Good afternoon, and welcome to the Second Quarter 2016 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 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 reported a net loss of $5.3 million or $0.08 per diluted share, representing an annualized return on equity of negative 1%. PMT paid a dividend of $0.47 per share for the quarter, and book value per share decreased to $20.09 at quarter end. PMT's loss for the second quarter is disappointing, and our financial performance did not meet expectations. In particular, our distressed loan investments underperformed, largely as a result of longer timelines and higher expenses for nonperforming loan liquidations, in addition to home prices that were lower than previously forecast. PMT reports results through 2 segments: Investment Activities and Correspondent Production. The Investment Activities segment reported a pretax loss of $24.6 million in the second quarter. Segment results were impacted by the valuation losses on our distressed loan investments, which underperformed our expectations by approximately $30 million. This quarter's results also include valuation losses on mortgage servicing rights and excess servicing spread investments, net of offsets from hedging activities, recapture income and valuation gains on mortgage-backed securities. The valuation losses on MSRs and ESS resulted from higher actual and expected future prepayment activity, resulting from interest rate declines at the end of the quarter and expectations for future mortgage rates lower than previously forecast. In addition, the quarter included $5.1 million in servicing activity fees related to the sale of performing loans from the distressed loan portfolio, partially offset by income from CRT investments totaling $7.1 million. The Correspondent Production segment reported pretax income of $16.4 million for the quarter. In the second quarter, PMT made new investments in GSE credit risk transfer that totaled $126 million on $3.2 billion in unpaid principal balance of PMT's conventional conforming production. At June 30, our current CRT commitment with Fannie Mae, totaling $7.5…

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 $244 million in UPB during the second quarter of 2016. Modifications totaled $94 million in UPB during the quarter and comprised 38% of total resolution activity, compared to 27% a year ago. Our focus on driving resolutions through modifications results in positive outcomes for both the homeowner and PMT, allowing the homeowner to remain in their home with improved mortgage terms and helping to expedite PMT's transition out of distressed loan investments. At June 30, trial modifications totaled $182 million in UPB, up 65% from the prior quarter. Since the beginning of the year, we have placed increased emphasis on utilizing streamlined modification programs, offered through the Home Affordable Modification Program, commonly referred to as HAMP, in addition to proprietary modification programs to help more borrowers qualify for a modification. Streamlined modification programs are beneficial, because they eliminate income documentation requirements and move borrowers directly into a trial modification after their first payment is made. Liquidation activities totaled $151 million in UPB, an increase from $127 million in the first quarter, and comprised 62% of total resolutions. Liquidation activities include payoffs, foreclosure sales to third parties, short sales and sales of REO properties to third parties. In the second quarter, REO sales increased to $110 million, up from $101 million in the prior quarter, and comprised 45% of total resolution activity. These sales resulted in a net reduction to the REO inventory of $20 million. PMT also retained $8 million in additional properties for the rental program, increasing the REO rental portfolio to $21 million at June 30, up from $13 million…

Thank you, David. On Slide 16, we show the pretax earnings contributions from each of PMT's segments over the last 5 quarters. In the second quarter of 2016, PMT's pretax loss totaled $8.2 million, comprised of a $24.6 million pretax loss from Investment Activities and $16.4 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 second quarter, investment segment revenues totaled $9.4 million, a decrease of 64% from the first quarter. The quarter-over-quarter decrease in revenues was driven primarily by a higher net loss on investments and a decrease in net interest income, partially offset by a decrease in other losses. Our investments generated a net loss of $15.5 million in the second quarter, compared to a loss of $3.9 million in the prior quarter. Net loss on investments for the second quarter included valuation losses on distressed mortgage loans of $13.5 million, which I will discuss in further detail on Slide 19; $15.8 million of losses related to excess servicing spread, net of recapture income; and a $21,000 loss on mortgage loans held by a variable interest entity, net of valuation changes on the related asset-backed secured financing. These losses were partially offset by gains on mortgage-backed securities of $6.1 million and income from CRT investments totaling $7.8 million. 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 second quarter drove a fair value gain totaling $6 million in the agency and non-agency MBS portfolios. Lower rates during the…

Thank you, Anne. PMT is uniquely positioned to access investment opportunities that result from our Correspondent Production activities, including MSRs and GSE credit risk transfer, which are made possible through PFSI's specialized capabilities as our manager and service provider, in addition to investments in small balance multifamily loans. These capabilities allow us to generate attractive investments on a repeatable basis over time. In closing, I would like to emphasize that we remain focused on the timely resolution of our nonperforming loans. And we continue to evaluate using available capital to repurchase our common shares where the return is superior to alternative investment opportunities. Lastly, 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 second 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.