Good afternoon, and welcome to the Second Quarter 2021 Earnings Discussion for PennyMac Mortgage Investment Trust. The slides that accompany this discussion are available on PennyMac Mortgage Investment Trust’s 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 Chairman and Chief Executive Officer who will discuss the Company’s second quarter 2021 results.

Thank you, Isaac. PMT produced another strong quarter of financial results with net income attributable to common shareholders of $31.9 million, or diluted earnings per common share of $0.32. These results were driven by strong correspondent production segment results and the performance of its GSE credit risk transfer investments. PMT’s MSR fair value declined due to lower mortgage rates which increase the refinance potential for loans in our portfolio. These losses were partially offset by fair value gains on interest rate hedges and Agency MBS. PMT paid a common dividend of $0.47 per share. Book value per share decreased slightly to $20.77 from $20.90 at the end of the prior quarter. In this dynamic mortgage market, PMT is uniquely positioned to capitalize on current and evolving investment opportunities given its scale and importance in the home ownership ecosystem. In addition to benefiting from the historically large origination market we are currently in, PMT also benefits from strong demographic and secular trends driving growth in purchase activity. With a new administration in the White House and changes at the FHFA, we are likely to see an increasingly focused regulatory environment. As the GSE footprint continues to change, we also expect additional demand for private capital in the mortgage markets and we believe that well-capitalized aggregators with expertise in the capital markets will be best-positioned for success. Large correspondent aggregators with scalable technology, flexibility and capital resources, like PMT, will become increasingly more important. Our high-quality loan production in the quarter resulted in the creation of more than $400 million in new, low-coupon mortgage servicing rights and PMT ended the quarter with approximately $2.6 billion in fair value of MSRs. At our Investor Day, we discussed a potential new investment opportunity for PMT related to securitization of non-owner occupied loans. This quarter, we purchased $13 million in face amount of a securitization of non-owner occupied loans totaling $248 million in UPB, sourced organically from PMT’s conventional correspondent production volumes. We believe this to be an important investment going forward and Vandy Fartaj, PMT’s Chief Investment Officer, will discuss this later on in the presentation. With that, I will now turn it over to Andy Chang, PMT’s Senior Managing Director and Chief Operating Officer.

Thank you, David. I will discuss the mortgage origination landscape and how we believe we have positioned PMT to continue delivering attractive risk-adjusted returns to our shareholders. The origination market continues to be strong on a historical basis as mortgage rates have recently returned to near-record lows. Additionally, we believe FHFA’s elimination of the Adverse Market Refinance Fee has resulted in a larger population of loans that would benefit from a refinance at today’s lower rates, further supporting the origination market. Recent economic forecasts for 2021 originations range from $3.6 trillion to $4.2 trillion, while average forecasts for 2022 originations remain strong at $2.7 trillion. It is worth noting that purchase originations are expected to grow and are forecasted to be $1.7 trillion and $1.9 trillion in 2021 and 2022, respectively. So while refinance origination volumes are expected to decline significantly over the next several years as a result of higher interest rates, we believe PMT is well positioned to continue organically creating investments – especially as one of the largest producers of purchase money loans in the U.S. PMT’s capital deployment is primarily focused on the large opportunity in conventional correspondent production and the related high-quality mortgage servicing rights. As you can see on Slide 7 of our presentation, during the second quarter, runoff from prepayments on our CRT assets was mostly offset by net investments in MSR and from private label securitizations. As David mentioned, PMT’s position as an industry-leading producer of mortgage loans gives us a unique ability to create attractive, high-quality, organic investments. Furthermore, PennyMac Financial’s history as a leading servicer of the loans underlying PMT’s investments further enhances the risk-adjusted return profile of those investments. On Slide 8, we illustrate the run rate return potential from PMT’s investment strategies, which represents the average annualized return…

Thank you, Andy. Let’s begin with highlights in our Correspondent Production segment. Total correspondent acquisition volume in the quarter was $46.7 billion in UPB, down 9% from the prior quarter and up 56% from the second quarter of 2020. 65% of PMT’s acquisition volumes were conventional loans, essentially unchanged from the prior quarter. We maintained our leadership position in the channel as a result of our consistency, competitive pricing, and the operational excellence we continue to provide to our correspondent partners. PMT ended the quarter with 752 correspondent seller relationships, up from 727 at March 31. Conventional lock volume in the quarter was $30.3 billion in UPB, down 11% from the prior quarter and up 22% year-over-year. Margins in the channel decreased over the quarter and PMT’s Correspondent Production segment pre-tax income as a percentage of interest rate lock commitments was 6 basis points, down from 10 basis points in the prior quarter. Acquisition volumes in July were $15 billion in UPB, and locks were $12.8 billion in UPB. PMT’s Interest Rate Sensitive strategies consist of our investments in MSRs sourced from our correspondent production, and investments in Agency MBS, non-Agency senior MBS and interest rate derivatives with offsetting interest rate exposure. The fair value of PMT’s MSR asset at the end of the second quarter was $2.6 billion, up from $2.4 billion at the end of the prior quarter. The increase reflects new MSR investments that more than offset fair value losses and prepayments. Now I would like to discuss PMT’s Credit Sensitive Strategies, which primarily consist of investments in CRT. The total UPB of loans underlying our CRT investments as of June 30th was $41 billion, down 15% quarter-over-quarter. Notably, PMT’s L Street Securities Trust 2020-PMT1 recognized increased runoff during the quarter, as prepayments surpassed a contractual threshold,…

Thank you Vandy. PMT reports results through four segments: Credit Sensitive Strategies, which contributed $78.5 million in pre-tax income; Interest Rate Sensitive Strategies, which contributed $65.4 million in pre-tax loss; Correspondent Production, which contributed $19 million in pre-tax income; and the Corporate segment, which had a pretax loss of $18.3 million. The contribution from PMT’s CRT investments totaled $80.9 million. This amount included $38.7 million in market-driven value gains, reflecting the impact of credit spread tightening and elevated prepayment speeds. As a reminder, faster prepayment speeds benefit PMT’s CRT investments as payoffs of the associated loans reduce potential for realized losses. Net gain on CRT investments also included $39.1 million in realized gains and carry, $20.2 million in net losses reversed, primarily related to L Street Securities 2017-PM1, which Vandy discussed earlier, $200,000 in interest income on cash deposits, $15.5 million of financing expenses, and $1.8 million of expenses to assist certain borrowers in mitigating loan delinquencies they incurred as a result of dislocations arising from the COVID-19 pandemic. PMT’s interest rate sensitive strategies contributed a loss of $65.4 million in the quarter. MSR fair value decreased $230 million during the quarter. $195 million of valuation losses were due to increased expectations for prepayment activity in the future due to lower mortgage rates and a flatter yield curve, and $35 million in additional valuation losses were primarily driven by elevated levels of prepayment activity. The MSR fair value declines were partially offset by gains of $121 million on Agency MBS and interest rate hedges. Valuation-related losses in the quarter were somewhat offset by income excluding market-driven value changes, as servicing fees increased from the prior quarter primarily due to a larger servicing portfolio. We believe over time, our results have demonstrated successful hedging of mortgage servicing rights in volatile markets. PMT’s Correspondent Production segment contributed $19 million to pre-tax income for the quarter, down from $35.6 million in the prior quarter as a result of lower volumes and lower gain-on-sale margins. PMT’s Corporate segment includes interest income from cash and short-term investments, management fees and corporate expenses. The segment’s contribution for the quarter was a pre-tax loss of $18.3 million. Finally, we recognized a tax benefit of $24.3 million in the second quarter, driven by fair value declines in MSRs held in PMT’s taxable subsidiary. And with that, I’ll turn the discussion back over to David for some closing remarks.

Thank you, Dan. PMT continues to take advantage of its position as the largest correspondent aggregator in the U.S. and its synergistic relationship with PFSI. The infrastructure we have in place for PMT to source investments organically has proven to be a unique competitive advantage unmatched in the industry. PMT demonstrated this by successfully completing its first purchase of subordinate bonds related to a private label securitization of non-owner occupied loans acquired in PMT’s correspondent production business. Additionally, we believe these new investments offer compelling, long-term returns and benefit from PFSI’s industry-leading fulfillment process and position as the servicer of the underlying loans. While the recent decline in interest rates combined with FHFA’s elimination of the Adverse Market Refinance Fee is expected to have a mark-to-market impact on PMT’s MSR value, these factors have meaningfully increased the population of loans that would benefit from a refinance. So given a continuation of the vibrant origination market, combined with PMT’s high-quality interest rate sensitive and credit investments, we remain confident in PMT’s ability to continue delivering strong risk-adjusted returns to its shareholders. 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 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.