Good afternoon, and welcome to the First Quarter 2015 Earnings Discussion for PennyMac Mortgage Investment Trust. The slides that accompany this discussion are available from the PennyMac Mortgage Investment Trust website at www.pennymac-reit.com. Before we begin, please take a moment to read the disclaimer on Slide 2 of the presentation. Thank you. Now I'd like to turn the discussion over to Stan Kurland, PMT's Chairman and Chief Executive Officer.

Thank you, Chris. I would like to begin with PMT's first quarter results on Slide 3. For the first quarter, PMT earned $7.5 million in net income or $0.09 per diluted share, which represents an annualized return on equity of 2%. PMT paid a dividend of $0.61 per share for the quarter and book value was $20.68 per share at quarter end. PMT reports results through 2 segments: Investment Activities and Correspondent Production. The Investment Activities segment reported an $8.2 million pretax loss, and the Correspondent Production segment earned $4.4 million in pretax income. In addition, there was an income tax benefit of $11.3 million for the quarter. The results of Investment Activities were adversely impacted by a combination of factors, including lower than forecasted performance in the distressed loan portfolio, higher prepayment speeds that negatively affected MSR and ESS valuations, and hedge losses related to mortgage spread widening in our MBS portfolio. Cash flows from PMT's existing investment portfolio remains strong, including $111.9 million in proceeds generated from the liquidation of distressed mortgage loans and REO. New Investment Activities during the first quarter included additional capital deployment into mortgage servicing rights and excess servicing spread. PMT created $27 million of new MSRs from our conventional Correspondent Production activities, which represents $2.9 billion in unpaid principal balance. Investments in ESS totaled $46 million, which relates to $6.4 billion in UPB of Agency MSRs from mini-bulk and flow acquisitions by PennyMac Financial. The value of MSRs and ESS totaled $581 million at the end of the quarter, which relates to $68 billion of UPB. Turning to Slide 4. Today, we are also announcing progress on several important initiatives that have taken place in the second quarter. First, we have obtained financing for our ESS and MSR investments through 2 separate facilities.…

Thank you, Stan. Let's turn to Slide 15 and discuss the resolution activity that occurred in PMT's distressed loan portfolio, and discuss how it impacted interest income and valuation gains. During the first quarter, we did not purchase any new pools of distressed mortgages. However, we remained active in reviewing pools available for sale in the market. On Slide 15, we show the resolution activity in the distressed portfolio for each of the various resolution activities, which includes liquidation activities, modifications and foreclose to REO. Liquidation activities are payoffs, foreclosure sales to third parties, short sales and sales of REO properties to third parties. Modification activity slowed by 40% quarter-over-quarter due to a smaller portfolio of distressed loans, uncertainty regarding the extension of the FHA's negative equity trial modification program and a lower response rate to modification initiatives. The decline in modification was a significant driver of the 35% quarter-over-quarter decline in net interest income. The negative equity trial modification program was ultimately renewed and our manager, PennyMac Financial, is implementing a new proprietary modification program. We expect both of these programs to be impactful to modification activity in future quarters. Foreclosure-to-REO activity remained consistent quarter-over-quarter. This activity relates to completed foreclosures where PMT retains ownership of the property with the ultimate resolution coming through sale or rental. I will discuss our newly announced rental program in detail on the following slide. Additionally, reduced estimates of home prices drove a reduction in the expected realization value of certain properties, transitioning from foreclosure-to-REO status during the first quarter, adversely impacting valuation gains from the distressed loan portfolio. Now let's turn to Slide 16 and discuss our newly announced REO rental program. In previous earnings discussions, I've emphasized our continual assessment of best execution strategies for the distressed loan portfolio, and we…

Thank you, David. On Slide 22, we show the pretax earnings contribution from each of PMT's segments over the last 5 quarters. In the first quarter of 2015, PMT had a pretax loss totaling $3.8 million: An $8.2 million pretax loss from investment activities and $4.4 million of pretax income from Correspondent Production. Additionally, first quarter net income included a tax benefit of $11.3 million. This benefit was related to a loss in PMT's taxable REIT subsidiary. Now let's turn to Slide 23 and look at the results of the Investment Activities segment. The Investment Activities segment income is derived from the performance of PMT's investment portfolio. In the first quarter, segment revenues totaled $18.9 million, down 51% from the fourth quarter. The quarter-over-quarter decline in revenues was driven primarily by a 78% decline in net gains on investments, which includes realized and unrealized gains and losses on our distressed loan investments, agency and non-agency MBS and excess servicing spread. Net gain on investments this quarter included valuation gains on distressed loans of $17.2 million, a 17% decrease from the fourth quarter, which I will discuss in greater detail on the next slide. Our investments in retained interest from the jumbo securitization, mortgage-backed securities and ESS experienced valuation losses totaling $13.8 million during the quarter. Valuation losses in our MBS portfolios resulted in part from widening in mortgage spreads to the interest rate swap curve. Valuation losses on ESS primarily resulted from higher actual and projected prepayments for the underlying mortgage loans, due to lower interest rates and the unanticipated reduction in FHA annual mortgage insurance premiums announced in January. Recapture income paid to PMT by PennyMac Financial from prepayments on loans underlying the ESS totaled $1.3 million for the first quarter and are included in the ESS valuation loss.…

Thank you, Anne. We remain focused on strategic initiatives that we expect to drive attractive, long-term returns on equity for PMT. We have obtained financing for ESS and MSRs on attractive terms, which enhance the expected returns for these strategies. Membership in the FHLB and the resulting access to term financing helps facilitate our strategies such as investment in non-agency mortgage loans. And we are excited about our progress on the GSE credit risk-sharing structure that allows us to invest in the credit risk of PMT's own Correspondent Production. We are making progress in diversifying PMT's mortgage-related strategies, which we believe will enable the company to achieve our performance target across different market environments. In closing, we encourage investors with any questions to reach out to our Investor Relations team by e-mail or phone. Thank you.

This concludes the PennyMac Mortgage Investment Trust first quarter earnings discussion. For any questions, please visit our website at www.pennymac-reit.com, or call our Investor Relations department at (818) 224-7028. Thank you.