PennyMac Financial Services, Inc.

Good afternoon, and welcome to the third quarter earnings discussion for PennyMac Financial Services, Inc. The slides that accompany this discussion are available on PennyMac Financial's website at ir.pennymacfinancial.com. Before we begin, let me remind you that our discussion contains forward-looking statements that are subject to risks identified on slide two that could cause our actual results to differ materially, as well as non-gap measures that have been reconciled to their gap equivalent in our earnings presentation. Now I'd like to begin by introducing David Spector, PennyMac Financials Chairman and Chief Executive Officer, who will review the company's third quarter 2022 results.

Thank you, Isaac. Thank you for watching. David Spector, Douglas Edward Jones, We remain active in repurchasing shares, which at current price levels is accretive to book value and beneficial for our future earnings. This quarter we repurchased 1.9 million shares of PFSI common stock at an average price of $51.13 for an approximate cost of $100 million. Through October 26th, we repurchased an additional 882,000 shares at an average price of $45.73 for an approximate cost of $40 million. In the near term, we expect the pace of share repurchases to trend lower in order to maintain our flexibility to address potential risks and opportunities in the evolving market environment. In PFSI's investment management segment, net assets under management were $2 billion at quarter end, down slightly from the prior quarter due to PMT's financial performance. In total, this strong financial performance drove continued growth in book value per share, which was up 4% from June 30th to $68.26 at the end of the quarter. PFSI's board of directors also declared a third quarter cash dividend of $0.20 per share. Dan Perotti, PFSI Senior Managing Director and Chief Financial Officer, will review additional details of our financial performance later on in this discussion. 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 to $1.9 trillion in upcoming quarters. We believe mortgage banking companies with large servicing balances and diversified business models like PennyMac Financial are better positioned to offset the decline in origination profitability that has resulted from these lower volumes. Purchase activity has been impacted by the affordability challenges created by higher mortgage rates and significant home price appreciation over the last several years. Refinance volumes are expected to remain subdued as nearly all outstanding mortgages are currently out of the money. We are seeing our customers increasingly sell loans servicing released to stable capital partners like PennyMac as they seek to manage profitability and enhance liquidity. We believe the challenging environment will continue in upcoming quarters as higher rates persist. We expect the decline in PFSI's production revenue to be largely offset by disciplined expense management activities, which I will speak about later. Turning to our servicing business, we are forecasting continued portfolio growth as we leverage our low-cost structure and industry-leading position in correspondent lending to profitably add current, higher note rate servicing to our portfolio, providing opportunities for recapture when interest rates decline. Thank you for joining us. While we recognize the challenges this may present for our servicing business, we believe the risks are mitigated by the fact that consumers are financially in a strong position given the equity built up in their homes over the last couple years combined with low levels of unemployment at present. Turning to our investment management segment, credit spread widening in recent periods resulted in fair value declines in PMT's credit investments, translating to a decline in PMT's equity and lower base management fees for PFSI. In addition, we do not expect performance-based incentive fees to be earned in the foreseeable future due to PMT's losses in recent quarters. Thank you for joining us. Thank you for joining us. Thank you for watching. We'll see you next time. I believe we are well positioned to successfully navigate the current market environment. It is our expectation that PFSI's return on equity will decline from current levels before returning to our pre-COVID range over time. Now, I'll turn it over to Doug Jones, PennyMac's President and Chief Mortgage Banking Officer, who will review our market share trends and third quarter mortgage banking results.

Thanks, David. Overall production was solid in the third quarter given the market environment, with total production volumes down only 3% from the prior quarter. PennyMac maintained its leadership position in correspondent lending as our strong capital position and consistent commitment to the channel provides our partners with stability and support they need to successfully navigate a challenging mortgage market. We estimate that over the past 12 months, we represented approximately 14% of the channel overall. Total correspondent loan acquisition volume in the third quarter was $22.4 billion, of which 46% were conventional conforming loans for which PFSI earns a fulfillment fee from PMT. Government loan acquisition volumes were up 14% from the prior quarter, while conventional correspondent acquisitions were down only 1%. Government correspondent lock volume was up 9% from the prior quarter. Revenue per fallout-adjusted government lock in the third quarter was 24 basis points, down from 27 basis points in the prior quarter. The scale we have achieved in our correspondent business, combined with our low-cost structure and operational excellence in the channel, allow us to operate efficiently through the volatile market environment. In October, we estimate correspondent acquisitions will total $7.5 billion and locks will total $8 billion. Turning to Consumer Direct, we estimate that we accounted for approximately 1.4% of total originations in the channel over the last 12 months. Origination volumes for the third quarter were $2.3 billion and interest rate lock commitments were $3.8 billion, reflecting a steep decline in refinance volume. Purchase lock volume for the quarter of $1.4 billion was 36% of total locks, up significantly from 22% in the prior quarter. Margins in this channel expanded as we focused on meeting the needs of customers in our servicing portfolio and revenue per fallout adjusted lock was 366 basis points up from 355 basis points in the prior quarter. We estimate total originations for our consumer direct channel in October will total $500 million and locks will total $700 million. We estimate the committed pipeline at October 31st will be $600 million. Originations in our broker direct channel totaled $1.3 billion and locks totaled $1.9 billion, also down significantly from the prior quarter, reflecting intense competition from channel leaders. Revenue per fallout adjusted lock was 70 basis points, down from 77 basis points in the prior quarter. We estimate that in the last 12 months we represented approximately 2.2% of the origination volume in the channel. Despite elevated levels of competition currently, we continue to see opportunity over the long term given our excellence in the correspondent lending and consolidation in the channel. We remain committed to providing our broker partners and the customers that they serve new products and a superior mortgage experience. To that end, we earlier this month announced the launch of PowerPlus, our next-generation broker technology platform, combining a more efficient, precise, and convenient loan process with better data collection and communication capabilities. We believe this new technology provides brokers with the tools they need to successfully grow their business and convert leads into loans. We estimate that broker originations in October will total $400 million and locks will total $500 million. We estimate that committed pipeline at October 31st will be $500 million. As David discussed earlier, these acquisition and origination volumes continue to drive the organic growth of our servicing portfolio. I am pleased to report that we ended the quarter with a servicing portfolio of $539 billion or approximately 4.1% of all residential mortgage debt in the U.S. Prepayment speeds have slowed meaningfully given the rapid and significant increase in mortgage rates. PennyMac Financial's own servicing portfolio represented a prepayment speed of 9% in the third quarter, down from 12% in the prior quarter. Similarly, prepayment speeds in PennyMac Financial's subservice portfolio, which includes mostly Fannie Mae and Freddie Mac mortgage servicing rights owned by PMT, were 6.9%, down from 9.3% in the prior quarter. PFSI's own servicing portfolio, which consists primarily of Jenny Mae MSRs, had a 60-day plus delinquency rate of 3.5%, up from 3.2% at the end of the prior quarter, while our subservicing portfolio, consisting primarily of conventional loans, reported a 60-day plus delinquency rate of 0.5% unchanged from June 30th. The UPB of completed modifications was $2.4 billion and the UPB of EBO loan volume totaled $250 million, both down significantly as opportunities have declined due to higher mortgage rates. We expect EBO revenues to continue to decline in the coming quarters as lower overall volumes and redelivery gains are expected to be limited due to the higher interest rate environment. I'll now turn it over to Dan, who will review PFSI's financial results, stress scenarios for servicing advances, and the new eligibility rules introduced by Jenny May and FUFA.