PennyMac Mortgage Investment Trust

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. Additionally, PMT recorded a tax expense related to fair value gains on its MSR assets and 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 detail 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 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 and 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 selective deploying capital given the currently volatile and uncertain mortgage landscape. Turning the 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 six of our second 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 for PMT strategies to average 40 cents per share or 9.6% annualized return on common 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 continue to widen. In the interest rate sensitive strategies, we expect more consistent returns given slower prepayment speeds. In correspondent production, the projected returns reflect our expectation for high levels of competition with low volumes and tight margins. This analysis excludes potential contributions from additional opportunistic investments and opportunities under exploration, such as new investments in PMT's organically created GSE CRT. 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. Thereafter, the dividend level will be driven primarily by projections of PMT's earnings potential. Now let's discuss the drivers of second quarter results in our correspondent production segment. Total correspondent loan acquisition volume was $21 billion in the second quarter. 49% or $10.3 billion were conventional loans and 51% or $10.6 billion were government loans. Purchase volume was 82% of total acquisitions, up from 69% last quarter, demonstrating PMT's ability to quickly adapt in a transitioning mortgage environment. Conventional lock volume in the second quarter was $11.1 billion, up from the prior quarter as correspondents seek high-quality aggregators to sell loans servicing released in the current environment. Our reputation in the industry and consistent commitment in the channel has provided our partners the stability and support they need to navigate the current environment. PMT's correspondent production segment pre-tax income as a percentage of interest rate law commitments was nine basis points up from four basis points in the prior quarter, and the weighted average fulfillment fee rate in the second quarter was 20 basis points up from 17 basis points in the prior quarter. Acquisition volumes in July were $7 billion and locks were $6.8 billion. PMT's interest rate sensitive strategies consist of our investments in MSRs 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 second quarter was $3.7 billion, up from $3.4 billion at the end of the prior quarter. This 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 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 GSE CRT. The total UPV of loans underlying PMT's organically created CRT investments as of June 30th was $26.3 billion, down 7% quarter over quarter. The fair value of our organically created CRT investments at the end of the quarter was $1.3 billion, down from $1.4 billion at March 31st due to fair value decreases that resulted from market credit spread widening and prepayments. The outlook for our current investments in organically created CRT remains favorable, with a current weighted average loan-to-value ratio of 63% at June 30th, benefiting from the home price appreciation experience in recent years. The 60-plus day delinquency rate underlying these organically created GSC CRT investments continue to improve and decline to 1.31% at June 30th from 1.85% at March 31st. PMT also purchased $39 million in floating-rate CRT bonds issued by Fannie Mae and Freddie Mac during the quarter at attractive risk-adjusted returns. We will continue to evaluate investments across the mortgage landscape and be prudent in the deployment of capital given the widening of market credit spreads and increased volatility. Now I would like to turn the call over to Dan, who will review our quarterly financial results.