Good afternoon, and welcome to the Second Quarter Earnings Discussion for PennyMac Mortgage Investment Trust. The slides that accompany this discussion are available from PennyMac Mortgage Investment Trust website at www.pennymac-reit.com. Before we begin, let me remind you that our discussion contains forward-looking statements that are subject to the risks identified on slide 2 that could cause our actual results to differ materially. Thank you. Now, I'd like to introduce David Spector, PMT's President and Chief Executive Officer, who will discuss the company's second quarter results.

Thank you, Isaac. For the second quarter 2020, PMT reported net income attributable to common shareholders of $458.4 million or $4.51 per common share. Our record earnings this quarter reflect record correspondent production segment results and the partial recovery in the fair value of our CRT investments from depressed levels at March 31, 2020, as a result of market dislocations related to COVID-19. These earnings were partially offset by fair value losses on MSRs, driven by higher-than-anticipated prepayments during the quarter and expectations for higher prepayments in the future driven by lower rates. Interest rate hedges also recorded fair value losses, driven by elevated hedge costs and fair value losses on options used to hedge MSRs as volatility decreased by June 30. PMT reports results through four segments: credit-sensitive strategies, which contributed $458.8 million in pre-tax income, interest rate-sensitive strategies, which contributed $117.5 million in pre-tax loss, correspondent production, which contributed $139.6 million in pre-tax income, and corporate with a pre-tax loss of $12.8 million. As previously announced, PMT paid a dividend of $0.40 per share for the quarter. Book value per common share was $19.39 at June 30, up from $15.16 at March 31, 2020. PMT's capital deployment this quarter continued to be driven by its conventional loan production volumes, which totaled $18.9 billion in unpaid principal balance, up 17% from the prior quarter and up 76% from the second quarter 2019. New MSR investments for the quarter totaled $203 million and we delivered to Fannie Mae CRT eligible loans of $1.8 billion in UPB, resulting in a firm commitment to purchase $48 million of new CRT securities. In May and June, we repurchased approximately 566,000 shares of PMT at a weighted average price of $13.36 at a cost of $7.6 million. Now let's turn to slide 4 and…

Thank you, David. Let's begin with Slide 9 for a look at our correspondent production highlights. Correspondent acquisitions by PMT in the second quarter totaled $29.9 billion in UPB, up slightly from the prior quarter, and up 40% year over year, 63% of our acquisitions were conventional loans and 37% were government loans. Conventional correspondent acquisitions totaled $18.9 billion in UPB, up 17% from the prior quarter, and up 76% from the second quarter of 2019. Government loan acquisitions in the quarter for which PMT earns a sourcing fee from PennyMac Financial, totaled $11 billion in UPB, down 19% from the prior quarter, and up 4% from the second quarter of 2019. Conventional lock volume was a record $24.8 billion in UPB, up 30% from the prior quarter, and up 96% from the second quarter of 2019. I'm excited to announce that as of July 31, approximately 80% of PMT's correspondent sellers are now on P3, the new correspondent lending portal introduced by PennyMac Financial, our manager and service provider during the second quarter. This portal leverages PennyMac's proprietary technology and Ellie Mae's next-generation Encompass Digital Lending platform for a best-in-class experience. Importantly, P3 seamlessly integrates with PennyMac's proprietary loan bidding system that instantly prices loans for unique characteristics and required returns. We believe that this new system will improve the overall customer experience while also increasing the speed at which we can deploy updates or system enhancements in a rapidly changing mortgage market environment. Higher-margin best efforts commitments increased to 38% of lock volume in the second quarter from 23% in the prior quarter, enabled by our strong capital position and our managers' expertise to efficiently hedge production pipelines across different market environments. Looking at July, volumes remain elevated. Total correspondent loan acquisitions for the month were $12.7 billion…

Thank you, Vandy. Let's turn to slide 16 and discuss the second quarter results and return contributions by strategy. PMT's activities in the second quarter reflected a net income attributable to common shareholders of $458.4 million or an annualized return on common equity of 103% net of all expenses. In total, credit-sensitive strategies contributed $458.8 million of pre-tax income or a 283% annualized return on equity for the quarter. Within the segment, CRT investments contributed pre-tax income of $457.4 million, which I will expand upon later. 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 a pre-tax loss of $117.5 million or a negative 64% annualized return on equity for the quarter. As Vandy discussed earlier, the segment results were primarily driven by fair value losses on MSR assets and interest rate hedges. 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 the MSRs and ESS has typically been inversely correlated to that of the MBS and our interest rate hedges. Correspondent production contributed a record $139.6 million to pre-tax income or a 122% annualized return on equity for the quarter, driven by record-high margins and strong production volumes. The corporate segment contributed a pre-tax loss of $12.8 million. And finally, we recorded $3.4 million in income tax expense. Now let's turn to slide 17 to discuss the performance of PMT's CRT investments in the second quarter. PMT's CRT investments contributed $457.4 million of pre-tax income in the second quarter, consisting of $403.1 million in gains from market-driven value changes and $54.3 million of income, excluding market-driven value changes. Market-driven value changes on our existing CRT investments included fair…

Thank you, Andy. PMT delivered record earnings in the second quarter, rebounding from the significant first quarter loss, which drove a substantial recovery in book value from the prior quarter. As a result of our managers' commitment to risk management and operational discipline, PMT not only protected the value of its assets in a volatile year-to-date period, but was able to continually acquire, fund, and settle loans throughout the crisis as others retreated. This led to record profitability in the correspondent production segment. Additionally, PMT's CRT investments recorded substantial fair value gains as they benefited from the significant recovery in the value of risk assets and elevated prepayments throughout the quarter. At the same time, our manager and service provider, PFSI, continues to closely work with borrowers affected by the pandemic to help them successfully refinance or modify their loans to emerge from forbearance plans. Looking ahead, we project book value growth as we expect the earnings potential of PMT's investment strategies to exceed the current dividend level.

This concludes PennyMac Mortgage Investment Trust's second 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.