Good afternoon, and welcome to the First Quarter 2017 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 Executive Chairman.

Thank you, Chris. Let's begin with Slide 3. PMT reported first quarter net income of $28.7 million on net investment income of $64.5 million, or $0.40 per diluted share, representing an annualized return on common equity of 8%. PMT paid a dividend of $0.47 per share for the quarter, and book value per share decreased to $20.14 at quarter end, from $20.26 for the prior quarter. Results were driven by significant gains in our unique GSE credit risk transfer investments, as well as strong contributions from our correspondent production segment. The quarter's results also included an income tax benefit and a benefit from a reduction in the estimate of the liability for representations and warranties. PMT now reports results through four segments; Credit Sensitive Strategies, Interest Rate Sensitive Strategies, Correspondent Production and Corporate. Results from our distressed loan investments showed modest improvement from the prior quarter, but returns remained below our expectations. The distressed loan portfolio benefitted from home prices that were better than prior forecasts and a strong market for performing loans, which were partially offset by elevated recidivism of previously modified performing loans. We continued our investment activities in CRT and mortgage servicing rights resulting from PMT's correspondent production business. Conventional correspondent loan production totaled $4.6 billion in unpaid principal balance, down 38% from the prior quarter. CRT-eligible deliveries totaled $1.8 billion in UPB, which will result in approximately $64 million of new CRT investments once the aggregation period is complete. We also added $59 million in new MSRs resulting from our correspondent production activities. Cash proceeds from the liquidation and paydown of distressed mortgage loans and REO were $87 million, reflecting steady progress in resolution activities around our distressed loan investments. We also completed the previously announced sale of $89 million in UPB of performing loans. Turning…

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 five-quarter trend for distressed loan resolutions, which include liquidation and modification activities, and which totaled $222 million in UPB during the first quarter. As a percentage of the nonperforming loans and REO, quarterly resolution activity increased to 17% in the first quarter of 2017, up from 12% in the first quarter of 2016. The increase in REO property sales reflects successful efforts to resolve the foreclosure pipeline, with REO inventory declining to $225 million at March 31st from $274 million at December 31, 2016. Modifications totaled $92 million in UPB during the quarter and comprised 42% of total resolution activity, compared with 48% in the prior quarter and 46% in the first quarter of 2016. Modifications were down reflecting a slowdown in the turnover of our pipeline. By the end of the quarter, PennyMac Financial directed additional resources to these critical activities to assist with the increased modification activity. We also recently introduced a new modification program to replace the expired HAMP program. For the first quarter, streamlined modifications totaled $76 million in UPB, down from $82 million in the prior quarter. Streamlined modification programs are helpful because they have less cumbersome income documentation requirements and move borrowers into a trial modification once they make their first modified payment. Liquidation activities totaled $120 million in UPB, essentially unchanged from the prior quarter, and comprised 54% of total resolutions. Liquidation activities include payoffs, foreclosure sales to third parties, short sales and sale of REO properties to third parties. Now let's turn to Slide 12 and discuss judicial state resolution trends for distressed loan investments. This slide depicts our steady progress over the last two years in resolving distressed…

Thank you, David. On slide 17, we show the pre-tax income contributions from each of PMT's segments over the last five quarters. As Stan noted earlier, we now report results in four segments which reflect the evolution of PMT's activities and the strategies that drive its financial results. PMT's pre-tax income in the first quarter totaled $22.6 million, comprised of $19.4 million from Credit Sensitive Strategies, $744,000 from Interest Rate Sensitive Strategies, $12.5 million from Correspondent Production and a pre-tax loss of $10 million from Corporate. Now let's turn to Slide 18 and review the results of the Credit Sensitive Strategies segment. The Credit Sensitive Strategies segment includes results from PMT's distressed loans, CRT, non-Agency subordinate bonds and multifamily commercial real estate investments. In the first quarter, segment revenues totaled $25.8 million, an increase of 82% from the prior quarter. The increase in revenues was driven by an increase in net gain on investments and a reduction in other losses. Net gain on investments in the first quarter was $22 million, up 144% from $9 million in the prior quarter. The increase in net gain on investments was primarily due to strong gains on CRT, which totaled $18.6 million. Net interest income for Credit Sensitive Strategies was $6 million in the quarter, down 44% from the prior quarter. Interest income in the first quarter was $20.3 million, a 23% decrease from the prior quarter, and included $9.9 million of capitalized interest from loan modifications, which declined from $22 million in the prior quarter due to lower modification activity. Capitalized interest increases interest income and reduces loan valuation gains. Interest expense decreased 9% from the prior quarter to $14.3 million. Other investment losses were $2.3 million, compared with losses of $5.4 million in the prior quarter primarily due to trailing recoveries…

Thank you, Andy. We have made significant progress transitioning capital toward more attractive opportunities and away from distressed loan investments, which now represent one-third of PMT's equity. The strong performance of CRT and correspondent production this quarter validate our plan to continue transitioning PMT's balance sheet to these investments. As we anticipated, higher interest rates during the quarter resulted in a mortgage market that is normalizing from the elevated margins and volumes seen in 2016. However, we have seen improvement in April due to a decline in interest rates and a pickup in home-buying activity that we expect to extend through the spring and summer homebuying season. As a result, we believe that PMT remains well positioned to access investment opportunities that result from our correspondent-related production activities. We believe that these strategies have the potential to produce earnings in line with our dividend level. Lastly, we encourage investors with any questions to reach out to our Investor Relations team by email or phone. Thank you.

This concludes PennyMac Mortgage Investment Trust's 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.