Good afternoon, and welcome to the First Quarter 2016 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 first quarter, PMT earned a total of $14.5 million in net income or $0.20 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 increased to $20.59 at quarter end. PMT reports results through 2 segments: Investment Activities and Correspondent Production. The Investment Activities segment reported pretax income of $135,000 in the first quarter. Segment results were adversely impacted by noncash valuation losses on GSE credit risk transfer investments, in addition to valuation losses on mortgage servicing rights, or MSRs, and excess servicing spread investments, or ESS, net of offsets from value gains on mortgage-backed securities and hedging activities. The losses primarily resulted from credit spread widening and a significant decline in mortgage rates during the quarter, driven by concerns regarding overseas economic growth and the impact of low oil prices. We also incurred higher costs related to the resolution of nonperforming loans and the sale of REO properties during the quarter. Overall, PMT's investment returns underperformed our expectations in the first quarter. Underperformance in distressed loan investments was approximately $10 million, approximately $6 million in valuation losses related to other credit investments and approximately $10 million for interest rate-sensitive strategies. The Correspondent Production segment pretax income was $10.9 million for the quarter. In the first quarter, PMT made new investments in credit risk transfer, or CRT, and mortgage servicing rights from its own correspondent production activity. Investments in GSE credit risk transfer totaled $67 million on $1.9 billion of PMT's conventional conforming production. New investments in mortgage servicing rights from our correspondent production activities totaled $36 million. We continued to execute on other strategic initiatives to enhance shareholder value this quarter through ongoing share repurchases and the…

Thank you, Stan. Let's turn to Slide 11 and discuss the resolution activity on PMT's distressed whole loan investments. Here we show the 5-quarter trend for distressed loan resolutions, which includes liquidation and modification activities and totaled $241 million in UPB during the first quarter of 2016. Our resolution volumes show a positive long-term trend, driven by the sustained increase in modification activity. Modifications totaled $115 million in UPB and comprised 47% of total resolution activity compared to 27% a year ago. Our focus on driving more resolutions through modification results in better outcomes for both the homeowner and PMT. At March 31, the pipeline of modifications in process was $363 million in UPB, up from $277 million in UPB at the end of the same quarter last year. Liquidation activities include payoffs, foreclosure sales to third parties, short sales and sales of REO properties to third parties. The UPB of total liquidation activities totaled $127 million and comprised 53% of total resolutions. The percentage of resolutions achieved through liquidation outcomes has decreased, as new modification strategies implemented last year have gained traction. REO property sales have decreased over time as a percentage of total resolutions but have remained fairly consistent on an absolute basis. In the first quarter, REO sales decreased modestly from the prior quarter, primarily as a result of the slowdown in home sales that typically occurs during the winter months and, to lesser degree, more properties converting to rentals. We have also seen a sustained decrease in short sales and foreclosure sales as more loans are resolved through modifications. Now let's turn to Slide 12 and discuss the operational results for Correspondent Production. Correspondent Production totaled $9.7 billion in UPB for the first quarter, a 3% decline from the fourth quarter and a 21% increase in…

David, thank you. On Slide 16, we show the pretax earnings contribution from each of PMT's segments over the last 5 quarters. In the first quarter of 2016, PMT's pretax earnings totaled $11 million, comprised of $135,000 of pretax income from Investment Activities and $10.9 million of pretax income from Correspondent Production. Now let's turn to Slide 17 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, investment segment revenues totaled $26.4 million, up 17% from the fourth quarter. The quarter-over-quarter increase in revenues was driven primarily by higher net loan servicing fees and an increase in interest income, partially offset by a decrease in net gain on investments. Net gain on investments generated a loss of $3.9 million in the first quarter compared to a gain of $3.0 million in the prior quarter. Net gain on investments in the first quarter included valuation gains on distressed loans of $14.4 million and a $4.1 million loss on CRT investments, primarily driven by credit spread widening. Gains on distressed loans increased $12.4 million from the fourth quarter, which I will discuss in greater detail on Slide 19. Our interest rate-sensitive strategies include several types of investments, some of which have offsetting exposures that help PMT manage interest rate risk. These investments include agency and non-agency MBS, MSRs and excess servicing spread. Lower interest rates in the first quarter drove a fair value gain totaling $3.5 million in the agency and non-agency MBS portfolio. Lower rates, which result in higher expected prepayments, contributed to valuation losses on ESS totaling $17.7 million net of recapture income totaling $1.8 million. Net loan servicing fees resulting from PMT's investment in MSRs was $15.6 million in the…

Thank you, Anne. As we described in our March strategic update presentation, we are focused on executing strategic initiatives that we believe will enhance value for PMT shareholders. We have been active in repurchasing PMT's common shares at a substantial discount to book value. We are also committed to deploying capital in GSE credit risk transfer investments and mortgage servicing rights, which result from PMT's unique correspondent production business at attractive returns. We are funding these activities with ongoing cash flows supplemented by the sale of lower-yielding investments, such as the successful sales of seasoned performing loans and Fannie Mae and Freddie Mac excess servicing spread, which we recently completed. 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.