Good afternoon, and welcome to the Fourth Quarter 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 $35.4 million or $0.55 per share. Annualized return on average common equity for the quarter was 11%, down from 13% in the prior quarter. PMT paid a dividend of $0.47 per share for the quarter, and book value per common share increased to $20.61 at quarter-end from $20.48 at September 30, 2018. Our operating results reflect solid contributions from our GSE credit risk transfer or CRT investments and Interest Rate Sensitive Strategies. Fair value declines in CRT and mortgage servicing rights investments held in PMT's taxable subsidiary drove $15.4 million in income tax benefits. PMT reports results through 4 segments: Credit Sensitive Strategies, which contributed $17.9 million in pretax income; Interest Rate Sensitive Strategies, which contributed $20.1 million in pretax income; Correspondent Production, with a pretax loss of $600,000; and Corporate, with a pretax loss of $11.2 million. During the fourth quarter, PMT continued to deliver growth in its core investments in CRT and MSRs resulting from its own Correspondent Production activities. Conventional Correspondent Production totaled $9 billion in unpaid principal balance or UPB, up 21% from the prior quarter, and conventional loan acquisitions from PennyMac Financial totaled $879 million in UPB, down slightly from the prior quarter. Loans eligible for CRT deliveries totaled $8.1 billion in UPB, resulting in firm commitments to purchase $310 million of CRT securities. New MSR investments added during the quarter totaled $128 million, up from $96 million added in the third quarter. Lastly, we completed $267 million in UPB of sales of performing and non-performing loans from our distressed portfolio. Now let's turn to Slide 4 and discuss the current market environment. The fourth quarter saw increased market volatility as a result of…

Thank you, Stan. Let's start with Slide 9 for a look at our Correspondent Production highlights. Correspondent acquisitions by PMT in the third quarter totaled $18.1 billion in UPB, up 9% quarter-over-quarter and up 17% year-over-year. Conventional conforming acquisitions for which PennyMac Financial performed fulfillment services for PMT totaled $9 billion in UPB in the fourth quarter, up 21% from the prior quarter and up 54% year-over-year. Government acquisitions were down 1% quarter-over-quarter while down 7% year-over-year. Total lock volume was $19.1 billion in UPB, up 7% from the prior quarter and 20% year-over-year. Additionally, PMT acquired $879 million in UPB of conventional conforming loans originated by PennyMac Financial during the fourth quarter, down slightly from the $897 million in the prior quarter. Correspondent Production recorded a small pretax loss in the fourth quarter compared to pretax income as a percentage of locks of 7 basis points in the prior quarter. While the market for conventional conforming loans remains competitive, our Correspondent Production segment results reflect PMT's ability to create attractive long-term investments in CRT and MSRs from its production. The weighted average fulfillment fee in the third quarter was 32 basis points, down from 35 basis points in the previous quarter, reflecting discretionary reductions made by PennyMac Financial to help facilitate successful loan acquisitions. We experienced substantial growth in our correspondent seller relationships during the fourth quarter, reaching 710 correspondent clients at quarter-end, up from 655 at September 30. This growth reflects our ongoing strategic initiatives to attract community banks and credit unions and our continued focus on growing the non-delegated business. In the fourth quarter, we originated $120 million in UPB of non-delegated correspondent loans, up 61% from $75 million in the prior quarter. Purchase-money loans comprised 88% of total fourth quarter acquisitions, up from 87% in the…

Thank you, David. Let's turn to Slide 14 and discuss the fourth quarter's income and return contributions by strategy. PMT's activities in the fourth quarter generated an annualized return on common equity of 11%, net of all expenses. In total, Credit Sensitive Strategies contributed $17.9 million to pretax income or an 11% annualized return on equity for the quarter. Within the segment, CRT investments contributed pretax income of $21.8 million, which I will expand upon in the next slide. Distressed loan investments contributed a $4.1 million pretax loss, down from a $9 million loss in the third quarter, primarily resulting from improved performing loan valuations and lower expenses as a result of a smaller portfolio. 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 $20.1 million of pretax income or a 10% annualized return on equity for the quarter. The fair value of our MSR investments declined due to the decrease in mortgage rates at the end of the quarter and was largely offset by the increase in the fair value of our Agency MBS positions. 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 that of MBS and our other interest rate hedges. Correspondent Production contributed a pretax loss of $600,000, driven by the market factors David discussed earlier. The Corporate segment contributed an $11.2 million pretax loss. Lastly, as Stan mentioned, fair value declines in PMT's taxable REIT subsidiary drove a $15.4 million benefit for income tax expense. Now let's turn to Slide 15 and break down the performance of our GSE credit risk transfer investments. Our CRT investments contributed $21.8 million of pretax income in the quarter, consisting of $5.7 million of losses from market-driven value changes, more than offset by $27.6 million of income from net realized gains and net interest income. Losses from market-driven value changes consisted of $19.6 million driven by credit spread widening on existing CRT investments, partially offset by $13.9 million of net gain on mortgage loans acquired for sale relating to the fair value recognition upon loan delivery under firm commitment to purchase CRT securities under the new REMIC structure. Excluding market-driven value changes, income related to our CRT investments totaled $27.6 million. Realized gains on existing CRT investments totaled $30.1 million, while losses recognized during the quarter totaled $0.7 million. Interest income, which we earn on cash deposits securing CRT investments, was $6.7 million, while interest expense, which relates to the financing of these investments, was $8.5 million. And with that, I'll turn the discussion back over to Stan for some closing remarks.

Thank you, Andy. PMT's partnership with PennyMac Financial and exclusive access to unique investments in GSE CRT and MSR from its own conventional Correspondent Production have delivered strong results, placing PMT among the top performing residential mortgage REIT stocks in 2018. We remain focused on prudently growing PMT's core investments in CRT and MSRs while continuing to seek attractive new opportunities in the dynamic U.S. mortgage market. The recent launch of HELOC and prime non-QM products by our manager and service provider, PennyMac Financial, is expected to leverage PMT's ability to securitize and retain credit risk investments from securitizations while further diversifying its investment portfolio. 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 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. End of Q&A: