PennyMac Mortgage Investment Trust

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'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 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 32 cents 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. A strength of PMTs is its ability to organically generate investments through our high-quality loan production sourced from correspondent 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 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 correspondent aggregator and one of the largest producers of purchase money loans in the country. The higher interest rate environment and wider credit spreads have also created opportunities for PMT to deploy capital into investments with attractive long-term risk-adjusted returns, which Vandi Fartaj, PMT's Senior Managing Director and Chief Investment Officer, will discuss later. Successfully navigating a challenging mortgage environment requires a strong balance sheet, expertise in the capital markets, and strong investment management and capital planning disciplines, things we have been emphasizing for years. Before turning it over to Vandy, I would like to briefly address the FHFA's recent re-proposal of eligibility standards for non-bank agency seller-servicers. While the FHFA is currently considering comments on its proposal, the proposed standards call for tightened liquidity, net worth, and leverage requirements. For large non-banks, additional proposed standards include an additional liquidity buffer, capital and liquidity plans, and third-party ratings requirements. If the standards were implemented today, PMT is well positioned to meet each of these requirements, given its relatively low levels of leverage, strong liquidity, and longstanding commitment to capital and enterprise risk management. Now, I'd like to turn the call over to Vandy, who will talk about the drivers of PMT's outlook and first 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. 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 seven 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 the quarterly run rate return for PMT's strategies to average 39 cents 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 widen. 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 as prepayment speeds have declined meaningfully. In correspondent production, the expected returns reflect the continuation of the declining size of the origination market and the intense competitive dynamic in the conventional correspondent channel, which is expected to continue. This analysis excludes potential contributions from additional opportunistic investments and opportunities under exploration, such as new investments in PMT's organically created GSC CRT or the introduction of new products other than investor loans. Our forecast for PMT's taxable income and liquidity continues to support the common dividend at its current level of 47 cents per share through the remainder of 2022. Now let's discuss the drivers of first quarter results in our correspondent production segment. Total correspondent loan acquisition volume was $22.5 billion in the first quarter. 43% or $9.8 billion were conventional loans and 57% or $12.7 billion were government loans. Conventional lock volume in the quarter was $10.2 billion, down significantly as increased competition for conventional loans, including from the GSEs, was heightened during the quarter. Margin compression in the conventional correspondence space created a return profile lower than our threshold, and so volume declined as we maintained our discipline, though we have started to see some return to more normalized margins in April. PMT's correspondent production segment pre-tax income as a percentage of interest rate law commitments was 4 basis points, up from 3 basis points in the prior quarter, and the weighted average fulfillment fee rate in the first quarter was 17 basis points, up from 12 basis points in the prior quarter. Acquisition volumes in April were $6.5 billion and locks were $7.5 billion. PMT's interest rate sensitive strategies consist of our investments in MSR 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 first quarter was $3.4 billion up from $2.9 billion at the end of the prior quarter. The increase reflects both newly originated MSRs resulting from conventional production volumes and fair value gains. The UPB of loans underlying PMT's MSR investments also continue to grow as new production more than offset runoff from prepayments. Now I would like to discuss PMT's credit-sensitive strategies, which primarily consist of seasoned investments in organically created CRT from PMT's production, investments in non-agency subordinate bonds from private label securitizations of PMT's production, and opportunistic investments in GSC CRT. The total UPV of loans underlying PMT's organically created CRT investments as of March 31st was $28.2 billion, down 8% quarter over quarter. The fair value of our organically created CRT investments at the end of the quarter was $1.4 billion, down from $1.7 billion at December 31st due to fair value declines and the decline in balance that resulted from prepayments. The outlook for our current investments in organically created CRT remains favorable, with a current weighted average loan-to-value ratio of approximately 63% at March 31st, benefiting from the home price appreciation experience in recent years. The 60-plus day delinquency rate underlying these investments continue to improve and decline to 1.85% from 3.06% at December 31st. We continue to hold discussions with the GSEs regarding the potential resumption of our lender-based CRT transactions. We are encouraged by the progress we're making, but do not currently have any further definitive developments to share on this topic. As David mentioned earlier, we continue to invest in securitizations collateralized by investor loans, and during the quarter, we added $23 million in fair value of new investor loan securitization investments. We ended the quarter with $103 million in fair value of such investments. Now I would like to turn the call over to Dan who will review our quarterly financial results.