Good afternoon, and welcome to the third 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. Let's begin with Slide 3. For the third quarter, PMT reported net income attributable to common shareholders of $40.3 million or $0.62 per diluted share, representing an annualized return on average common equity of 13%, up from 10% in the prior quarter. PMT paid a dividend of $0.47 per share for the quarter. Book value per common share increased to $20.48 at quarter end, from $20.27 at June 30, 2018. Our operating results reflect strong contributions from our GSE credit risk transfer and mortgage servicing rights investments, along with an increased contribution from Correspondent Production. PMT reports results through 4 segments: Credit Sensitive Strategies, which contributed $33.1 million in pretax income; Interest Rate Sensitive Strategies, which contributed $24.1 million in pretax income; Correspondent Production, which contributed $6 million in pretax income; and Corporate, with a pretax loss of $11.5 million. During the third quarter, PMT delivered strong growth in its core investment in credit risk transfer and mortgage servicing rights, resulting from its Correspondent Production activities. Conventional Correspondent Production totaled $7.5 billion in unpaid principal balance, up 39% from the prior quarter, and conventional loan acquisitions from PennyMac Financial totaled $0.9 billion, up 41% from the prior quarter. Loans eligible for CRT deliveries totaled $6.8 billion in unpaid principal balance, resulting in a firm commitment to purchase $237 million of CRT securities. New MSR investments added during the quarter totaled $96 million. Lastly, we completed the previously announced sale of $96 million in UPB of performing loans from our distressed portfolio. Following quarter end, we entered into 4 agreements to sell a total of approximately $300 million of UPB of performing and nonperforming loans from our distressed portfolio, continuing to reduce our investment in this asset class, which David will discuss in more detail later. Now let's…

Thank you, Stan. Let's turn next to Slide 10 for a look at our Correspondent Production highlights. Correspondent acquisitions by PMT in the third quarter totaled $16.5 billion in UPB, up 10% from the prior quarter, while down 5% year-over-year. Conventional conforming acquisitions, for which PennyMac Financial performed fulfillment services for PMT, totaled $7.5 billion in UPB in the third quarter, up 39% from the prior quarter and 15% year-over-year. PMT also acquired $897 million in UPB of conventional conforming loans originated by PennyMac Financial during the third quarter, up 41% from $634 million in the prior quarter. Total lock volume was $17.7 billion in UPB, up 9% from the prior quarter and 2% year-over-year. Pretax income as a percentage of locks was 7 basis points in the third quarter, unchanged from the prior quarter. While the market for conventional conforming loans remains competitive, our Correspondent Production segment results reflects PMT's unique capabilities and improved market conditions during the quarter. The weighted average fulfillment fee in the third quarter was 35 basis points, up from 27 basis points from the previous quarter, which reflects lower discretionary reductions by PennyMac Financial to facilitate successful loan acquisitions by PMT. Purchase money loans comprised 87% of total third quarter acquisitions, up from 85% in the prior quarter, and 83% in the third quarter of 2017. We remain focused on growing correspondent seller relationships through initiatives to expand non-delegated relationships and targeted efforts aimed at growing relationships with community banks and credit unions who can benefit from our operational scale and risk management expertise. Monthly production volumes remained strong in October. Total correspondent loan acquisitions were $6.3 billion in UPB, while interest rate lock commitments totaled $6.8 billion in UPB. Now let's turn to Slide 11, and discuss PMT's investments in GSE credit risk…

Thank you, David. Let's turn to Slide 15, and discuss the third quarter's income and return contributions by strategy. PMT's investments in the third quarter generated an annualized return on common equity of 13%, net of all expenses. In total, Credit Sensitive Strategies contributed $33.1 million to pretax income or a 19% annualized return on equity during the third quarter. Within the segment, CRT investments contributed pretax income of $42.1 million. These investments benefited from continued strong markets for credit-related investments, in addition to growth of our CRT investments. Distressed loan investments underperformed and contributed a loss of $9 million in the quarter, which I will discuss in further detail on the next slide. 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 $24.1 million of pretax income or a 14% annualized return on equity for the quarter. Income from MSRs and ESS benefited from market-driven valuation changes due to higher mortgage rates and expectations for lower prepayment activity. Conversely, the market value of our Agency MBS positions were adversely impacted by the increase in mortgage rates during the quarter. 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 inversely correlated to MBS and many of our interest rate hedges. Correspondent Production contributed $6 million in the third quarter or an annualized return on equity of 22%, and benefited from the quarterly increase in conventional loan production and other factors David discussed earlier. The contributions from PMT's investment strategies were reduced by $11.5 million of corporate expenses and $5.1 million of income tax expense. Now let's turn to Slide 16 and discuss the performance of PMT's distressed loan investments in greater detail. Net losses on nonperforming and performing loans totaled $3.1 million compared to $4.7 million in the prior quarter. Valuation losses on nonperforming loans were $2 million and were driven by an adverse impact from higher projected costs related to liquidation and protecting PMT's lien interest. Also, sales of deeply delinquent nonperforming loans resulted in a loss of approximately $2 million. For distressed loans and REO liquidated or sold during the quarter, $12.3 million in net valuation gains were recognized over the holding period of the assets, while $227,000 of gains were realized at time of liquidation. The liquidation and paydown of mortgage loans and REO generated gross proceeds of $30.1 million and $8.3 million in net cash proceeds after debt repayment and related expenses. Meanwhile, the bulk sale of performing loans that closed during the quarter generated $89.5 million in gross proceeds and $24.5 million in net proceeds, after debt repayment and related expenses. And with that, I'll turn the discussion back over to Stan for some closing remarks.

Thank you, Andy. PMT's unique investment strategies and capabilities to organically create attractive investments, sourced from its loan production business, are delivering strong returns. Our correspondent business has delivered profitable volume growth this year, driving increased capital deployment into attractive CRT and MSR investments. Our new REMIC structure for CRT investments allows a greater percentage of loans to be eligible for CRT, further accelerating growth of this opportunity. Looking forward, we see tremendous opportunities in the mortgage market as we focus on product expansion in the prime, non-agency and HELOC markets, to continue to drive investment opportunities and leverage our mortgage market expertise and risk management capabilities. 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 third 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.