Good afternoon and welcome to the third quarter 2015 earnings discussion for PennyMac Mortgage Investment Trust. The slides that accompany this discussion are available from the PennyMac Mortgage Investment Trust website at www.pennymac-reit.com. Before we begin, please take a few moments to read the disclaimer on slide two of the presentation.

Thank you. Now I’d like to turn the discussion over to Stan Kurland, PMT’s Chairman and Chief Executive Officer..

Investment Activities and Correspondent Production. The Investment Activities segment reported $34.9 million in pre-tax income. Segment results were driven by higher gains and interest income from the distressed mortgage loans and improved performance of the interest rate sensitive strategies.

We invested $84 million in excess servicing spread on bulk, minibulk and flow acquisitions of Agency MSRs acquired by PennyMac Financial relating to $10 billion in UPB.

We also completed a $40 million investment in our inaugural credit risk transfer transaction with Fannie Mae on $1.2 billion of PMT’s production and launched a second transaction expected to total $4 billion of PMT’s production. The Correspondent Production segment earned $10.2 million in pre-tax income.

Correspondent loan acquisitions totaled $14.4 billion during the third quarter, up 21% from the second quarter. New investments in MSRs from our correspondent production activities totaled $53 million. In total, the value of PMT’s MSR and ESS investments grew to $842 million, relating to $94 billion of UPB, at the end of the quarter.

Finally, we repurchased $16 million of PMT’s common shares, which represents 11$ of the $150 million authorized under the share repurchase program we announced during the quarter. On slide four, I would like to highlight the transition in the mix of our investment strategies and the shift in PMT’s portfolio over the last year and a half.

PMT invests in mortgage-related strategies that leverage the unique operational capabilities of its manager and service provider, PFSI. PMT’s equity allocation has shifted over time as capital has been deployed into different strategies due to changes in market opportunities and the risk-adjusted returns available to PMT.

Over the last two years in particular, our capital deployment has favored MSRs, ESS, and more recently GSE credit risk transfer transactions related to our correspondent production. We expect this equity allocation shift to continue.

The majority of PMT’s equity today is still allocated to distressed loan investments, which have a weighted average life of over four years. We also believe that this shift in portfolio composition to these newer strategies will provide greater predictability of earnings over time.

Now let’s turn to slide five and review PMT’s performance during the third quarter broken down by each of its strategies. For the third quarter, PMT’s investments generated an annualized return on equity of 10% net of all expenses and overhead.

Distressed loan investments contributed an annualized return of 14.5% compared to 13.1% in the prior quarter. Performance of the distressed loan portfolio improved as a result of multiple factors, including actual home price appreciation that was better than previously forecast and higher interest income.

Our interest rate sensitive strategies, which include the performance of our correspondent production activities, MSRs, ESS and Agency and non-Agency MBS positions, together generated a 20% pre-tax return on equity.

While we show the income contribution of each of these activities separately, these strategies are managed in the aggregate as the interest rate sensitivity of MSRs and ESS is inversely correlated to the MBS positions and to correspondent production.

These offsetting strategies help to moderate the impact of interest rate movements on PMT’s performance. Returns on correspondent production improved from the second quarter driven by an increase in loan aggregation volumes during the quarter.

Our MSRs and ESS experienced valuation losses as a result of declining interest rates during the third quarter and higher expectations for prepayments on the underlying loans. These losses were offset by strong performance in financial hedges, gains in the value of our Agency and non-Agency MBS, and increased recapture income during the quarter.

We have also grouped our credit sensitive strategies, which include our investments in GSE credit risk transfer, commercial real estate loans, and non-Agency subordinate bonds. Combined, these credit sensitive strategies delivered an 11% return on equity.

We are pleased with our progress made this quarter in these newer credit risk strategies and expect PMT’s equity allocated to these strategies to increase in the future. Now let’s turn to slide six and discuss our current perspectives on the mortgage market.

During the third quarter, volatility across the capital markets and in overseas markets continued to drive investors to U.S. bonds and keep interest rates low. The 30-year fixed mortgage rate averaged 3.95% in the third quarter and has hovered around 3.8% in recent weeks.

The FHA’s 50 basis point reduction in its annual insurance premiums, announced at the beginning of the year, coupled with low rates, continued to drive strong refinance activity in the third quarter.

Industry forecasts from Fannie Mae, Freddie Mac and the Mortgage Bankers Association have been revised upward and now predict a $1.6 trillion mortgage origination market for 2015. While home price appreciation has moderated from the high rates of increase across most areas of the country in recent quarters, housing fundamentals appear stable.

According to the National Association of Realtors, home purchase activity has continued to increase and total existing-home sales reached an annualized rate of 5.6 million units in September, 8.8% higher than a year ago.

As you can see from the chart in the lower right-hand portion of the slide, Agency loans and the government-insured and guaranteed programs in particular continue to dominate the mortgage market.

Ginnie Mae’s share of new MBS issuance reached an all-time high in the third quarter and exceeded the issuance of new MBS guaranteed by either Fannie Mae or Freddie Mac.

This result has been driven by the FHA premium reduction, FHA and VA streamlined refinance programs that allow consumers to conveniently benefit from lower interest rates, as well as low down payment requirements for government loans that are meeting the needs of today’s borrowers such as first-time home buyers.

Fannie Mae and Freddie Mac have also recently introduced their own low down payment loan programs designed to meet the needs of these homebuyers. We continue to see changes in mortgage banking regulation that underscore the importance of effective governance, compliance and operating systems.

These changes include the new TILA-RESPA Integrated Disclosure Rule, or TRID, that went into effect early in October, changing the process for new loan origination. FHA and the GSEs have also recently introduced initiatives designed to clarify lender liability and improve confidence in the market.

PMT benefits from the focus its service provider and manager, PennyMac Financial, places on governance and operating systems and we believe this distinguishes PMT among mortgage REITs. Now let’s turn to slide seven and review PMT’s investment strategies.

As a reminder, PMT’s objective is to deliver superior returns over the long-term by investing in mortgage-related strategies that take advantage of the specialized operational capabilities of our manager and service provider.

Our investment strategies include distressed residential whole loans, which were PMT’s initial focus and remain the majority of PMT’s equity allocation today. We continue to consider new investments in distressed loans on an opportunistic basis. However, PMT’s recent capital deployment has focused on interest rate and credit sensitive strategies.

Our interest rate sensitive strategies are comprised of correspondent loan production, the resulting investments in MSRs, excess servicing spread, Agency and senior non-Agency MBS, and retained senior MBS from the securitization of prime jumbo loans.

We manage these strategies together on a global basis, as they have different sensitivities to interest rate changes, which in the aggregate help reduce the volatility of PMT’s results.

Our credit sensitive strategies include GSE credit risk transfers on PMT’s own correspondent production of conventional conforming loans; subordinate bonds, which include subordinate tranches from our own non-Agency jumbo securitization; and small balance commercial real estate loans.

Now let’s turn to slide eight and review PMT’s targeted returns for each of these strategies. On slide eight we lay out the long-term returns on PMT’s investment strategies, which are unchanged from the targets we reviewed last quarter.

The ROE associated with each asset in the far right column of the table is the return we target for the investments that PMT holds today and for new investments we would make, using our base case assumptions for variables such as prepayment speeds and credit performance.

The ROEs shown are the targeted contribution for each strategy on a pre-tax basis and are net of direct expenses associated with the strategy. While our quarterly results can vary, this slide represents the returns that we currently expect to achieve over time for each of PMT’s investment strategies.

Let’s now turn to slide nine and discuss the continued development of our investments in GSE credit risk transfer related to our correspondent production.

In the third quarter we completed our initial credit risk transfer investment with Fannie Mae on $1.2 billion of PMT’s production, which resulted in the acquisition of a $40 million security that PMT will own as an investment.

We also partnered with Fannie Mae on a second risk transfer deal during the third quarter, which is expected to total $4 billion in UPB of production when completed and create a security totaling approximately $135 million. Completion is expected in early 2016.

These investments have been structured in a manner in which we have been able to secure financing advance rates in excess of 60%, which helps to achieve our targeted returns.

We believe that credit risk transfer is aligned with Fannie Mae’s desire to attract private investment in credit risk and we see significant potential to deploy additional capital in this strategy going forward.

As a leading correspondent aggregator, we produce substantial volumes of GSE collateral that are eligible for credit risk transfer and PennyMac Financial’s sophisticated processes, operations and technology for loan fulfillment result in what we believe is among the highest quality of loans manufactured in the industry today.

Now I’d like to turn it over to David Spector, PMT’s President and Chief Operating Officer..

Thank you, Stan. Let’s turn to slide 11 and discuss PMT’s distressed whole loan portfolio. The slide shows where PMT’s distressed loan portfolio was valued as of September 30th, split between nonperforming and performing loans in the distressed portfolio.

The bars on the right, in blue, are the outstanding principal balance, or face value, of the loans. The green bars in the middle show the estimate of the current collateral value, or the current value of the properties underlying the loans.

We use several methods to estimate the current value of the properties, but they are primarily based on broker price opinions. The bars on the left, in gray, are our fair value marks for the assets as recorded on PMT’s balance sheet.

What you will note is that the fair value of the loans held by PMT is significantly lower than the value of the underlying properties. The mark on the nonperforming loans is held on average at a 30% discount to current property value while the mark on the performing loans is held on average at a 31% discount to current property value.

This embedded value is generally realized over time through a variety of loan resolution strategies we pursue, which are executed by the servicing operations of PFSI. In the case of nonperforming loans, valuation gains are recorded as each loan progresses closer to liquidation or is rehabilitated to a reperforming loan.

Performing loans also have a significant embedded value, but their resolution options differ and include restructure through modifications and refinance strategies.

Many of PMT’s performing loans were acquired as nonperforming loans and were brought back to performing status through successful servicing activities which may have included a loan modification.

Reperforming loans can continue to be held in our portfolio and earn interest income as the underlying borrowers make their scheduled monthly payments or gains can be realized through portfolio sales after a repayment history is established.

The interest income earned by PMT from these loans has increased significantly in recent periods and over the last twelve months in particular. These loans become more valuable as their reperformance history improves.

We continue to analyze the best execution for these portfolios and our manager, PennyMac Financial, is experienced in the opportunistic acquisition, sale and active management of these assets. PMT remains a leading investor in distressed whole loans with a track record of realizing value through these strategies.

During the third quarter, we did not purchase any new pools of distressed mortgages; however, we remained active in reviewing pools available for sale in the market.

Distressed whole loans comprise more than half of PMT’s mortgage assets and it is important to understand that our distressed portfolio, with a weighted average life of over 4 years, is well positioned to continue making significant contributions to PMT’s earnings for the foreseeable future.

Now, let’s turn to slide 12 and discuss the resolution activity that occurred in PMT’s distressed loan portfolio during the third quarter. Here we show the various resolution activities which include liquidation activities, modifications, and loans transitions from foreclosure to REO.

Liquidation activities include payoffs, foreclosure sales to third parties, short sales and sales of REO properties to third parties.

The UPB of total liquidation activities decreased 25% from the second quarter, primarily as a result of our increased focus on loan modification activities versus home forfeiture outcomes such as foreclosure sales and short sales.

Modification activity increased 23% quarter over quarter, driven by the implementation of our proprietary streamline modification program and simplification of the document collection process.

Our strong modification and collection efforts have helped to increase the UPB of completed modifications to $79 million in UPB in the third quarter versus $64 million in UPB in the second quarter. The pipeline of modifications in process at the end of the quarter was $355 million. Foreclosure to REO activity increased 15% quarter over quarter.

This activity relates to completed foreclosures where PMT retains ownership of the property, with the ultimate resolution coming through sale or rental. PMT’s portfolio of REO rentals totaled $4.4 million at September 30th. Now let’s turn to slide 13 and discuss the operational results for correspondent production.

Correspondent production totaled $14.4 billion in UPB for the third quarter, a 21% increase from the second quarter. Conventional conforming and jumbo loan acquisitions were $4.1 billion in UPB, an increase of 14% from the prior quarter. Correspondent lock volume was $13.6 billion in UPB, a %5 decrease from the second quarter.

Conventional conforming and jumbo locks were $4.1 billion in UPB, a 7% decrease from the second quarter. In October, total correspondent loan acquisitions were $3.8 billion in UPB, and interest rate lock commitments were $3.9 billion in UPB.

Our increase in production volumes was a result of our ability to grow market share and capture the available market opportunity. PennyMac Financial’s technology-enabled platform allowed us to significantly increase transaction volumes while maintaining high production quality.

Our ability to scale reflects the investments our manager has made in the systems and processes for correspondent fulfillment. During the quarter, we grew the number of approved sellers while continuing to maximize the business we do with each relationship.

We have had success adding new correspondent seller relationships, which increased to 400 from 377 last quarter. A key strategic focus is to grow seller relationships with small to medium-sized originators which benefit the most from our operational expertise and risk management capabilities.

These sellers accounted for $2.5 billion of lock volume in the third quarter, up 14% from the second quarter and we expect these relationships to generate increased volume and become a more meaningful portion of our correspondent business over time.

We also executed on our strategic initiatives to grow market share and optimize our business relationships with existing sellers. We have made significant gains in under-represented geographies such as the Midwest where acquisition volumes rose by 23% from the second quarter. Now let’s turn to slide 14 and discuss MSR and ESS investment activity.

PMT’s investment in MSRs and ESS reached $842 million, up from $754 million at June 30th, with the related loans underlying the investments totaling $94 billion in UPB at September 30th. Investments in MSRs, which resulted from PMT’s correspondent production, totaled $423 million, up from $395 million at June 30th.

During the quarter, we invested $84 million in ESS on bulk, minibulk and flow acquisitions of Agency MSRs by PennyMac Financial relating to $10 billion in UPB. As of September 30th, our investment in ESS totaled $419 million, up from $359 million at June 30th.

Now I’d like to turn the discussion over to Anne McCallion, PMT’s Chief Financial Officer, to review the third quarter’s financial results. Anne..

Thank you, David. On slide 16 we show the pre-tax earnings contribution from each of PMT’s segments over the last five quarters. In the third quarter of 2015, PMT’s pre-tax earnings totaled $45.1 million, comprised of $34.9 million of pre-tax income from Investment Activities and $10.2 million of pre-tax income from Correspondent Production.

Now let’s turn to slide 17 and look at the results of the Investment Activities segment. The Investment Activities segment income is derived from the performance of PMT’s investment portfolio. In the third quarter, segment revenues totaled $60.4 million, up 28% from the second quarter.

The quarter-over-quarter increase in revenues was driven primarily by an increase in interest income and higher net loan servicing fees. Net gain on investments in the third quarter included valuation gains on distressed loans of $31.9 million, a 6% increase from the second quarter.

We strategically manage our overall interest rate exposure through a variety of strategies which include offsetting interest rate sensitivities. These strategies include mortgage servicing rights, excess servicing spread and Agency and non-Agency mortgage backed securities.

The net impact of valuation changes on ESS, Agency MBS and non-Agency MBS was a $7 million loss during the quarter. ESS and non-Agency MBS had valuation losses totaling $10.2 million, while Agency MBS had a valuation gain of $3.2 million during the quarter.

Valuation losses on ESS resulted from higher projected prepayment activity on the loans underlying the investment, driven by lower interest rates during the quarter, partially offset by increased recapture income.

Recapture income paid to PMT by PennyMac Financial from recapture on loans underlying the ESS totaled $2.4 million for the third quarter, up from $1.5 million last quarter. Net interest income increased 43% quarter over quarter, which I will discuss in greater detail later in my presentation.

Net loan servicing fees resulting from PMT’s investment in MSRs were $20.8 million in the third quarter, up from $13 million in the second quarter. Fair value losses and impairment provisioning that resulted from lower interest rates and higher expected prepayments were offset by strong performance in our financial hedges.

Other investment losses were $1.7 million, compared to a $13,000 gain in the second quarter, driven by higher property preservation expenses and servicing advances related to PMT’s growing inventory of REO properties.

Segment expenses were $25.4 million in the third quarter, down from $27.1 million in the second quarter due to declines in activity-based special servicing fees and management fees. On slide 18, we show the components of gain on investments and interest income for each of the Investment Activities and Correspondent Production segments.

PMT’s interest income has grown 36% quarter-over-quarter, and is an increasingly important component of the company’s earnings. In particular, interest income earned by the distressed loans is a significant component of PMT’s investment returns.

Capitalized interest on loan modifications increased 50% in the third quarter to $14.8 million, increasing interest income but generally offset by lower gains from loan valuations.

Interest income from reperforming loans in the distressed portfolio has more than doubled since the third quarter of 2014, and this trend is expected to continue as the portfolio continues to transition toward reperforming loans.

Interest income is an important component of the returns on our excess servicing spread investments, and was up $2.2 million from the prior quarter. In the correspondent production segment, interest income totaled $13.7 million, up from $9 million in the second quarter, driven by higher acquisition volumes.

The investment activities segment also earned $7 million of interest income related to loans acquired for sale. Now let’s turn to slide 19 and discuss the cash flows related to PMT’s distressed loan portfolio.

PMT’s distressed mortgage loan portfolio generated realized and unrealized gains on mortgage loans totaling $31.9 million in the third quarter, compared to $30.1 million in the second quarter. Valuation gains on distressed loans totaled $29.1 million in the third quarter, compared to $27.2 million in the second quarter.

Valuation gains on performing loans were $6 million and on nonperforming loans were $23.1 million. Valuation gains benefited from higher actual home prices versus prior forecasts, partially offset by a reduction in the outlook for future home price appreciation.

Home price data used in our valuation model indicate home prices in various regions of the country have improved in recent months. Additionally, improving home prices increased the expected realization value of certain properties transitioning from foreclosure to REO status during the third quarter.

Payoff gains on distressed loans totaled $2.9 million, compared to $2.6 million in the prior quarter. Liquidation activity on distressed loans continued to generate significant cash flows. For the third quarter, gross cash proceeds totaled $103.7 million, down from $128.7 million in the second quarter, due to a decline in liquidation activity.

With respect to the distressed loans and REO liquidated during the quarter, $6.9 million in valuation gains had been recognized over the holding period of the assets and another $7.4 million of gains were realized at liquidation. Now let’s turn to slide 20 and discuss the value of PMT’s mortgage servicing rights and excess servicing spread assets.

PMT’s mortgage servicing rights portfolio, which is subserviced by PennyMac Financial grew to $39.9 billion in UPB, up from $37.1 billion at the end of the second quarter. PMT also owns investments in ESS totaling $418.6 million, with a UPB related to the underlying loans totaling $54.2 billion.

MSRs and ESS are a growing portion of PMT’s long-term investments and their economic value generally increases in a rising interest rate environment and decreases when rates fall.

This quarter, the value of the ESS investment was adversely impacted by the projection of higher future prepayment speeds resulting from the lower interest rate environment. However, when those prepayments result in refinancing by PFSI, PMT earns recapture income.

Recapture income paid by PennyMac Financial from recapture on loans underlying the ESS totaled $2.4 million for the quarter, in addition to $670,000 from recapture underlying the MSRs.

The chart on slide 20 shows some of the key metrics of PMT’s MSR and ESS portfolio, and highlights the difference between the carrying value of PMT’s MSRs and their estimated fair value. At the end of the quarter, the fair value of PMT’s MSR asset was $21.2 million greater than its carrying value.

For the excess servicing spread column, the UPB, weighted average coupon, and expected prepayment speed represent the characteristics of the underlying MSR portfolio owned by PennyMac Financial, while the weighted average servicing spread, fair value and valuation multiple relate to the ESS asset owned by PMT.

Let’s now turn to slide 21 and discuss the correspondent segment’s third quarter performance. Correspondent Production segment revenues totaled $30.4 million compared to $22.8 million in the second quarter.

Net gains on mortgage loans acquired for sale totaled $13.9 million, a 24% increase, primarily resulting from the optimization of GSE deliveries and the sale of specialized loans. Net interest income for the segment was $7.4 million, compared to $4.2 million in the second quarter.

Other income, which is primarily comprised of loan origination fees, increased 25% from the prior quarter to $9.2 million. As a percentage of IRLCs, segment revenues totaled 74 basis points in the third quarter, compared to 51 basis points in the second quarter.

The increase resulted from higher net interest income and loan origination fees from a 14% increase in acquisition volumes during the quarter. Expenses in the Correspondent Production segment increased 15% quarter-over-quarter, as a result of higher funding volumes. And with that, I’ll turn the discussion back over to Stan for some closing remarks..

Thank you, Anne. PMT’s improved financial performance in the third quarter reflects our focus on maximizing returns from existing investments and deploying capital in unique mortgage-related strategies.

We are allocating capital to investments in mortgage servicing rights, GSE credit risk transfer transactions and other mortgage-related securities as opportunities for investing in distressed mortgage loans are diminished.

We believe that these strategies will also improve the predictability of PMT’s earnings and drive increased shareholder value over time. In closing, we encourage investors with any questions to reach out to our Investor Relations team by email or phone. Thank you..

This concludes the PennyMac Mortgage Investment Trust 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..