Good afternoon, and welcome to the Second Quarter 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 second quarter 2022 results.

Thank you, Isaac. PMT reported a net loss of $81.2 million, or $0.88 per common share for the second quarter, as fair value declines in its credit sensitive strategies due to continued spread widening more than offset strong performance from its strategies excluding the impacts of market-driven fair value changes. Additionally, PMT recorded a tax expense related to fair value gains on its MSR assets in its taxable REIT subsidiary, which also impacted results. PMT paid a common dividend of $0.47 per share. Book value per share decreased to $16.59 from $17.87 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. During the quarter, we repurchased 1.9 million shares of PMT’s common stock for $28 million at an average price of $14.72, significantly below current book value per share; and in July we repurchased an additional 510,000 shares, for an approximate cost of $7.3 million at $14.30 per share. One of PMT’s greatest strengths is its ability to organically generate investments through our high-quality loan production sourced from correspondent sellers across the country. This quarter, $10.3 billion in UPB of conventional correspondent production led to the creation of $171 million in high-quality mortgage servicing rights. Although current forecasts for 2022 total originations range from $2.4 trillion to $2.8 trillion primarily due to activity in the first half of the year, mortgage application indices point to further declines in the second half as the market reacts to the rapid increase in mortgage rates. While we believe there is potential for these forecasts to decrease further, we believe PMT’s leadership as the largest correspondent aggregator and one of the largest producers of purchase-money loans in the country positions us well to execute over the long-term. Now I’d like to turn the call over to Vandy Fartaj, Senior Managing Director and Chief Investment Officer, who will talk about potential investment opportunities, drivers of PMT’s outlook and second quarter investment performance.

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. Year-to-date, we have invested nearly $170 million in these investments and continue to monitor the market for opportunities to deploy capital at attractive returns. We remain prudent and selectively deploying capital, given the currently volatile and uncertain mortgage landscape. Turning to lender-based CRT, PMT is a leader in lender risk share transactions, with nearly $120 billion in UPB of loans sold to Fannie Mae from 2015 to 2020. While we are not currently delivering loans into CRT transactions, we are actively engaged in discussions with the GSEs regarding the potential resumption of lender risk share investments. We believe we are well-positioned to lead broadly on this effort given our history, platform and expertise. Because of the greater capital relief CRT provides the GSEs under the amended Enterprise Regulatory Capital Framework, and the additional private capital CRT provides to the housing ecosystem, we remain optimistic for the future of lender risk share. Most importantly, the alignment of interest as acquirer and servicer of the loans should be compelling for the GSEs, given we can work directly with our borrowers in times of hardship. While our ongoing discussions with the GSEs are encouraging, we have no further update on the potential resumption of our lender risk share transactions. Let’s now take a look at our potential returns across the investment portfolio. On slide 6 of our second quarter earnings presentation, we illustrate…

Thank you, Vandy. PMT reports results through four segments: Credit Sensitive Strategies, which contributed $63.7 million in pretax loss; Interest Rate Sensitive Strategies, which contributed $29.4 million in pretax income; Correspondent Production, which contributed $9.8 million in pretax income; and the Corporate segment, which had a pretax loss of $15.3 million. The losses on PMT’s organically-created CRT investments this quarter totaled $49.8 million. This amount included $67 million in market-driven fair value losses, reflecting the impact of wider credit spreads. Losses on PMT’s organically-created CRT investments also included $20.2 million in realized gains and carry, $4.5 million in net recoveries of previously-realized losses, primarily related to L Street Securities 2017-PM1, $2.4 million in interest income on cash deposits, $9.7 million of financing expenses, and $100,000 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 income of $29.4 million in the quarter. MSR fair value increased $220 million during the quarter driven by higher mortgage rates, resulting in expectations for lower prepayment activity in the future. These fair values gains held in PMT’s taxable REIT subsidiary resulted in a provision for tax expense of $31 million. The fair value of Agency MBS and interest rate hedges declined by $234 million primarily driven by higher interest rates. PMT’s Correspondent Production segment contributed $9.8 million of pretax 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 pretax loss of $15.3 million. Excluding market-driven value changes, and the related tax impact, PMT reported $55.8 million of net income across its strategies. Successfully navigating a challenging mortgage environment requires a strong balance sheet, expertise in the capital…

Thank you, Dan. The recent increase in spreads has improved our projected return potential for PMT’s investment portfolio going forward and presents opportunities to prudently invest additional capital at attractive risk-adjusted returns. With our deep management team that has years of experience executing through mortgage cycles, a strong balance sheet, sophisticated financing structures and hedging strategies that mitigate volatility in book value and preserve a strong liquidity position, PMT is well-positioned to deliver attractive returns to its shareholders in the long-term. We encourage investors with any questions to reach out to our Investor Relations team by email or phone. Thank you.

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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.