Good afternoon and welcome to the Fourth Quarter and Full Year 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. Now I’d like to introduce David Spector, PMT’s Chairman and Chief Executive Officer who will discuss the company’s fourth quarter and full year 2021 results.

Thank you, Isaac. For the fourth quarter 2021, PMT reported a net loss attributable to common shareholders of $27.3 million or $0.28 per common share, driven primarily by fair value declines in its interest rate sensitive strategies. These impacts were partially offset by strong returns in our credit sensitive strategies, which consist of investments in GSE credit risk transfers and investments in non-Agency subordinate bonds. During the quarter, we repurchased 2.2 million common shares of PMT common stock for $39 million. PMT paid a common dividend of $0.47 per share. Book value per share decreased to $19.05 from $19.79 at the end of the prior quarter. Our high quality loan production continues to organically generate assets for PMT and this quarter, $17.2 billion in UPB of conventional correspondent production led to the creation of $239 million in new, low-coupon mortgage servicing rights. We continue to create new credit investments in the form of subordinate bonds from non-Agency investor loan securitizations, also sourced from PMT’s production volumes. This quarter, PMT successfully completed two securitizations with an aggregate UPB of $713 million. In total, the fair value of PMT’s investments in investor loan securitizations, net of associated asset-backed financing was approximately $87 million at the end of the year. The origination market is projected to decline substantially in 2022. Inside Mortgage Finance estimates the 2021 origination market was $4.8 trillion and current forecasts for 2022 total $3.1 trillion, a reduction of 35% year-over-year. However, purchase originations are expected to remain strong at $2 trillion in 2022. The smaller origination market, combined with significant levels of competition for conventional loans in the correspondent channel, including from the GSEs, is expected to result in headwinds for PMT’s correspondent production business in the near-term. Despite these headwinds, however, we believe PMT’s scale and purchase market…

Thank you, David. Let’s begin with highlights in our Correspondent Production segment. Total correspondent acquisition volume in the quarter was $32.8 billion, down 25% from the prior quarter and down 42% from the fourth quarter of 2020. 52% of PMT’s acquisition volumes were conventional loans, down from 65% in 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 nearly 770 correspondent sellers. Conventional lock volume in the quarter was $14.7 billion, down 50% from the prior quarter and down 63% year-over-year as we maintained our pricing discipline despite significant competition for conventional loans in a smaller origination market, including the GSE cash window. PMT’s Correspondent Production segment pre-tax income as a percentage of interest rate lock commitments was 3 basis points, down from 9 basis points in the prior quarter. The weighted average fulfillment fee rate in the fourth quarter was 12 basis points, down from 15 basis points in the prior quarter, reflecting discretionary reductions made by PFSI to facilitate successful loan acquisitions by PMT. Acquisition volumes in January were $7.6 billion in UPB, and locks were $7.5 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 investments at the end of the fourth quarter was $2.9 billion, up slightly from $2.8 billion at the end of the prior quarter. The increase reflects newly originated MSRs resulting from conventional production volumes that more than offset fair value declines and prepayments. Similarly, the UPB of loans underlying PMT’s MSR investments totaled $216 billion, up from $212 billion.…

Thank you, Vandy. PMT reports results through four segments: Credit Sensitive Strategies, which contributed $33.2 million in pre-tax income; Interest Rate Sensitive Strategies, which contributed $43.2 million in pre-tax loss; Correspondent Production, which contributed $4.6 million in pre-tax income; and the Corporate segment, which had a pre-tax loss of $14 million. The contribution from PMT’s CRT investments totaled $31.3 million. This amount included $1.6 million in market-driven value gains, reflecting the impact of slight 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 $26.9 million in realized gains and carry, $14.5 million in net losses reversed, primarily related to L Street Securities 2017-PM1 which Vandy discussed earlier, $100,000 in interest income on cash deposits, $11.7 million of financing expenses, and $200,000 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 $43.2 million in the quarter. MSR fair value decreased a total of $84 million during the quarter and included $49 million in fair value declines due to changes in interest rates, primarily due to a significant flattening of the yield curve, and $35 million of valuation decreases due to increases to short-term prepayment projections. The fair value on Agency MBS and interest rate hedges also declined by $7 million largely due to elevated hedge costs during the quarter. PMT’s Correspondent Production segment contributed $4.6 million to pre-tax income for the quarter. 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 $14 million. Finally, we recognized a tax benefit of $2.6 million in the fourth 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. As the market transitions to a higher rate environment, we believe the return volatility of our investments will stabilize and the competitive climate will improve as correspondent aggregators adjust capacity to the new market. Until that takes place, we expect headwinds for the return potential of PMT’s strategies. However, there are significant investment opportunities we are pursuing in the form of private-label securitization and the potential to resume new CRT investments and we are encouraged by our continued active discussions with the GSEs and FHFA on that front. As a public company in our 13th year of operations with a very seasoned management team, we have been disciplined through numerous mortgage cycles and have a strong track record of performance throughout our history. While we acknowledge the headwinds in this currently transitioning mortgage market, we are optimistic about PMT’s ability to execute on opportunities and deliver attractive risk-adjusted returns to shareholders over the long-term. We encourage investors with any questions to reach out to our Investor Relations team by email 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.