Good afternoon and welcome to the Third 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 third quarter 2022 results.

Thank you, Isaac. In what was a challenging market for most mortgage REITs in the third quarter, PMT reported net income of $1.5 million or $0.01 per common share. Strong performance from PMT's interest rate-sensitive strategies and overall income, excluding market-driven fair value changes, was sufficient to offset the impact of continued credit spread widening and an increased provision for tax expense. PMT paid a common dividend of $0.47 per share. Book value per share decreased to $16.18 from $16.59 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 million shares of PMT's common stock for $13 million at an average price of $13.66, significantly below current book value per share. And through October 26, we repurchased an additional 1.1 million shares for an approximate cost of $13 million at $11.74 per share. PMT's Board of Trustees also recently approved an increase to its share repurchase authorization from $400 million to $500 million. 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 billion in UPB of conventional correspondent production led to the creation of $178 million in high-quality mortgage servicing rights. With mortgage interest rates currently around 7%, the most recent third-party forecasts for originations have decreased meaningfully, indicating an annualized run rate of $1.7 trillion to $1.9 trillion in upcoming quarters. We believe mortgage REITs with diversified investment portfolios, efficient cost structures and strong risk management practices such as PMT are best positioned to manage through the volatility presented by the current market. And with strong fundamentals underlying PMT's investment portfolio, we remain optimistic for…

Thank you, David. Let's begin by talking about the outlook for capital deployment at PMT. In recent periods, equity allocated to PMT's credit-sensitive strategies has decreased meaningfully due to runoff of our lender risk share investments and the fair value declines that have resulted from market credit spread widening. Though the future of new lender risk share transactions remains uncertain, wider credit spreads have created investment opportunities in GSE CRT with attractive expected returns. Year-to-date, PMT has invested approximately $185 million in floating-rate CRT bonds recently issued by Fannie Mae and Freddie Mac. And we will continue to deploy capital into the asset class opportunistically. At the same time, equity allocated to the interest rate-sensitive strategies has increased meaningfully given new investments in MSR and the fair value gains that have resulted from significantly higher interest rates. While PMT will continue investing in MSR, we will do so at a more measured pace as market volumes decline and as we look to more effectively manage capital allocation between interest rate-sensitive and credit-sensitive assets. To that effect, for the fourth quarter, PMT will sell certain of its conventional loans to PFSI for a sourcing fee similar to the government loans it acquires through its correspondent production business. As David mentioned, PMT's Board of Trustees recently approved an increase to its share repurchase authorization from $400 million to $500 million. And we expect to remain active deploying capital to buy back shares, as long as PMT's share price is well below book value per share. Let's now take a look at our potential returns across the investment portfolio. On Slide 7 of our third 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…

Thank you, Vandy. PMT reports results through four segments: credit-sensitive strategies, which contributed $3.7 million in pretax loss; interest rate-sensitive strategies, which contributed $103.5 million in pretax income; correspondent production, which contributed $6.1 million in pretax income; and the corporate segment, which had a pretax loss of $15.5 million. The losses on PMT's organically created CRT investments this quarter totaled $1.4 million. This amount included $14.2 million in market-driven fair value losses, reflecting the impact of wider credit spreads. Losses on PMT's organically created CRT investments also included $18.8 million in realized gains and carry, $0.2 million of net realized losses recognized during the period, $7 million in interest income on cash deposits and $12.7 million of financing expenses. PMT's interest rate-sensitive strategies contributed income of $103.5 million in the quarter. MSR fair value increased $163 million during the quarter, driven by higher mortgage rates, resulting in expectations for lower prepayment activity in the future. These fair value gains combined with similar performance from the interest rate hedges held in PMT's taxable REIT subsidiary, resulting in a provision for tax expense of $78 million. The net fair value of Agency MBS and interest rate hedges declined by $100 million, primarily driven by higher interest rates. PMT's correspondent production segment contributed $6.1 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 $15.5 million. Excluding market-driven value changes and the related tax impact, PMT reported $46.5 million of net income across its strategies. We have maintained strong financing structures related to our CRT investments. Our first three CRT transactions, representing 7% of these total fair value, are currently financed by securities repurchase agreements, while the remainder or…

Thank you, Dan. PMT delivered net income in what was a challenging environment in the third quarter. I remain confident in the ability of this seasoned and experienced management team to navigate successfully through this evolving mortgage environment and that PMT will provide attractive risk-adjusted returns for its shareholders over the long term. 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 third 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.