Good afternoon and welcome to the Second Quarter 2015 Earnings Discussion for PennyMac Mortgage Investment Trust. The slides that accompany this discussion are available from PennyMac Mortgage Investment Trust's website at www.pennymac-reit.com. Before we begin, please take a few moments 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. For the second quarter, PMT saw an improvement in its financial results driven by improved performance in the distressed loan portfolio and strong performance in Correspondent Production. PMT earned a total of $28.1 million in net income or $0.36 per diluted share, which represents an annualized return on equity of 7%. PMT paid a dividend of $0.61 per share for the quarter and book value ended the quarter at $20.39 per share. PMT reports results through 2 segments: Investment Activities and Correspondent Production. The Investment Activities segment reported $19.9 million in pretax income. Our investment activity results were driven by gains on distressed mortgage loans. Gains on MSRs and ESS were partially offset by valuation losses on the MBS portfolios reflecting our approach to interest rate risk management, which includes investments with offsetting exposures. The Correspondent Production segment earned $5.2 million in pretax income. While producing new investments in MSRs and GSE credit risk transfers, our correspondent loan acquisitions totaled $11.9 billion during the second quarter, up 49% from the first quarter. In addition, PMT reported a tax benefit of $3 million for the quarter. PMT's new investments during the second quarter were primarily in mortgage servicing rights and excess servicing spread. We invested $32 million in new MSRs representing $3.6 billion in unpaid principal balance from our conventional Correspondent Production activities. Investments in PennyMac Financial-related ESS totaled $141 million, which represents a portion of $15.8 billion in UPB of bulk and flow acquisitions of Agency MSRs. The value of PMTs MSRs and ESS totaled $754 million at the end of the quarter, which relates to $83 billion of UPB. After quarter end, we completed the previously announced acquisition of $75 million in PennyMac Financial-related ESS from the bulk acquisition of Ginnie Mae MSRs totaling $8.5 billion…

Thank you, Stan. Let's turn to Slide 13 and discuss the value of the distressed whole loan portfolio. We believe that PMT offers investors an effective way to gain exposure to an improving housing market in the U.S., while we also believe that there is significant embedded value in our distressed portfolio, which is illustrated here. This slide shows where PMT's distressed loan portfolio was marked as of June 30, split between nonperforming and performing loans in the distressed portfolio. The bars on the right in blue are the outstanding principal balance or face value of the loans. The green bars in the middle show the estimate of the current collateral value or the current value of the properties underlying the loans. We use several methods to estimate the current value of the properties, but they are primarily based on broker price opinions. The bars on the left in gray are our fair value marks for the assets as recorded on PMT's balance sheet. What you will note is that the fair value of the loans held by PMT is significantly lower than the value of the underlying properties. The mark on the nonperforming loans is held on average at a 29% discount to current property value, while the mark on the performing loans is held on average at a 31% discount to current property value. This embedded value is generally realized over time through a variety of loan resolution strategies we pursue, which are executed by the servicing operations of PFSI. In the case of nonperforming loans, valuation gains are recorded as each loan progresses closer to liquidation or is rehabilitated to a re-performing loan. Performing loans also have a significant embedded value, but their resolution options differ and include restructure through modifications and refinance strategies. Many of PMT's…

Thank you, David. On Slide 18, we show the pretax earnings contribution from each of PMT's segments over the last 5 quarters. In the second quarter of 2015, PMT's pretax earnings totaled $25.1 million, $19.9 million of pretax income from Investment Activities and $5.2 million of pretax income from Correspondent Production. Additionally, second quarter net income included a tax benefit of $3 million. This benefit was related to a loss in PMT's taxable REIT subsidiary. Now let's turn to Slide 19 and look at the results of the Investment Activity segment. The Investment Activity segment income is derived from the performance of PMT's investment portfolio. In the second quarter, segment revenues totaled $47 million, up 149% from the first quarter. The quarter-over-quarter increase in revenues was driven primarily by an increase in net gains on investment and higher net loan servicing fees. Net gain on investments in the second quarter included valuation gains on distressed loans of $30.1 million, a 75% increase from the first quarter, which I will discuss in greater detail on the next slide. We strategically manage our overall interest rate exposure through a variety of strategies with inversely correlated interest rate sensitivities. These strategies include MSRs, ESS and agency and non-agency MBS. The net impact of valuation changes on ESS, agency MBS and non-agency MBS was a $7.5 million valuation loss during the quarter. ESS had an $8.6 million valuation gain, while agency and non-agency MBS experienced valuation losses totaling $16 million during the quarter. Valuation gains on ESS resulted from lower projected prepayment activity on the loans underlying the investment driven by a rise in mortgage rates during the quarter. However, actual prepayments on the loans underlying the ESS investment remained elevated. Recapture income paid to PMT by PennyMac Financial from recapture on loans underlying…

Thank you, Anne. PMT's focus remains on investing in distinctive mortgage-related strategies that are enabled by our relationship with PennyMac Financial and its specialized operational capabilities. Our credit risk transfer structure with Fannie Mae is the most recent example, allowing PMT to invest and further capture value from our correspondent production activities. We remain diligent in pursuing a range of unique and attractive investment opportunities. We believe that over the long term, these strategies should produce our targeted returns on equity. 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 PennyMac Mortgage Investment Trust's second quarter earnings discussion. For any questions, please visit our website at www.pennymac-reit.com or call or our Investor Relations Department at (818) 224-7028. Thank you.