Good afternoon, and welcome to the Fourth Quarter and Full Year 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. For the fourth quarter, PMT reported net income attributable to common shareholders of $34.6 million or $0.50 per diluted share, representing an annualized return on average common equity of 11%. PMT paid a dividend of $0.47 per share for the quarter. Book value per common share increased to $20.13 at quarter-end, up from $19.74 at September 30. Fourth quarter results include a benefit of $13 million or $0.18 per share resulting from a reduction of deferred tax liability in PMT's taxable REIT subsidiary following the passage of the Tax Cuts and Jobs Act. PMT's results also reflect strong contributions from CRT investments and Correspondent Production, partially offset by distressed loan investment losses. PMT reports results through 4 segments: Credit Sensitive Strategies, which contributed $39.3 million in pretax income; Interest Rate Sensitive Strategies, which contributed $3.2 million in pretax income; Correspondent Production, which contributed $14.1 million in pretax income; and Corporate with a pretax loss of $10.6 million. PMT repurchased approximately $5.2 million of its common shares at a cost of $82.6 million during the most recent purchase window. In December, the Board of Trustees approved a $100 million increase to the share repurchase program, which now stands at $300 million. During the fourth quarter, we continued to grow our investments in CRT and mortgage servicing rights resulting from PMT's Correspondent Production activities. Conventional Correspondent loan production totaled $5.9 billion in unpaid principal balance, down 10% from the prior quarter. CRT-eligible deliveries totaled $4.8 billion in UPB, up from $4.1 billion last quarter, which will result in approximately $168 million of new CRT investments once the aggregation period is complete. We also added $83 million in new MSR investments resulting from our Correspondent activities. Turning to Slide 4, let's continue our review of…

Thank you, Stan. Let's turn next to Slide 11 for a look at our Correspondent Production highlights. Correspondent acquisitions by PMT in the fourth quarter totaled $15.4 billion in UPB, down 12% from the third quarter and down 23% year-over-year. Conventional conforming acquisitions, for which PennyMac Financial performed fulfillment services for PMT, totaled $5.9 billion in UPB in the fourth quarter, down 10% from the prior quarter and 21% from the fourth quarter of 2016. Total lock volume was $15.9 billion in UPB, down 9% from the prior quarter and 17% year-over-year. The decline in acquisition and lock volumes resulted from increased competition in the conventional conforming market and seasonal factors. We remain disciplined in our pricing and increased pretax income per interest rate lock commitment to 24 basis points from 13 basis points in the prior quarter. We also grew the volume of CRT deliveries from our conventional conforming acquisitions by 17% from the prior quarter, increasing capital deployed into attractive CRT investments, which I will discuss in greater detail on the next slide. Our seller relationships continued to grow and totaled 613 at the end of the fourth quarter versus 604 at the end of the previous quarter. The purchase money percentage of our Correspondent acquisition volume was 76% in the fourth quarter, which positions us well for the forecasted growth in purchase market origination volumes. Looking at January production volumes, total Correspondent loan acquisitions were $4.8 billion in UPB, while interest rate lock commitments totaled $4.4 billion in UPB. Now let's turn to Slide 12 and discuss PMT's investment in GSE credit risk transfer. At the end of the fourth quarter, PMT's CRT investment totaled $589 million, which after debt financing resulted in an equity allocation of $288 million. During the quarter, we completed $4.8 billion in…

Thank you, David. Let's turn to Slide 16 and discuss the fourth quarter's income and return contributions by strategy. PMT's investments in the fourth quarter generated an annualized return on common equity of 10.8%, net of expenses and overhead. This includes the impact of the new tax law, as Stan mentioned earlier. In total, Credit Sensitive Strategies contributed $39.3 million to pretax income and a 19.8% annualized return on equity during the fourth quarter. Within the segment, distressed loan investments posted a loss of $17.4 million in the quarter. Distressed loan investments continued to underperform, primarily driven by valuation losses on nonperforming loans, which I will discuss in more detail on the next slide. CRT investments contributed pretax income of $56.3 million. As David mentioned, the fair value of these investments benefited this quarter from tightening of credit spreads for such securities. Interest Rate Sensitive Strategies, which include the performance of our MSRs, excess servicing spread and agency and nonagency senior MBS positions and related interest rate hedges, together contributed $3.2 million of pretax income or a 1.9% annualized return on equity in the fourth quarter. Servicing income on MSR investments increased as a result of a growing portfolio, partially offset by market-driven valuation changes. Valuations of MSRs and ESS were adversely impacted by yield curve flattening. ESS also incurred valuation losses net of recapture income as a result of higher-than-expected prepayment activity during the quarter. Agency MBS returns were adversely impacted by market-driven valuation changes from higher mortgage rates. While we show the income contribution for each of these Interest Rate Sensitive Strategies separately, they are managed in aggregate as, typically, the interest rate sensitivity of MSRs and ESS is inversely correlated to MBS positions in many of our interest rate hedges. Correspondent Production contributed $14.1 million in the…

Thank you, Andy. PMT's fourth quarter performance represents the further affirmation of our strategic focus on Correspondent Production and the investments it creates. The Correspondent business generates attractive returns on its own and also produces unique long-term investments, such as CRT and MSRs. We also are working on enhancing returns by optimizing our financing structures, such as the one we have implemented for Fannie Mae MSRs. We believe the income potential of these strategies taken together should produce attractive returns on equity, as reflected in our run rate income potential. The continued shift to these newer strategies is reflected in the expected improvement in the run rate income potential, which is further enhanced by lower provisions for corporate income taxes. Lastly, 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 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.