included $42.7 million in realized gains and carry, $13.3 million in net losses reversed, primarily related to L Street Securities 2017‐PM1, which Vandy discussed earlier, $200,000 in interest income on cash deposits, $15.9 million of financing expenses, and $2.5 million 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 $64.6 million in the quarter.
MSR fair value increased $338 million during the quarter.
$380 million in fair value gains as a result of lower expectations for prepayment activity in the future driven by higher mortgage rates was partially offset by $42 million in other valuation losses, primarily driven by elevated levels of prepayment activity.
Fair value declines on Agency MBS and interest rate hedges totaled $448 million and included $29 million in hedge costs driven by market volatility that also impacted hedge effectiveness in the quarter.
PMT's Correspondent Production segment contributed $35.6 million to pre-tax income for the quarter, down from $52.7 million in the prior quarter as gain on sale margins normalized.
The segment's contribution for the quarter was a pre-tax loss of $14.2 million.
Finally, we recognized a provision for tax expense of $19.4 million in the first quarter, compared to a tax benefit of $9 million in the prior quarter.

Summary:
PMT produced another strong quarter of financial results with net income attributable to common shareholders of $65.4 million or diluted earnings per share of $0.67.