PennyMac Mortgage Investment Trust (NYSE:PMT) Q4 2023 Earnings Call Transcript

Eric Hagen: Yes. That makes sense. Thank you, guys.

Operator: Your next question is from the line of Jason Weber with JonesTrading.

Jason Weber: Hi, guys. Thanks for taking my question. So as of today, can you give us some sort of current context on the level of spreads and overall incremental ROE potential on new CRT such as the STACR bonds that you were buying?

David Spector: I mean, the – where we’ve seen sort of new STACR and CAS today, I mean, as was mentioned we just sold a bit of those. So I think it’s fair to say it doesn’t, in terms of – with those assets, it wasn’t commensurate with the sort of return profile that we have in the mid teens for the CRT and sort of the target that we’ve had there. But overall, including the margin call reserves that we would look to hold on the CRT that’s out in the market, probably high single or low double digits, is what we see in sort of current market or recent trades that fluctuates. And so, opportunistically in the fourth quarter, we invested where we saw attractive spreads that met our return hurdles. But that’s sort of the most recent color in terms of what we’ve seen.

Jason Weber: Thanks. And I apologize if this was addressed during the prepared remarks, but where would you ballpark book value change year-to-date?

David Spector: We don’t typically – sort of give a mark for that, but overall, if you look at historically where we’ve been, in terms of overall book value, it’s been pretty stable over the past few quarters. That’s been really the benefit of having the hedging program that we’ve had is that we don’t see the type of, even with interest rates being pretty volatile, we don’t see that our book value fluctuate in the same way that certain other portfolios do. So overall, just give the color. It’s pretty stable book value quarter-to-date.

Jason Weber: All right, thank you for the color.

Operator: We have no further questions at this time. I will now turn the call back over to Mr. Spector for closing remarks.

David Spector: Thank you, Operator. And thank you all for joining us this afternoon. I appreciate the questions and the time. And I encourage investors and analysts and with any additional questions to contact our Investor Relations team by email or phone. And thank you all very much for staying up at the late hour on the east coast. Have a good day.

Operator: This concludes today’s call. Thank you for joining. You may now disconnect your lines.