Good afternoon, and welcome to the First 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 thepresentation. Thank you. Now I’d like to introduce David Spector, PMT’s President and Chief Executive Officer who will discuss the Company’s first quarter results.

Thank you, Isaac. For the first quarter 2020, PMT reported net loss attributable tocommon shareholders of $600.9 million, or $5.99 per common share.PMT reports results through four segments: Credit Sensitive Strategies, which contributed $960.5 million in pretax loss; Interest Rate Sensitive Strategies, which contributed $324.8 million in pretax income; Correspondent Production, which contributed $65.3 million in pretax income; and Corporate, with a pretax loss of $14 million.Our results this quarter reflect non-cash fair value losses on GSE credit risk transfer investments related to the COVID-19 crisis, partially offset by outsized results in the interest rate sensitive strategies segment driven by gains on hedge instruments and record correspondent production results. I will discuss these in more detail later in the presentation. Book value per common share was $15.16 at March 31, 2020, down from $21.37 at December 31, 2019 and as previously announced PMT paid a dividend of $0.25 per share for the quarter.PMT’s capital investments this quarter continued to be driven by its conventional loan production volumes which totaled $18 billion dollars in unpaid principal balance, down 20% from the prior quarter while up 100% from the first quarter of 2019. We delivered to Fannie Mae, CRT eligible loans of $14.7 billion in UPB, which resulted in a firm commitment to purchase $555 million of CRT securities. New MSR investments for the quarter totaled $249 million.In February, through our At-The-Market equity offering program, we sold 241,000 common shares at a weighted average price of $23.50 for $5.6 million in net proceeds. And in March, we repurchased approximately 783,000 common shares at a weighted average price of $7.37, at a cost of $5.8 million.Continuing on to Slide 4, after quarter-end we retired our 5.375% senior exchangeable unsecured notes due May 1. In April, we repurchased $123.6 million in principal of the…

Thank you, David. Let’s begin with Slide 14 for a look at our correspondent production highlights. Correspondent acquisitions by PMT from non-affiliated sellers in the first quarter totaled $29.8 billion in UPB, down 20% from the prior quarter and up 100% year-over-year.54% of our acquisitions were conventional loans, and 46% were government loans. Conventional correspondent acquisitions totaled $16.2 billion in UPB, down 21% from the prior quarter and up 99% from the first quarter of 2019. Government loan acquisitions in the quarter, for which PMT earns a sourcing fee from PennyMac Financial, totaled $13.6 billion in UPB, down 18% from the prior quarter and up 102% from the first quarter of 2019.As part of its correspondent loan acquisitions, PMT also acquired conventional loans originated by PFSI totaling $1.9 billion in UPB. These loans were originated through PFSI’s consumer and broker direct lending channels. PMT does not expect to purchase conventional loans originated by PFSI in upcoming quarters. Combined, conventional lock volume totaled $19.1 billion in UPB, down 3% from the prior quarter and up 113% from the first quarter of 2019.According to Inside Mortgage Finance, our acquisition volumes made PennyMac the largest correspondent aggregator in the United States for the third consecutive quarter. As David noted earlier, margins in the correspondent channel have improved significantly since February as certain lenders have reduced or limited their participation.The weighted average fulfillment fee paid to PFSI to facilitate correspondent loan production was 26 basis points, down from 28 basis points in the previous quarter. Purchase-money loans accounted for 58% of total acquisition volume. The number of approved correspondent sellers in our network continued to rise and we reported nearly 700 at quarter end, up from 676 at the end of the prior quarter.Looking at April, volumes and margins remain elevated. Total correspondent loan…

Thank you, Andy. PMT’s financial results in the first quarter reflected the extreme market dislocations resulting from the COVID-19 crisis and were driven by non- cash fair value losses on CRT investments partially offset by outstanding performance from the interest rate sensitive strategies and correspondent production.We believe that the fair value losses recognized on our CRT investments in the first quarter are outsized compared to the additional losses from borrower defaults that we expect to incur over the life of these investments. Furthermore, PFSI, PMT’s manager and subservicer is well-positioned to refinance qualifying borrowers and successfully manage forbearance and other assistance programs to reduce the likelihood of borrower default and ultimate credit losses.We believe that PMT’s performance during this crisis and the strength of PMT’s liquidity and capital position are the direct result of our manager’s steadfast focus on risk management, including interest rate, credit and operational risk disciplines, throughout our more than 10-year history.Unlike other market participants, PMT has not sold any assets to raise liquidity; and as a result of the innovative term financing structure we put in place, PMT has not been subject to margin calls for its CRT investments. While we have curtailed new investments in CRT, recent market dislocations have expanded the opportunity for PMT as certain competitors have limited or reduced their participation in what was already a capacity constrained industry.Looking ahead, we expect improved financial performance and are confident in the return potential of PMT’s investment strategies.

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.