Good afternoon, and welcome to the First Quarter 2018 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. For the first quarter, PMT reported net income attributable to common shareholders of $22 million on net investment income of $75.7 million or $0.35 per diluted share, representing an annualized return on average common equity of 7%. PMT paid a dividend of $0.47 per share for the quarter. Book value per common share increased to $20.24 at quarter-end from $20.13 at December 31, 2017. Our operating results reflect strong contributions from PMT's Interest Rate Sensitive Strategies and GSE credit risk transfer, partially offset by distressed loan investment losses. PMT reports results through 4 segments: Credit Sensitive Strategies, which contributed $3.6 million in pretax income; Interest Rate Sensitive Strategies, which contributed $37.8 million in pretax income; Correspondent Production, which contributed $6.6 million in pretax income; and Corporate with a pretax loss of $10.2 million. During the first 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 $4.2 billion in unpaid principal balance, down 28% from the prior quarter. CRT deliveries totaled $3.2 billion in UPB, which is expected to result in approximately $112 million of new CRT investments once the aggregation period is complete. We also added $67 million in new MSR investments. We continue to reduce our investments in distressed mortgage loans, completing the previously announced sale of $347 million in UPB of nonperforming and performing loans from the distressed mortgage portfolio. In notable activity after the quarter-end, we issued $450 million of 5-year term notes at attractive rates under our Fannie Mae MSR financing structure. PMT's issuance of term notes is an important development for the company's capital structure and represents the culmination of a year-long effort in close partnership with Fannie Mae. The term notes significantly strengthen PMT's liquidity profile…

Thank you, Stan. Let's turn next to Slide 9 for a look at our Correspondent Production highlights. Correspondent acquisitions by PMT in the first quarter totaled $13.1 billion in UPB, down 15% from the prior quarter and 6% year-over-year. Conventional conforming acquisitions, for which PennyMac Financial performed fulfillment services for PMT, totaled $4.2 billion in UPB in the first quarter, down 28% from the prior quarter and 9% year-over-year. Total lock volume was $13.6 billion in UPB, down 14% from the prior quarter and 6% year-over-year. The volume declines were driven by higher mortgage rates and competitive factors as well as some seasonal impact. Pretax income as a percentage of interest rate lock commitments decreased 7 basis points quarter-over-quarter to 15 basis points. The purchase-money percentage of our correspondent acquisition volume was 77% in the first quarter, up from 76% in the prior quarter, and continues to position us well for the forecasted growth in purchase market origination volumes. And as Stan discussed earlier, we are re-emphasizing the prime jumbo product in order to better serve our customers and drive additional purchase volume. The jumbo product also creates potential new investments in the subordinate tranches of future securitizations. Monthly production volumes increased in April. Total correspondent loan acquisitions were $4.7 billion in UPB, while interest rate lock commitments totaled $5.6 billion in UPB, an increase from $4.4 billion in acquisitions and $4.8 billion in locks in April 2017. Now let's turn to Slide 10 and discuss PMT's investments in GSE credit risk transfer. During the quarter, we completed $3.2 billion in UPB of CRT deliveries to Fannie Mae, which is expected to result in commitments to fund approximately $112 million of new CRT investment once the aggregation period is complete. $42 million of this had been invested as of quarter-end.…

Thank you, David. Let's turn to slide 14 and discuss the first quarter's income and return contributions by strategy. PMT's investments in the first quarter generated an annualized return on common equity of 7%, net of all expenses and overhead. In total, credit-sensitive strategies contributed $3.6 million to pretax income or a 2% annualized return on equity during the first quarter. Within the segment, distressed loan investments contributed a loss of $18.4 million in the quarter. Distressed loan investments continued to underperform, primarily driven by valuation losses on both the nonperforming and performing loan portfolios, which I will discuss in more detail on the next slide. CRT investments contributed pretax income of $22 million. As David discussed, the fair value of these investments benefited this quarter from ongoing capital deployment into our current CRT transaction with Fannie Mae and continued strong markets for credit-related investments. Interest rate sensitive strategies, which include the performance of our MSRs, ESS and Agency and non-Agency senior MBS positions and related interest rate hedges together contributed $37.8 million of pretax income or a 22% annualized return on equity in the first quarter. Income from our MSR investments increased as a result of a growing portfolio and market-driven valuation gains. Valuations of MSRs and ESS increased due to lower projected prepayment activity, driven by the rise in interest rates during the quarter. Conversely, the market value of our Agency MBS positions was adversely impacted by the rise in interest rates. While we show the income contribution for each of these interest rate sensitive strategies separately, they are managed together as the interest rate sensitivity of MSRs and ESS is typically inversely correlated to MBS and many of our interest rate hedges. Correspondent Production contributed $6.6 million in the first quarter or an annualized return on equity…

Thank you, Andy. We continued to make advances in the strategic transformation of PMT during the first quarter. We remain focused on reducing the distressed loan portfolio and increasing those initiatives related to correspondent production, which provides such long-term investments as GSE credit risk transfer and mortgage servicing rights. In addition, we continue to pursue initiatives to optimize our liability structure, as evidenced by our recent issuance of term notes to finance Fannie Mae MSRs. Altogether, we believe the combination of our strategies should produce attractive returns on equity, as reflected in our run rate earnings potential. 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'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.