Good afternoon, and welcome to the Fourth Quarter 2015 Earnings Discussion for PennyMac Mortgage Investment Trust. The slides that accompany the discussion are available from the PennyMac Mortgage Investment Trust 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 fourth quarter, PMT earned a total of $15.7 million in net income or $0.21 per diluted share, representing an annualized return on equity of 4%. PMT paid a dividend of $0.47 per share for the quarter, and book value per share declined to $20.28 at quarter end. PMT reports results through 2 segments, Investment Activities and Correspondent Production. The Investment Activities segment reported a pretax loss of $6.1 million. Segment results were adversely impacted by the decline in distressed loan valuation gains this quarter. During the quarter, investment returns underperformed expectations due to a combination of factors, the largest of which was reduced earnings from our distressed loan portfolio, driven by credit spread widening and lower home price appreciation versus prior forecasts. In the fourth quarter, PMT made new investments in credit risk transfer and mortgage servicing rights from its own correspondent production activity. Investments in the second credit risk transfer transaction with Fannie Mae totaled $107 million to date on $3 billion of PMT's production. New investments in MSRs from our correspondent production activities totaled $42 million. In total, the value of PMT's MSR and ESS investments grew to $872 million, relating to $94 billion of UPB at the end of the quarter. Despite the pretax loss from investment activities, which were driven by noncash fair value losses, cash flows from PMT's existing investment portfolio remained strong. Cash proceeds from the liquidation of distressed mortgage loans and REO totaled $113.5 million during the quarter. The Correspondent Production segment earned $13.1 million in pretax income. This strong performance was driven by higher gains on mortgage loans and reduced fulfillment expenses. On Slide 4, I'd like to highlight a couple of recent developments after quarter end. In January, PMT, through a subsidiary, was approved as a…

Thank you, Stan. Let's turn to Slide 10 and discuss the resolution activity on PMT's distressed whole loan investments. Here we show the various resolution activities, which include liquidation activities, modifications, and loan transitions from foreclosure to REO. Liquidation activities include payoffs, foreclosure sale to third parties, short sales and sales of REO properties to third parties. The UPB of total liquidation activities increased 15% from the third quarter, primarily as a result of a 47% quarter-over-quarter increase in REO sales as properties and inventory completed the eviction process, partially offset by a decrease in short sales and foreclosure sales as more loans were modified. Modification activity increased 26% quarter-over-quarter, driven by a sustained increase in the pipeline of modifications since the second quarter, driving growth in completed modifications. Our strong modification efforts have helped to increase the UPB of completed modifications to $99 million in UPB in the fourth quarter versus $79 million in UPB in the third quarter. The pipeline of modifications in process at the end of the quarter was $342 million. Foreclosure to REO activity decreased 27% 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. PMT's portfolio of REO rentals totaled $8.8 million at December 31, up from $4.4 million at September 30. Now let's turn to Slide 11 and discuss the operational results for correspondent production. Correspondent production totaled $10 billion in UPB for the fourth quarter, a 30% decline from the third quarter but a 38% increase from the fourth quarter of 2014. Conventional conforming and jumbo loan acquisitions were $3.5 billion in UPB, a decrease of 15% from the prior quarter. The decrease in production volumes was primarily driven by a seasonally smaller origination market, higher rates, and…

Thank you, David. On Slide 15, we show the pretax earnings contribution from each of PMT's segments over the last 5 quarters. In the fourth quarter of 2015, PMT's pretax earnings totaled $6.9 million, comprised of $6.1 million of pretax loss from investment activities and $13.1 million of pretax income from correspondent production. Now let's turn to Slide 16 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 fourth quarter, investment segment revenues totaled $22.6 million, down 63% from the third quarter. The quarter-over-quarter decrease in revenues was driven primarily by a decrease in net gain on investments and lower net loan servicing fees. Net gain on investments totaled $2.6 million in the fourth quarter, compared to $25 million in the prior quarter. Net gain on investments in the fourth quarter included valuation gains on distressed loans of $2 million, a $29.9 million decline from the third quarter, which I will discuss in greater detail on Slide 18. We invest in multiple interest-rate-sensitive strategies, some of which have offsetting exposures, which help PMT manage interest-rate risk. These strategies include agency and non-agency MBS, MSRs, and excess servicing spread. Higher interest rates in the fourth quarter drove a fair value loss totaling $7.7 million in the agency and non-agency MBS portfolio. Higher rates, which result in lower expected prepayments also contributed to valuation gains on ESS, totaling $8.7 million. Additionally, ESS gains for the fourth quarter include recapture income of $1.9 million. Net loan servicing fees resulting from PMT's investment in MSRs were $7.9 million in the fourth quarter, down from $20.8 million in the third quarter. MSR valuation gains and impairment reversal due to lower-than-expected prepayments were offset by losses on hedges associated…

Thank you, Anne. We are confident in the outlook for PMT to deliver superior returns over time through its investments in distinctive mortgage-related strategies. While earnings in the fourth quarter were lower, largely driven by fair value changes, the cash flows from PMTs existing investments continue to remain strong. We're redeploying capital from liquidation of distressed whole loans into new investments in front-end credit risk transfer and mortgage servicing rights that result from our correspondent production activities. In addition, at the current market price of PMT's common shares, we see the repurchase of stock as a highly attractive use of capital, and we intend to use proceeds from the liquidation of lower yielding investments for additional share repurchases. 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 Fourth 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.