Good afternoon and welcome to the First Quarter Earnings Discussion for PennyMac Mortgage Investment Trust. The slides that accompany this discussion are available on 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. Now, I’d like to introduce David Spector, PMT’s Chairman and Chief Executive Officer who will discuss the company’s first quarter 2022 results.

Thank you, Isaac. For the first quarter 2022, PMT reported a net loss attributable to common shareholders of $29.6 million or $0.32 per common share as fair value declines in its credit sensitive strategies due to credit spread widening and a tax provision in its taxable REIT subsidiary more than offset strong performance from the interest rate sensitive strategies. During the quarter, we repurchased 2 million shares of PMT’s common stock for $32 million. And in April, we repurchased an additional 990,000 shares for an approximate cost of $15 million. PMT paid a common dividend of $0.47 per share. Book value per share decreased to $17.87 from $19.05 at the end of the prior quarter. Dan Perotti, Senior Managing Director and Chief Financial Officer will review additional details of PMT’s financial performance later on in this discussion. The strength of PMT’s is its ability to organically generate investments through our high-quality loan production sourced from corresponding sellers across the country. This quarter $9.8 billion in UPB of conventional correspondent production led to the creation of $195 million in new 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 loan production volumes. This quarter, PMT successfully completed a securitization, with an aggregate UPB of $420 million. In total, the fair value of PMT’s investments in investor loan securitizations was approximately $103 million at March 31, 2022. The rapid and significant increases in mortgage interest rates, has impacted the origination market considerably. Current economic forecasts for 2022 total originations range from $2.6 trillion to $3.1 trillion. While there is potential for forecasted loan volumes to decrease further as the unprecedented increase in rates continue to be absorbed by the markets, PennyMac remains well-positioned as the largest…

Thank you, David. The rapid shift in market interest rates and credit spreads created opportunities for PMT to make investments in addition to those normally created from its correspondent production activities. Although our ability to organically produce investments distinguishes PMT from most other public mortgage REITs, we also have the strong balance sheet and risk management capabilities necessary to deploy capital in investments from third-parties when attractive opportunities arise. In our credit sensitive strategies, we invested $86 million in floating rate CRT bonds recently issued by Freddie Mac and Fannie Mae in three separate transactions during the quarter. After quarter end, we invested an additional $31 million in floating rate CRT bonds, recently issued by Freddie Mac and Fannie Mae in two separate transactions. And in our interest rate sensitive strategies during the quarter, we invested $27 million in fixed rate bonds from a senior tranche of a recently completed jumbo securitization. On Slide 7 of our first quarter earnings presentation, we illustrate the run-rate potential from PMT’s investment strategies, which represents the average annualized return and quarterly earnings potential that PMT expects over the next four quarters. In total, we expect a quarterly run-rate return for PMT’s strategies to average $0.39 per share or an 8.7% annualized return on equity. This run-rate potential reflects performance expectations in the highly competitive transitioning mortgage market. In our credit sensitive strategies, the potential return from PMT’s organically created CRT investments increased from last quarter reflecting credit spreads that widened. In addition, we expect to continue investing in the subordinate tranches of bonds that result from private label securitizations of agency eligible investor loans albeit at a slower pace than the last several quarters due to the decline in market origination volumes. In the interest rate sensitive strategies, we expect more consistent returns…

Thank you, Vandy. PMT reports results through four segments; Credit Sensitive Strategies, which contributed $56 million in pre-tax loss, Interest Rate Sensitive Strategies, which contributed $84.2 million in pre-tax income, Correspondent Production which contributed $4.6 million in pre-tax income, and the Corporate segment, which had a pre-tax loss of $14.8 million. For losses on PMT’s organically created CRT investments this quarter totaled $47.8 million. This amount included $74.9 million in market driven fair value losses, reflecting the impact of wider credit spreads. Losses on PMT’s organically created CRT investments also included $23.3 million in realized gains and carry. $16 million in net recoveries of previously realized losses, primarily related to L Street securities 2017-PM1, $200,000 in interest income on cash deposits, $10 million of financing expenses and $2.5 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 income of $84.2 million in the quarter. MSR fair value increased $393 million during the quarter driven by higher mortgage rates, resulting in expectations for lower prepayment activity in the future. These fair value gains held in PMT’s taxable REIT subsidiary resulted in a provision for tax expense of $37 million. The fair value on Agency MBS and interest rate hedges declined by $351 million primarily driven by higher interest rates. PMT’s Correspondent Production segment contributed $4.6 million of 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 $14.8 million. As David mentioned book value decreased at $17.87 from $19.05 at the end of the prior quarter. The decline in book value per share is outsized relative to PMT’s performance this quarter as a recent accounting change beginning in 2022 required us to reclassify the portion of PMT senior notes that are exchangeable for PMT common shares originally allocated to additional paid in capital to the carrying value of the exchangeable senior notes. Pro forma for this change book value at December 31 was $18.60. And with that, I will turn the discussion back over to David for some closing remarks.

Thank you, Dan. While fair value impacts drove a net loss for PMT this quarter, changes in the current market environment have provided additional opportunities for new investments with attractive long-term risk adjusted returns. Though the current market environment remains challenging, I am confident in this management team’s ability to deliver strong performance to PMT shareholders over the longer 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 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.