10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

Form 10-Q

(Mark One)

x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2014

Or

¨ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from                      to                     

Commission file number: 001-34416

PennyMac Mortgage Investment Trust

(Exact name of registrant as specified in its charter)

Maryland	27-0186273
(State or other jurisdiction of incorporation or organization)	(IRS Employer Identification No.)
6101 Condor Drive, Moorpark, California	93021
(Address of principal executive offices)	(Zip Code)

(818) 224-7442

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports) and (2) has been subject to such filing requirements for the past 90 days.    Yes  x    No  ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).    Yes  x    No  ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act (Check one):

Large accelerated filer	x	Accelerated filer	¨
Non-accelerated filer	¨  (Do not check if a smaller reporting company)	Smaller reporting company	¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act):    Yes  ¨    No  x

Indicate the number of shares outstanding of each of the registrant’s classes of common stock, as of the latest practicable date.

Class	Outstanding at November 5, 2014
Common Shares of Beneficial Interest, $0.01 par value	74,139,570

PENNYMAC MORTGAGE INVESTMENT TRUST

FORM 10-Q

September  30, 2014

TABLE OF CONTENTS

		Page
PART I. FINANCIAL INFORMATION			1
Item 1.	Financial Statements (Unaudited):		1
	Consolidated Balance Sheets		1
	Consolidated Statements of Income		3
	Consolidated Statements of Changes in Shareholders’ Equity		4
	Consolidated Statements of Cash Flows		5
	Notes to Consolidated Financial Statements		7
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		56
	Observations on Current Market Opportunities		57
	Results of Operations		58
	Net Investment Income		59
	Expenses		77
	Balance Sheet Analysis		80
	Asset Acquisitions		81
	Investment Portfolio Composition		82
	Cash Flows		87
	Liquidity and Capital Resources		89
	Off-Balance Sheet Arrangements and Aggregate Contractual Obligations		91
	Quantitative and Qualitative Disclosures About Market Risk		97
	Factors That May Affect Our Future Results		99
Item 3.	Quantitative and Qualitative Disclosures About Market Risk		101
Item 4.	Controls and Procedures		102
PART II. OTHER INFORMATION			102
Item 1.	Legal Proceedings		102
Item 1A.	Risk Factors		103
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		103
Item 3.	Defaults Upon Senior Securities		103
Item 4.	Mine Safety Disclosures		103
Item 5.	Other Information		103
Item 6.	Exhibits and Financial Statement Schedules		104

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS (UNAUDITED)

	September 30, 2014		December 31, 2013
	(in thousands, except share data)
ASSETS
Cash	$	46,487	$	27,411
Short-term investments		37,452		92,398
Mortgage-backed securities at fair value pledged to secure assets sold under agreements to repurchase		267,885		197,401
Mortgage loans acquired for sale at fair value (includes $675,659 and $454,210 pledged to secure assets sold under agreements to repurchase)		688,850		458,137
Mortgage loans at fair value (includes $2,273,768 and $2,315,313 pledged to secure assets sold under agreements to repurchase)		2,561,911		2,600,317
Mortgage loans under forward purchase agreements at fair value pledged to secure borrowings under forward purchase agreements		—		218,128
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value		187,368		138,723
Derivative assets		10,344		7,976
Real estate acquired in settlement of loans (includes $76,561 and $89,404 pledged to secure assets sold under agreements to repurchase)		275,185		138,942
Real estate acquired in settlement of loans under forward purchase agreements pledged to secure forward purchase agreements		—		9,138
Mortgage servicing rights (includes $57,871 and $26,452 carried at fair value)		345,848		290,572
Servicing advances		59,325		59,573
Due from PennyMac Financial Services, Inc.		4,311		6,009
Other assets		119,847		66,192
Total assets	$	4,604,813	$	4,310,917
LIABILITIES
Assets sold under agreements to repurchase	$	2,416,686	$	2,039,605
Borrowings under forward purchase agreements		—		226,580
Asset-backed secured financing of the variable interest entity at fair value		166,841		165,415
Exchangeable senior notes		250,000		250,000
Derivative liabilities		1,889		1,961
Accounts payable and accrued liabilities		80,493		71,561
Due to PennyMac Financial Services, Inc.		21,420		18,636
Income taxes payable		66,208		59,935
Liability for losses under representations and warranties		13,235		10,110
Total liabilities		3,016,772		2,843,803
Commitments and contingencies
SHAREHOLDERS’ EQUITY
Common shares of beneficial interest—authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding, 74,139,570 and 70,458,082 common shares, respectively		741		705
Additional paid-in capital		1,470,189		1,384,468
Retained earnings		117,111		81,941
Total shareholders’ equity		1,588,041		1,467,114
Total liabilities and shareholders’ equity	$	4,604,813	$	4,310,917

The accompanying notes are an integral part of these consolidated financial statements.

1

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS (UNAUDITED)

Assets and liabilities of consolidated variable interest entity (“VIE”) included in total assets and liabilities (the assets of the VIE can only be used to settle liabilities of the VIE):

	September 30, 2014		December 31, 2013
	(in thousands)
ASSETS
Mortgage loans at fair value	$	530,809	$	523,652
Other assets - interest receivable		1,675		1,584
	$	532,484	$	525,236
LIABILITIES
Asset-backed secured financing at fair value	$	166,841	$	165,415
Accounts payable and accrued expenses - interest payable		484		497
	$	167,325	$	165,912

The accompanying notes are an integral part of these consolidated financial statements.

2

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF INCOME (UNAUDITED)

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands, except per share data)
Net investment income
Net gain on mortgage loans acquired for sale	$	9,509		$	11,031		$	29,702		$	84,748
Loan origination fees		6,447			4,559			13,288			14,784
Net interest income:
Interest income:
From nonaffiliates		37,659			35,278			119,522			78,950
From PennyMac Financial Services, Inc.		3,577			—			9,578			—
		41,236			35,278			129,100			78,950
Interest expense		22,020			19,497			63,660			44,877
		19,216			15,781			65,440			34,073
Net gain on investments:
From nonaffiliates		77,786			49,057			203,943			159,871
From PennyMac Financial Services, Inc.		(7,396	)		29			(17,834	)		29
		70,390			49,086			186,109			159,900
Net loan servicing fees		10,533			6,659			26,712			20,562
Results of real estate acquired in settlement of loans		(11,926	)		(2,295	)		(23,900	)		(7,477	)
Other		2,361			1,241			6,330			2,841
Net investment income		106,530			86,062			303,681			309,431
Expenses
Expenses payable to PennyMac Financial Services, Inc.:
Loan fulfillment fees		15,497			18,327			36,832			68,625
Loan servicing fees		12,325			10,738			41,096			27,251
Management fees		9,623			8,539			26,609			23,486
Professional services		1,927			2,149			6,348			5,872
Compensation		1,843			2,292			6,668			5,819
Other		7,384			7,955			18,604			18,472
Total expenses		48,599			50,000			136,157			149,525
Income before provision for income taxes		57,931			36,062			167,524			159,906
Provision for (benefit from) income taxes		2,982			(3,639	)		(509	)		12,412
Net income	$	54,949		$	39,701		$	168,033		$	147,494
Earnings per share
Basic	$	0.74		$	0.61		$	2.28		$	2.40
Diluted	$	0.69		$	0.57		$	2.13		$	2.29
Weighted-average shares outstanding
Basic		74,140			64,405			73,254			60,809
Diluted		82,832			73,121			81,978			65,898
Dividends declared per share	$	0.61		$	0.57		$	1.79		$	1.71

The accompanying notes are an integral part of these consolidated financial statements.

3

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (UNAUDITED)

	Number of shares		Par value		Additional paid-in capital			Retained earnings			Total
	(in thousands)
Balance at December 31, 2012		58,904	$	589	$	1,129,858		$	70,889		$	1,201,336
Net income		—		—		—			147,494			147,494
Share-based compensation		249		3		4,063			—			4,066
Dividends, $1.71 per share		—		—		—			(107,405	)		(107,405	)
Proceeds from offerings of common shares		11,300		113		261,482			—			261,595
Underwriting and offering costs		—		—		(12,321	)		—			(12,321	)
Balance at September 30, 2013		70,453	$	705	$	1,383,082		$	110,978		$	1,494,765
Balance at December 31, 2013		70,458	$	705	$	1,384,468		$	81,941		$	1,467,114
Net income		—		—		—			168,033			168,033
Share-based compensation		235		2		4,354			—			4,356
Dividends, $1.79 per share		—		—		—			(132,863	)		(132,863	)
Proceeds from offerings of common shares		3,447		34		82,419			—			82,453
Underwriting and offering costs		—		—		(1,052	)		—			(1,052	)
Balance at September 30, 2014		74,140	$	741	$	1,470,189		$	117,111		$	1,588,041

The accompanying notes are an integral part of these consolidated financial statements.

4

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)

	Nine months ended September 30,
	2014			2013
	(in thousands)
Cash flows from operating activities
Net income	$	168,033		$	147,494
Adjustments to reconcile net income to net cash used by operating activities:
Net gain on mortgage loans acquired for sale at fair value		(29,702	)		(84,748	)
Accrual of unearned discounts and amortization of premiums on mortgage-backed securities, mortgage loans at fair value, and asset-backed secured financing		(905	)		—
Capitalization of interest on mortgage loans at fair value		(40,805	)		(25,017	)
Accrual of interest on excess servicing spread		(9,578	)		—
Amortization of credit facility commitment fees and debt issuance costs		7,298			6,280
(Reversal) accrual of costs related to forward purchase agreements		(168	)		3,420
Net gain on investments		(186,109	)		(164,763	)
Change in fair value, amortization and impairment of mortgage servicing rights		30,285			17,200
Results of real estate acquired in settlement of loans		23,900			7,477
Share-based compensation expense		4,356			4,066
Purchases of mortgage loans acquired for sale at fair value		(20,759,885	)		(25,984,356	)
Purchases of mortgage loans acquired for sale at fair value from PennyMac Financial Services, Inc.		(4,955	)		(12,339	)
Sales of mortgage loans acquired for sale at fair value to nonaffiliates		8,534,637			13,229,726
Sales of mortgage loans acquired for sale to PennyMac Financial Services, Inc.		11,947,251			12,429,698
Increase in servicing advances		(14,347	)		(13,051	)
Decrease in due from PennyMac Financial Services, Inc.		2,163			4,716
Increase in other assets		(70,252	)		(12,472	)
Increase (decrease) in accounts payable and accrued liabilities		6,038			(12,434	)
Increase in payable to PennyMac Financial Services, Inc.		3,076			8,414
Increase in income taxes payable		6,273			18,524
Net cash used by operating activities		(383,396	)		(432,165	)
Cash flows from investing activities
Net decrease (increase) in short-term investments		54,946			(41,919	)
Purchases of mortgage-backed securities at fair value		(73,922	)		(199,558	)
Repayments of mortgage-backed securities at fair value		9,830			—
Purchase of Agency debt security		—			(12,000	)
Purchases of mortgage loans at fair value		(283,017	)		(779,015	)
Sales and repayments of mortgage loans at fair value		532,375			193,914
Repayments of mortgage loans under forward purchase agreements at fair value		6,413			8,000
Purchase of excess servicing spread from PennyMac Financial Services, Inc.		(82,646	)		(2,828	)
Repayment of excess servicing spread by PennyMac Financial Services, Inc.		25,280			—
Settlements of derivative financial instruments		(7,879	)		—
Purchase of real estate acquired in settlement of loans		(3,049	)		(82	)
Sales of real estate acquired in settlement of loans		124,794			98,103
Sales of real estate acquired in settlement of loans under forward purchase agreements		5,365			65
Purchase of mortgage servicing rights		—			(1,881	)
Sale of mortgage servicing rights		137			—
Increase in margin deposits and restricted cash		(350	)		(22,314	)
Net cash provided (used) by investing activities		308,277			(759,515	)

The accompanying notes are an integral part of these consolidated financial statements.

5

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)

	Nine months ended September 30,
	2014			2013
	(in thousands)
Cash flows from financing activities
Sales of assets under agreement to repurchase		26,109,117			25,827,489
Repurchases of assets sold under agreements to repurchase		(25,732,035	)		(25,103,532	)
Repayments of borrowings under forward purchase agreements		(227,866	)		(18,618	)
Issuance of asset-backed secured financing at fair value		—			170,008
Payment of asset-backed secured financing at fair value		(6,161	)		—
Issuance of exchangeable senior notes		—			250,000
Payment of exchangeable senior notes issuance costs		—			(7,425	)
Issuance of common shares		82,453			261,595
Payment of common share underwriting and offering costs		(1,052	)		(12,321	)
Payment of contingent underwriting fees payable		(1,295	)		(1,803	)
Payment of dividends		(128,966	)		(107,405	)
Net cash provided by financing activities		94,195			1,257,988
Net increase in cash		19,076			66,308
Cash at beginning of period		27,411			33,756
Cash at end of period	$	46,487		$	100,064

The accompanying notes are an integral part of these consolidated financial statements.

6

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

Note 1—Organization and Basis of Presentation

PennyMac Mortgage Investment Trust (“PMT” or the “Company”) was organized in Maryland on May 18, 2009, and commenced operations on August 4, 2009, when it completed its initial offerings of common shares of beneficial interest (“common shares”). The Company is a specialty finance company, which, through its subsidiaries (all of which are wholly-owned), invests primarily in residential mortgage loans and mortgage-related assets.

The Company operates in two segments: correspondent production and investment activities:

• The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between mortgage lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality mortgage loans either directly or in the form of mortgage-backed securities (“MBS”), using the services of PNMAC Capital Management, LLC (“PCM” or the “Manager”) and PennyMac Loan Services, LLC (“PLS” or the “Servicer”), both indirect subsidiaries of PennyMac Financial Services, Inc. (“PFSI”).

Most of the loans the Company has acquired in its correspondent production activities have been eligible for sale to government-sponsored entities such as the Federal National Mortgage Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac”) or through government agencies such as the Government National Mortgage Association (“Ginnie Mae”). Fannie Mae, Freddie Mac and Ginnie Mae are each referred to as an “Agency” and, collectively, as the “Agencies.”

• The investment activities segment represents the Company’s investments in mortgage-related assets, which include distressed mortgage loans, real estate acquired in settlement of loans (“REO”), MBS, mortgage servicing rights (“MSRs”) and excess servicing spread (“ESS”). The Company seeks to maximize the value of its acquired distressed mortgage loans through proprietary loan modification programs, special servicing or other initiatives focused on keeping borrowers in their homes. Where this is not possible, such as in the case of many nonperforming mortgage loans, the Company seeks to effect property resolution in a timely, orderly and economically efficient manner, including through the use of resolution alternatives to foreclosure.

The Company is externally managed by PCM, an investment adviser registered with the Securities and Exchange Commission (the “SEC”) that specializes in and focuses on residential mortgage loans. Under the terms of a management agreement, the Company pays PCM a management fee with a base component and a performance incentive component.

The Company believes that it qualifies, and has elected to be taxed, as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), beginning with its taxable period ended on December 31, 2009. To maintain its tax status as a REIT, the Company has to distribute at least 90% of its taxable income in the form of qualifying distributions to shareholders.

The Company conducts substantially all of its operations and makes substantially all of its investments through its subsidiary, PennyMac Operating Partnership, L.P. (the “Operating Partnership”), and the Operating Partnership’s subsidiaries. A wholly-owned subsidiary of the Company is the sole general partner, and the Company is the sole limited partner, of the Operating Partnership.

The accompanying consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“U.S. GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (the “ASC”) and with the SEC’s instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, these financial statements and notes do not include all of the information required by U.S. GAAP for complete financial statements. The interim consolidated information should be read together with the Company’s Annual Report on Form 10-K for the year ended December 31, 2013 (the “Annual Report”). Intercompany accounts and transactions have been eliminated.

Preparation of financial statements in compliance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements, and revenues and expenses during the reporting period. Actual results will likely differ from those estimates.

7

Note 2—Concentration of Risks

As discussed in Note 1—Organization and Basis of Presentation above, PMT’s operations and investing activities are centered in mortgage-related assets, a substantial portion of which are distressed at acquisition. Many of the mortgage loans in its targeted asset class are purchased at discounts reflecting their distressed state or perceived higher risk of default, as well as a greater likelihood of collateral documentation deficiencies.

Because of the Company’s investment focus, PMT is exposed, to a greater extent than traditional mortgage investors, to the risks that borrowers may be in economic distress and/or may have become unemployed, bankrupt or otherwise unable or unwilling to make payments when due, and to the effects of fluctuations in the residential real estate market on the performance of its investments. Factors influencing these risks include, but are not limited to:

• changes in the overall economy and unemployment rates and residential real estate values in the markets where the properties securing the Company’s mortgage loans are located;

• PCM’s ability to identify and the Servicer’s ability to execute optimal resolutions of problem mortgage loans;

• the accuracy of valuation information obtained during the Company’s due diligence activities;

• PCM’s ability to effectively model, and to develop appropriate model assumptions that properly anticipate, future outcomes;

• the level of government support for problem loan resolution and the effect of current and future proposed and enacted legislative and regulatory changes on the Company’s ability to effect cures or resolutions to distressed loans; and

• regulatory, judicial and legislative support of the foreclosure process, and the resulting effect on the Company’s ability to acquire and liquidate the real estate securing its portfolio of distressed mortgage loans in a timely manner or at all.

Due to these uncertainties, there can be no assurance that risk management activities identified and executed on PMT’s behalf will prevent significant losses arising from the Company’s investments in real estate-related assets.

A substantial portion of the distressed mortgage loans and REO purchased by the Company has been acquired from or through one or more subsidiaries of Citigroup Inc. The following tables present purchases for the Company’s investment portfolio of mortgage loans and REO (including purchases under forward purchase agreements), and the portion thereof representing assets purchased from or through one or more subsidiaries of Citigroup Inc.:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Investment portfolio purchases:
Mortgage loans	$	—	$	580,822	$	284,403	$	1,024,404
REO		—		3,597		3,117		3,686
	$	—	$	584,419	$	287,520	$	1,028,090
Investment portfolio purchases above through one or more subsidiaries of Citigroup Inc.:
Mortgage loans	$	—	$	—	$	26,737	$	443,183
REO		—		3,597		68		3,686
	$	—	$	3,597	$	26,805	$	446,869

8

Following is a summary of the Company’s holdings of assets purchased through one or more subsidiaries of Citigroup Inc.:

	September 30, 2014		December 31, 2013
	(in thousands)
Mortgage loans at fair value	$	974,402	$	1,138,131
Mortgage loans under forward purchase agreements at fair value		—		218,128
REO		114,195		84,726
REO under forward purchase agreements		—		8,705
	$	1,088,597	$	1,449,690
Total holdings of mortgage loans and REO	$	2,837,096	$	2,966,525

During the year ended December 31, 2013, the Company entered into forward purchase agreements with Citigroup Global Markets Realty Corp. (“CGM”), a subsidiary of Citigroup Inc., to purchase certain nonperforming mortgage loans and REO (collectively, the “CGM Assets”). The CGM Assets were acquired by CGM from unaffiliated money center banks and were held in a trust subsidiary by CGM pending settlement by the Company. The commitment under the forward purchase agreement was settled in full during the quarter ended June 30, 2014.

The Company recognized these assets and related obligations as of the dates of the agreements and recognizes all subsequent income and changes in value relating to such assets. As a result of recognizing these assets, the Company’s consolidated statements of income and cash flows include the following amounts related to the forward purchase agreements:

	Quarter ended September 30,					Nine months ended September 30,
	2014		2013			2014			2013
	(in thousands)
Statements of income:
Interest income	$	—	$	1,197		$	3,584		$	1,457
Interest expense	$	—	$	1,763		$	2,364		$	2,013
Net gain on investments	$	—	$	8,378		$	803		$	7,688
Net loan servicing fees	$	—	$	—		$	517		$	—
Results of REO	$	—	$	(41	)	$	(473	)	$	(41	)
Statements of cash flows:
Repayments of mortgage loans	$	—	$	8,000		$	6,413		$	8,000
Sales of REO	$	—	$	65		$	5,365		$	65
Repayments of borrowings under forward purchase agreements	$	—	$	(18,618	)	$	(227,866	)	$	(18,618	)

The Company has no other variable interests in the trust entity or other exposure to the creditors of the trust entity that could expose the Company to loss.

9

Note 3—Transactions with Related Parties

Following is a summary of correspondent production activity between the Company and PFSI:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Loan fulfillment fees payable to PFSI	$	15,497	$	18,327	$	36,832	$	68,625
Unpaid principal balance of loans fulfilled by PFSI	$	3,677,613	$	3,681,771	$	8,588,955	$	12,792,482
Sourcing fees received from PFSI	$	1,384	$	1,204	$	3,401	$	3,563
Fair value of loans sold to PFSI	$	4,861,392	$	4,147,535	$	11,947,251	$	12,429,698
At period end:
Mortgage loans included in mortgage loans acquired for sale pending sale to PFSI	$	59,719	$	273,007

Following is a summary of mortgage loan servicing fees payable to PFSI:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Mortgage loans acquired for sale at fair value:
Base	$	28	$	62	$	74	$	231
Activity-based		35		77		112		260
		63		139		186		491
Distressed mortgage loans:
Base		4,679		4,166		14,620		11,737
Activity-based		4,076		3,414		16,208		7,739
		8,755		7,580		30,828		19,476
MSRs:
Base		3,459		2,911		9,930		7,037
Activity-based		48		108		152		247
		3,507		3,019		10,082		7,284
	$	12,325	$	10,738	$	41,096	$	27,251

Following is a summary of the base management and performance incentive fees payable to PFSI recorded by the Company:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Management fee:
Base	$	6,033	$	5,104	$	17,392	$	14,043
Performance incentive		3,590		3,435		9,217		9,443
	$	9,623	$	8,539	$	26,609	$	23,486

In the event of termination of the management agreement between the Company and PFSI, PFSI may be entitled to a termination fee in certain circumstances. The termination fee is equal to three times the sum of (a) the average annual base management fee, and (b) the average annual performance incentive fee earned by PFSI, in each case during the 24-month period before termination.

10

Following is a summary of investment activity between the Company and PFSI:

	Quarter ended September 30,					Nine months ended September 30,
	2014			2013		2014			2013
	(in thousands)
Purchases of excess servicing spread	$	9,253		$	2,828	$	82,646		$	2,828
Interest income from excess servicing spread	$	3,577		$	—	$	9,578		$	—
Net (loss) gain on excess servicing spread purchased from PFSI at fair value	($	7,396	)	$	29	($	17,834	)		29
Excess servicing spread recapture recognized	$	2,143		$	—	$	6,558		$	—
MSR recapture recognized	$	—		$	86	$	9		$	586

Other Transactions

In connection with the initial public offering of PMT’s common shares (“IPO”) on August 4, 2009, the Company entered into an agreement with PCM pursuant to which the Company agreed to reimburse PCM for the $2.9 million payment that it made to the IPO underwriters if the Company satisfied certain performance measures over a specified period (the “Conditional Reimbursement”). Effective February 1, 2013, the Company amended the terms of the reimbursement agreement to provide for the reimbursement of PCM of the Conditional Reimbursement if the Company is required to pay PCM performance incentive fees under the management agreement at a rate of $10 in reimbursement for every $100 of performance incentive fees earned. The reimbursement of the Conditional Reimbursement is subject to a maximum reimbursement in any particular 12-month period of $1.0 million and the maximum amount that may be reimbursed under the agreement is $2.9 million. During the quarter and nine months ended September 30, 2014, the Company paid $256,000 and $292,000 to PCM.

The Company has also agreed to pay the IPO underwriters an amount to which it agreed at the time of the offering if the Company satisfies certain performance measures over a specified period. As PCM earns performance incentive fees under the management agreement, such underwriters will be paid at a rate of $20 of payments for every $100 of performance incentive fees earned by PCM. The payment to the underwriters is subject to a maximum reimbursement in any particular 12-month period of $2.0 million and the maximum amount that may be paid under the agreement is $5.9 million. During the quarter and nine months ended September 30, 2014, the Company paid $615,000 and $1.0 million to the underwriters, respectively.

In the event the termination fee is payable to PCM under the management agreement and PCM and the underwriters have not received the full amount of the reimbursements and payments under the reimbursement agreement, such amounts will be paid in full. The term of the reimbursement agreement expires on February 1, 2019.

The Company reimburses PFSI and its affiliates for other expenses, including common overhead expenses and other expenses incurred on its behalf by PFSI, in accordance with the terms of its management agreement as summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Reimbursement of:
Common overhead incurred by PFSI	$	2,912	$	2,552	$	8,181	$	8,359
Expenses incurred on the Company’s behalf		122		1,934		671		3,767
	$	3,034	$	4,486	$	8,852	$	12,126
Payments and settlements during the period (1)	$	31,621	$	29,315	$	72,975	$	94,606

(1) Payments and settlements include payments for management fees and correspondent production activities itemized in the preceding tables and netting settlements made pursuant to master netting agreements between the Company and PFSI.

11

Amounts due to PFSI are summarized below:

	September 30, 2014		December 31, 2013
	(in thousands)
Management fees	$	9,623	$	8,924
Servicing fees		6,942		5,915
Allocated expenses		3,360		2,009
Contingent underwriting fees		1,495		1,788
	$	21,420	$	18,636

Amounts due from PFSI totaled $4.3 million and $6.0 million at September 30, 2014 and December 31, 2013, respectively. At September 30, 2014, the balance represents payments receivable relating to cash flows from the Company’s investment in ESS and amounts receivable relating to unsettled MSR and ESS recaptures.

PFSI held 75,000 of the Company’s common shares at both September 30, 2014 and December 31, 2013.

Note 4—Earnings Per Share

Basic earnings per share is determined using the two-class method. Under the two-class method, all earnings (distributed and undistributed) are allocated to common shares and participating securities, based on their respective rights to receive dividends. Basic earnings per share is determined using net income reduced by income attributable to the participating securities and divided by the weighted-average common shares outstanding during the period. The Company grants restricted share units which entitle the recipients to receive dividend equivalents during the vesting period on a basis equivalent to the dividends paid to holders of common shares. Unvested share-based compensation awards containing non-forfeitable rights to receive dividends or dividend equivalents (collectively, “dividends”) are classified as “participating securities” and are included in the basic earnings per share calculation using the two-class method.

Under the two-class method, all earnings (distributed and undistributed) are allocated to common shares and participating securities, based on their respective rights to receive dividends. Basic earnings per share is determined using net income reduced by income attributable to the participating securities and divided by the weighted-average common shares outstanding during the period.

Diluted earnings per share is determined by dividing net income attributable to diluted shareholders, which adds back to net income the interest expense, net of applicable income taxes, on the Company’s exchangeable senior notes (the “Notes”), by the weighted-average common shares outstanding, assuming all potentially dilutive securities were issued. In periods in which the Company records a loss, potentially dilutive securities are excluded from the diluted loss per share calculation, as their effect on loss per share is anti-dilutive.

12

The following table summarizes the basic and diluted earnings per share calculations:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands except per share amounts)
Basic earnings per share:
Net income	$	54,949		$	39,701		$	168,033		$	147,494
Effect of participating securities—share-based compensation awards		(305	)		(374	)		(1,360	)		(1,656	)
Net income attributable to common shareholders	$	54,644		$	39,327		$	166,673		$	145,838
Weighted-average shares outstanding		74,140			64,405			73,254			60,809
Basic earnings per share	$	0.74		$	0.61		$	2.28		$	2.40
Diluted earnings per share:
Net income	$	54,949		$	39,701		$	168,033		$	147,494
Interest on Notes, net of income taxes		2,081			2,075			6,237			3,457
Net income attributable to diluted shareholders	$	57,030		$	41,776		$	174,270		$	150,951
Weighted-average shares outstanding		74,140			64,405			73,254			60,809
Potentially dilutive securities:
Shares issuable pursuant exchange of the Notes		8,401			8,379			8,401			4,726
Shares issuable under share-based compensation plan		291			337			323			363
Diluted weighted-average number of shares outstanding		82,832			73,121			81,978			65,898
Diluted earnings per share	$	0.69		$	0.57		$	2.13		$	2.29

Note 5—Loan Sales and Variable Interest Entities

The Company is a variable interest holder in various special purpose entities that relate to its loan transfer and financing activities. These entities are classified as variable interest entities (“VIEs”) for accounting. The Company has segregated its involvement with VIEs between those VIEs which the Company does not consolidate and those VIEs which the Company consolidates.

13

Unconsolidated VIEs with Continuing Involvement

The following table summarizes cash flows between the Company and transferees in transfers that are accounted for as sales where PMT maintains continuing involvement with the mortgage loans as well as unpaid principal balance information at period end:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Cash flows:
Proceeds from sales	$	3,745,193	$	4,185,246	$	8,534,637		13,229,726
Servicing fees received (1)	$	17,797	$	14,107	$	52,704	$	35,015
Period end information:
Unpaid principal balance of mortgage loans outstanding	$	32,134,609	$	23,717,643
Unpaid principal balance of delinquent mortgage loans:
30-89 days delinquent	$	87,374	$	50,746
90 or more days delinquent
Not in foreclosure		20,708		4,812
In foreclosure or bankruptcy		11,583		3,292
		32,291		8,104
	$	119,665	$	58,850

(1) Net of guarantee fees.

Consolidated VIE

On September 30, 2013, the Company completed a securitization transaction in which a wholly-owned VIE issued $537.0 million in certificates backed by fixed-rate prime jumbo mortgage loans of PMT Loan Trust 2013-J1, at a 3.9% weighted yield. The Company retained $366.8 million of those certificates. Management concluded that the Company is the primary beneficiary of the VIE and, as a result, the Company consolidates the VIE. Consolidation of the VIE results in the securitized mortgage loans remaining on the consolidated balance sheets of the Company and the certificates issued by the VIE to nonaffiliates being accounted for as secured financing. The certificates are secured solely by the assets of the VIE and not by any other assets of the Company. The assets of the VIE are the only source of repayment of the certificates.

Note 6—Netting of Financial Instruments

The Company uses derivative financial instruments to manage exposure to interest rate risk created by its MBS, interest rate lock commitments (“IRLC”), mortgage loans acquired for sale at fair value, mortgage loans at fair value, ESS and MSRs. All derivative financial instruments are recorded on the balance sheet at fair value. The Company has elected to net derivative asset and liability positions, and cash collateral obtained (or posted) by (or to) its counterparties when subject to a legally enforceable master netting arrangement. The derivative financial instruments that are not subject to master netting arrangements are IRLCs.

14

Offsetting of Derivative Assets

Following is a summary of net derivative assets. As discussed above, all derivatives with the exception of IRLCs are subject to master netting arrangements.

	September 30, 2014								December 31, 2013
	Gross amounts of recognized assets		Gross amounts offset in the consolidated balance sheet			Net amounts of assets presented in the consolidated balance sheet			Gross amounts of recognized assets		Gross amounts offset in the consolidated balance sheet			Net amounts of assets presented in the consolidated balance sheet
	(in thousands)
Derivatives subject to master netting arrangements:
MBS put options	$	830	$	—		$	830		$	272	$	—		$	272
MBS call options		239		—			239			—		—			—
Forward purchase contracts		4,614		—			4,614			1,229		—			1,229
Forward sale contracts		1,142		—			1,142			16,385		—			16,385
Treasury future sale contracts		857		—			857			—		—			—
Put options on Eurodollar futures		422		—			422			566		—			566
Call options on Eurodollar futures		666		—			666			—		—			—
Netting		—		(3,938	)		(3,938	)		—		(12,986	)		(12,986	)
		8,770		(3,938	)		4,832			18,452		(12,986	)		5,466
Derivatives not subject to master netting arrangements:
Interest rate lock commitments		5,512		—			5,512			2,510		—			2,510
	$	14,282	$	(3,938	)	$	10,344		$	20,962	$	(12,986	)	$	7,976

15

Derivative Assets and Collateral Held by Counterparty

The following table summarizes by significant counterparty the amount of derivative asset positions after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance to qualify for netting.

	September 30, 2014								December 31, 2013
			Gross amounts not offset in the consolidated balance sheet								Gross amounts not offset in the consolidated balance sheet
	Net amount of assets presented in the consolidated balance sheet		Financial instruments		Cash collateral received		Net amount		Net amount of assets presented in the consolidated balance sheet		Financial instruments		Cash collateral received		Net amount
	(in thousands)
Interest rate lock commitments	$	5,512	$	—	$	—	$	5,512	$	2,510	$	—	$	—	$	2,510
RJ O’Brien		1,664		—		—		1,664		566		—		—		566
Bank of America, N.A.		1,170		—		—		1,170		1,024		—		—		1,024
JP Morgan		617		—		—		617		—						—
Credit Suisse First Boston Mortgage Capital LLC		370		—		—		370		196		—		—		196
Nomura		266		—		—		266		273						273
Other		745		—		—		745		3,407		—		—		3,407
Total	$	10,344	$	—	$	—	$	10,344	$	7,976	$	—	$	—	$	7,976

Offsetting of Derivative Liabilities and Financial Liabilities

Following is a summary of net derivative liabilities and assets sold under agreements to repurchase. As discussed above, all derivatives with the exception of IRLCs are subject to master netting arrangements. Assets sold under agreements to repurchase do not qualify for netting.

	September 30, 2014								December 31, 2013
	Gross amounts of recognized liabilities		Gross amounts offset in the consolidated balance sheet			Net amounts of liabilities presented in the consolidated balance sheet			Gross amounts of recognized liabilities		Gross amounts offset in the consolidated balance sheet			Net amounts of liabilities presented in the consolidated balance sheet
	(in thousands)
Derivatives subject to master netting arrangements:
Forward purchase contracts	$	478	$	—		$	478		$	7,420	$	—		$	7,420
Forward sales contracts		5,272		—			5,272			1,295		—			1,295
Netting		—		(3,982	)		(3,982	)		—		(8,015	)		(8,015	)
		5,750		(3,982	)		1,768			8,715		(8,015	)		700
Derivatives not subject to master netting arrangements:
Interest rate lock commitments		121		—			121			1,261		—			1,261
		5,871		(3,982	)		1,889			9,976		(8,015	)		1,961
Assets sold under agreements to repurchase		2,416,686		—			2,416,686			2,039,605		—			2,039,605
	$	2,422,557	$	(3,982	)	$	2,418,575		$	2,049,581	$	(8,015	)	$	2,041,566

16

Derivative Liabilities, Financial Liabilities and Collateral Held by Counterparty

The following table summarizes by significant counterparty the amount of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance to qualify for netting. All assets sold under agreements to repurchase represent sufficient collateral or exceed the liability amount recorded on the consolidated balance sheet.

	September 30, 2014									December 31, 2013
			Gross amounts not offset in the consolidated balance sheet									Gross amounts not offset in the consolidated balance sheet
	Net amount of liabilities presented in the consolidated balance sheet		Financial instruments			Cash collateral pledged		Net amount		Net amount of liabilities presented in the consolidated balance sheet		Financial instruments			Cash collateral pledged		Net amount
	(in thousands)
Interest rate lock commitments	$	121	$	—		$	—	$	121	$	1,261	$	—		$	—	$	1,261
Morgan Stanley Bank, N.A.		156,702		(156,157	)		—		545		30,226		(30,226	)		—		—
Bank of Oklahoma		244		—			—		244		—		—			—		—
Daiwa Capital Markets		129,887		(129,682	)		—		205		132,525		(132,525	)		—		—
Fannie Mae Capital Markets		196		—					196		—		—					—
Citibank		766,578		(766,476	)		—		102		945,015		(944,856	)		—		159
Credit Suisse First Boston Mortgage Capital LLC		685,521		(685,521	)		—		—		523,546		(523,546	)		—		—
Bank of America, N.A.		459,728		(459,728	)		—		—		408,452		(408,452	)		—		—
RBS Securities Inc.		219,122		(219,122	)		—		—		—		—			—		—
Other		476		—			—		476		541		—			—		541
Total	$	2,418,575	$	(2,416,686	)	$	—	$	1,889	$	2,041,566	$	(2,039,605	)	$	—	$	1,961

Note 7—Fair Value

The Company’s consolidated financial statements include assets and liabilities that are measured based on their fair values. Measurement at fair value may be on a recurring or nonrecurring basis depending on the accounting principles applicable to the specific asset or liability and whether management has elected to carry the item at its fair value as discussed in the following paragraphs.

Fair Value Accounting Elections

Management identified all of its non-cash financial assets and MSRs relating to loans with initial interest rates of more than 4.5% to be accounted for at fair value. Management has elected to account for these financial statement items at fair value so such changes in fair value will be reflected in income as they occur and more timely reflect the results of the Company’s performance. Management has also identified its asset-backed secured financing of the VIE to be accounted for at fair value to reflect the generally offsetting changes in fair value of these borrowings to changes in fair value of the mortgage loans at fair value collateralizing this financing.

For MSRs relating to mortgage loans with initial interest rates of less than or equal to 4.5%, management concluded that such assets present different risks to the Company than MSRs relating to mortgage loans with initial interest rates of more than 4.5% and therefore require a different risk management approach. Management’s risk management efforts relating to MSRs relating to mortgage loans with initial interest rates of less than or equal to 4.5% are aimed at moderating the effects of non-interest rate risks on fair value, such as the effect of changes in home prices on the assets’ fair values. Management has identified these assets to be accounted for using the amortization method.

Management’s risk management efforts in connection with MSRs relating to mortgage loans with initial interest rates of more than 4.5% are generally aimed at moderating the effects of changes in interest rates on the assets’ fair values.

17

For assets sold under agreements to repurchase, borrowings under forward purchase agreements and the Notes, management has determined that historical cost accounting is more appropriate because under this method debt issuance costs are amortized over the term of the debt, thereby matching the debt issuance cost to the periods benefiting from the usage of the debt.

Financial Statement Items Measured at Fair Value on a Recurring Basis

Following is a summary of financial statement items that are measured at fair value on a recurring basis:

	September 30, 2014
	Level 1		Level 2			Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	37,452	$	—		$	—	$	37,452
Mortgage-backed securities at fair value		—		267,885			—		267,885
Mortgage loans acquired for sale at fair value		—		688,850			—		688,850
Mortgage loans at fair value		—		530,809			2,031,102		2,561,911
Excess servicing spread purchased from PFSI		—		—			187,368		187,368
Derivative assets:
Interest rate lock commitments		—		—			5,512		5,512
MBS put options		—		830			—		830
MBS call options		—		239			—		239
Forward purchase contracts		—		4,614			—		4,614
Forward sales contracts		—		1,142			—		1,142
Treasury futures		—		857			—		857
Put options on Eurodollar futures		—		422			—		422
Call options on Eurodollar futures		—		666			—		666
Total derivative assets before netting before netting		—		8,770			5,512		14,282
Netting (1)		—		(3,938	)		—		(3,938	)
Total derivative assets after netting		—		4,832			5,512		10,344
Mortgage servicing rights at fair value		—		—			57,871		57,871
	$	37,452	$	1,492,376		$	2,281,853	$	3,811,681
Liabilities:
Asset-backed secured financing of the variable interest entity at fair value	$	—	$	166,841		$	—	$	166,841
Derivative liabilities:
Interest rate lock commitments		—		—			121		121
Forward purchase contracts		—		478			—		478
Forward sales contracts		—		5,272			—		5,272
Total derivative liabilities before netting		—		5,750			121		5,871
Netting (1)		—		(3,982	)		—		(3,982	)
Total derivative liabilities after netting		—		1,768			121		1,889
Total liabilities	$	—	$	168,609		$	121	$	168,730

(1) Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the offsetting of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement.

18

	December 31, 2013
	Level 1		Level 2			Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	92,398	$	—		$	—	$	92,398
Mortgage-backed securities at fair value		—		197,401			—		197,401
Mortgage loans acquired for sale at fair value		—		458,137			—		458,137
Mortgage loans at fair value		—		523,652			2,076,665		2,600,317
Mortgage loans under forward purchase agreements at fair value		—		—			218,128		218,128
Excess servicing spread purchased from PFSI		—		—			138,723		138,723
Derivative assets:
Interest rate lock commitments		—		—			2,510		2,510
MBS put options		—		272			—		272
Forward purchase contracts		—		1,229			—		1,229
Forward sales contracts		—		16,385			—		16,385
Options on Eurodollar futures		—		566			—		566
Total derivative assets		—		18,452			2,510		20,962
Netting (1)		—		(12,986	)		—		(12,986	)
Total derivative assets after netting		—		5,466			2,510		7,976
Mortgage servicing rights at fair value		—		—			26,452		26,452
	$	92,398	$	1,184,656		$	2,462,478	$	3,739,532
Liabilities:
Asset-backed secured financing of the variable interest entity at fair value	$	—	$	165,415		$	—	$	165,415
Derivative liabilities:
Interest rate lock commitments		—		—			1,261		1,261
Forward purchase contracts		—		7,420			—		7,420
Forward sales contracts		—		1,295			—		1,295
Total derivative liabilities		—		8,715			1,261		9,976
Netting (1)		—		(8,015	)		—		(8,015	)
Total derivative liabilities		—		700			1,261		1,961
Total liabilities	$	—	$	166,115		$	1,261	$	167,376

(1) Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the offsetting of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement.

19

The following is a summary of changes in items measured using Level 3 inputs on a recurring basis:

	Quarter ended September 30, 2014
	Mortgage loans at fair value			Excess servicing spread			Interest rate lock commitments(1)			Mortgage servicing rights			Total
	(in thousands)
Assets:
Balance, June 30, 2014	$	2,156,501		$	190,244		$	11,087		$	46,802		$	2,404,634
Purchases		—			9,253			—			—			9,253
Repayments and sales		(126,413	)		(8,786	)		—			(137	)		(135,336	)
Accrual of interest		—			3,577			—			—			3,577
ESS received pursuant to a recapture agreement with PFSI		—			2,619			—			—			2,619
Interest rate lock commitments issued, net		—			—			14,046			—			14,046
Capitalization of interest		10,451			—			—			—			10,451
Servicing received as proceeds from sales of mortgage loans		—			—			—			12,812			12,812
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		13,850			—									13,850
Other factors		67,446			(9,539	)		843			(1,606	)		57,144
		81,296			(9,539	)		843			(1,606	)		70,994
Transfers of mortgage loans to REO		(90,733	)		—			—			—			(90,733	)
Transfers of interest rate lock commitments to mortgage loans acquired for sale at fair value		—			—			(20,585	)		—			(20,585	)
Balance, September 30, 2014	$	2,031,102		$	187,368		$	5,391		$	57,871		$	2,281,732
Changes in fair value recognized during the period relating to assets still held at September 30, 2014	$	70,713		$	(9,539	)	$	5,391		$	(1,606	)	$	64,959

(1) For the purpose of this table, the interest rate lock asset and liability positions are shown net.

	Quarter ended September 30, 2013
	Mortgage loans at fair value			Agency Debt		Mortgage loans under forward purchase agreements			Excess servicing spread		Net interest rate lock commitments (1)			Mortgage servicing rights			Total
	(in thousands)
Assets:
Balance, June 30, 2013	$	1,309,765		$	—	$	242,531		$	—	$	(16,967	)	$	1,827		$	1,537,156
Purchases		579,260			12,000		1,710			2,828		—			1,696			597,494
Repayments		(59,404	)		—		(8,000	)		—		—			—			(67,404	)
Interest rate lock commitments issued, net		—			—		—			—		16,299			—			16,299
Capitalization of interest		13,203			—		—			—		—			—			13,203
Servicing received as proceeds from sales of mortgage loans		—			—		—			—		—			7,939			7,939
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		18,732			—		69			—								18,801
Other factors		20,876			578		8,309			29		4,841			(465	)		34,168
		39,608			578		8,378			29		4,841			(465	)		52,969
Transfers of mortgage loans under forward purchase agreements to mortgage loans		13,018			—		(13,018	)		—								—
Transfers of mortgage loans to REO		(46,794	)		—		—			—								(46,794	)
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements		—			—		(3,515	)		—								(3,515	)
Transfers of interest rate lock commitments to mortgage loans acquired for sale		—			—		—			—		7,273			—			7,273
Balance, September 30, 2013	$	1,848,656		$	12,578	$	228,086		$	2,857	$	11,446		$	10,997		$	2,114,620
Changes in fair value recognized during the period relating to assets still held at September 30, 2013	$	33,062		$	578	$	6,949		$	29	$	11,446		$	(465	)	$	51,599

(1) For the purpose of this table, the interest rate lock asset and liability positions are shown net.

20

	Nine months ended September 30, 2014
	Mortgage loans at fair value			Mortgage loans under forward purchase agreements			Excess servicing spread			Interest rate lock commitments (1)			Mortgage servicing rights			Total
	(in thousands)
Assets:
Balance, December 31, 2013	$	2,076,665		$	218,128		$	138,723		$	1,249		$	26,452		$	2,461,217
Purchases		283,017			1,386			82,646			—			—			367,049
Repayments and sales		(513,843	)		(6,413	)		(25,280	)		—			(137	)		(545,673	)
Accrual of interest		—			—			9,578			—			—			9,578
ESS received pursuant to a recapture agreement with PFSI		—			—			6,093			—			—			6,093
Interest rate lock commitments issued, net		—			—			—			45,800			—			45,800
Capitalization of interest		39,005			1,800			—			—			—			40,805
Servicing received as proceeds from sales of mortgage loans		—			—			—			—			39,954			39,954
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		54,612			2,269			—									56,881
Other factors		139,393			(1,466	)		(24,392	)		12,837			(8,398	)		117,974
		194,005			803			(24,392	)		12,837			(8,398	)		174,855
Transfers of mortgage loans under forward purchase agreements to mortgage loans		205,902			(205,902	)		—			—			—			—
Transfers of mortgage loans to REO		(253,649	)		—			—			—			—			(253,649	)
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements		—			(9,802	)		—			—			—			(9,802	)
Transfers of interest rate lock commitments to mortgage loans acquired for sale		—			—			—			(54,495	)		—			(54,495	)
Balance, September 30, 2014	$	2,031,102		$	—		$	187,368		$	5,391		$	57,871		$	2,281,732
Changes in fair value recognized during the period relating to assets still held at September 30, 2014	$	126,773		$	—		$	(24,392	)	$	5,391		$	(8,398	)	$	99,374

(1) For the purpose of this table, the interest rate lock asset and liability positions are shown net.

	Nine months ended September 30, 2013
	Mortgage loans at fair value			Agency Debt		Mortgage loans under forward purchase agreements			Excess servicing spread		Net interest rate lock commitments (1)			Mortgage servicing rights			Total
	(in thousands)
Assets:
Balance, June 30, 2013	$	1,189,971		$	—	$	—		$	—	$	19,479		$	1,346		$	1,210,796
Purchases		779,746			12,000		245,020			2,828		—			1,881			1,041,475
Repayments		(194,645	)		—		(8,000	)		—		—			—			(202,645	)
Interest rate lock commitments issued, net		—			—		—			—		71,195			—			71,195
Capitalization of interest		25,017			—		—			—		—			—			25,017
Servicing received as proceeds from sales of mortgage loans		—			—		—			—		—			8,043			8,043
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		31,176			—		69			—								31,245
Other factors		119,935			578		7,619			29		(25,831	)		(273	)		102,057
		151,111			578		7,688			29		(25,831	)		(273	)		133,302
Transfers of mortgage loans under forward purchase agreements to mortgage loans		13,018			—		(13,018	)		—								—
Transfers of mortgage loans to REO		(115,562	)		—		—			—								(115,562	)
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements		—			—		(3,604	)		—								(3,604	)
Transfers of interest rate lock commitments to mortgage loans		—			—		—			—		(53,397	)		—			(53,397	)
Balance, September 30, 2013	$	1,848,656		$	12,578	$	228,086		$	2,857	$	11,446		$	10,997		$	2,114,620
Changes in fair value recognized during the period relating to assets still held at September 30, 2013	$	102,843		$	578	$	6,106		$	29	$	11,446		$	(273	)	$	120,729

(1) For the purpose of this table, the interest rate lock asset and liability positions are shown net.

21

Following are the fair values and related principal amounts due upon maturity of mortgage loans accounted for under the fair value option (including mortgage loans acquired for sale, mortgage loans at fair value and mortgage loans under forward purchase agreements at fair value):

	September 30, 2014
	Fair value		Principal amount due upon maturity		Difference
	(in thousands)
Mortgage loans acquired for sale:
Current through 89 days delinquent	$	688,850	$	664,540	$	24,310
90 or more days delinquent (1)
Not in foreclosure		—		—		—
In foreclosure		—		—		—
		—		—		—
		688,850		664,540		24,310
Mortgage loans at fair value:
Current through 89 days delinquent		1,122,391		1,371,396		(249,005	)
90 or more days delinquent (1)
Not in foreclosure		558,095		860,281		(302,186	)
In foreclosure		881,425		1,339,090		(457,665	)
		1,439,520		2,199,371		(759,851	)
		2,561,911		3,570,767		(1,008,856	)
	$	3,250,761	$	4,235,307	$	(984,546	)

(1) Loans delinquent 90 or more days are placed on nonaccrual status and previously accrued interest is reversed.

	December 31, 2013
	Fair value		Principal amount due upon maturity		Difference
	(in thousands)
Mortgage loans acquired for sale:
Current through 89 days delinquent	$	457,968	$	447,224	$	10,744
90 or more days delinquent (1)
Not in foreclosure		169		162		7
In foreclosure		—		—		—
		169		162		7
		458,137		447,386		10,751
Mortgage loans and mortgage loans under forward purchase agreements at fair value:
Current through 89 days delinquent		1,170,918		1,506,175		(335,257	)
90 or more days delinquent (1)
Not in foreclosure		738,043		1,190,403		(452,360	)
In foreclosure		909,484		1,493,644		(584,160	)
		1,647,527		2,684,047		(1,036,520	)
		2,818,445		4,190,222		(1,371,777	)
	$	3,276,582	$	4,637,608	$	(1,361,026	)

(1) Loans delinquent 90 or more days are placed on nonaccrual status and previously accrued interest is reversed.

22

Following are the changes in fair value included in current period income by consolidated statement of income line item for financial statement items accounted for under the fair value option:

	Quarter ended September 30, 2014
	Net gain on mortgage loans acquired for sale			Net interest income			Net gain on investments			Net loan servicing fees			Total
	(in thousands)
Assets:
Short-term investments	$	—		$	—		$	—		$	—		$	—
Mortgage-backed securities at fair value		—			108			(821	)		—			(713	)
Mortgage loans acquired for sale at fair value		19,977			—			—			—			19,977
Mortgage loans at fair value		—			385			78,717			—			79,102
Mortgage loans under forward purchase agreements at fair value		—			—			—			—			—
Excess servicing spread at fair value		—			—			(7,396	)		—			(7,396	)
Mortgage servicing rights at fair value		—			—			—			(1,606	)		(1,606	)
	$	19,977		$	493		$	70,500		$	(1,606	)	$	89,364
Liabilities:
Asset-backed secured financing at fair value	$	—		$	(124	)	$	696		$	—		$	572
	$	—		$	(124	)	$	696		$	—		$	572
	Quarter ended September 30, 2013
	Net loss on mortgage loans acquired for sale			Net interest income			Net gain on investments			Net loan servicing fees			Total
	(in thousands)
Assets:
Short-term investments	$	—		$	—		$	—		$	—		$	—
Mortgage-backed securities at fair value		—			—			5,356			—			5,356
Agency debt securities		—			—			578			—			578
Mortgage loans acquired for sale at fair value		(14,519	)		—			—			—			(14,519	)
Mortgage loans at fair value		—			—			39,608			—			39,608
Mortgage loans under forward purchase agreements at fair value		—			—			8,378			—			8,378
Excess servicing spread at fair value		—			—			29			—			29
Mortgage servicing rights at fair value		—			—			—			(465	)		(465	)
	$	(14,519	)	$	—		$	53,949		$	(465	)	$	38,965

23

	Nine months ended September 30, 2014
	Net gain on mortgage loans acquired for sale		Net interest income			Net gain on investments			Net loan servicing fees			Total
	(in thousands)
Assets:
Short-term investments	$	—	$	—		$	—		$	—		$	—
Mortgage-backed securities at fair value		—		296			6,096			—			6,392
Mortgage loans acquired for sale at fair value		69,812		—			—			—			69,812
Mortgage loans at fair value		—		938			218,912			—			219,850
Mortgage loans under forward purchase agreements at fair value		—		—			803			—			803
Excess servicing spread at fair value		—		—			(17,834	)		—			(17,834	)
Mortgage servicing rights at fair value		—		—			—			(8,398	)		(8,398	)
	$	69,812	$	1,234		$	207,977		$	(8,398	)	$	270,625
Liabilities:
Asset-backed secured financing at fair value	$	—	$	(328	)	$	(7,258	)	$	—		$	(7,586	)
	$	—	$	(328	)	$	(7,258	)	$	—		$	(7,586	)

	Nine months ended September 30, 2013
	Net gain on mortgage loans acquired for sale			Net interest income		Net gain on investments		Net loan servicing fees		Total
	(in thousands)
Assets:
Short-term investments	$	—		$	—	$	—	$	—	$	—
Mortgage-backed securities at fair value		—			—		5,356		—		5,356
Mortgage loans acquired for sale at fair value		(46,699	)		—		—		—		(46,699	)
Mortgage loans at fair value		—			—		151,111		—		151,111
Agency debt securities		—			—		578		—		578
Mortgage loans under forward purchase agreements at fair value		—			—		7,689		—		7,689
Excess servicing spread at fair value		—			—		29		—		29
Mortgage servicing rights at fair value		—			—		—		—		—
	$	(46,699	)	$	—	$	164,763	$	—	$	118,064

24

Financial Statement Items Measured at Fair Value on a Nonrecurring Basis

Following is a summary of financial statement items that are measured at fair value on a nonrecurring basis:

	September 30, 2014
	Level 1		Level 2		Level 3		Total
	(in thousands)
Real estate asset acquired in settlement of loans	$	—	$	—	$	138,558	$	138,558
Mortgage servicing rights at lower of amortized cost or fair value		—		—		78,176		78,176
	$	—	$	—	$	216,734	$	216,734

	December 31, 2013
	Level 1		Level 2		Level 3		Total
	(in thousands)
Real estate asset acquired in settlement of loans	$	—	$	—	$	63,043	$	63,043
Real estate asset acquired in settlement of loans under forward purchase agreements		—		—		7,760		7,760
Mortgage servicing rights at lower of amortized cost or fair value		—		—		184,067		184,067
	$	—	$	—	$	254,870	$	254,870

The following table summarizes the net losses recognized during the period on assets measured at estimated fair values on a nonrecurring basis:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Real estate asset acquired in settlement of loans	$	(14,242	)	$	(4,554	)	$	(24,027	)	$	(8,191	)
Real estate asset acquired in settlement of loans under forward purchase agreements	$	—		$	(29	)	$	—		$	(29	)
Mortgage servicing rights at lower of amortized cost or fair value		602			(212	)		(2,249	)		3,495
	$	(13,640	)	$	(4,795	)	$	(26,276	)	$	(4,725	)

Real Estate Acquired in Settlement of Loans

The Company measures its investment in REO at the respective properties’ fair values less cost to sell on a nonrecurring basis. The initial carrying value of the REO is measured by cost as indicated by the purchase price in the case of purchased REO or as measured by the fair value of the mortgage loan immediately before acquisition in the case of acquisition in settlement of a loan. REO may be subsequently revalued due to the Company receiving greater access to the property, the property being held for an extended period or management receiving indications that the property’s value may not be supported by developing market conditions. Any subsequent change in fair value to a level that is less than or equal to the property’s cost is recognized in Results of real estate acquired in settlement of loans in the consolidated statements of income.

Mortgage Servicing Rights at Lower of Amortized Cost or Fair Value

The Company evaluates its MSRs at lower of amortized cost or fair value for impairment with reference to the assets’ fair value. For purposes of performing its MSR impairment evaluation, the Company stratifies its MSRs at lower of amortized cost or fair value based on the interest rates borne by the mortgage loans underlying the MSRs. Mortgage loans are grouped into pools with 50 basis point interest rate ranges for fixed-rate mortgage loans with interest rates between 3% and 4.5% and a single pool for mortgage loans with interest rates below 3%. MSRs relating to adjustable rate mortgage loans with initial interest rates of 4.5% or less are evaluated in a single pool. If the fair value of MSRs in any of the interest rate pools is below the amortized cost of the MSRs reduced by the existing valuation allowance for that pool, those MSRs are impaired.

25

When MSRs are impaired, the impairment is recognized in current-period income and the carrying value of the MSRs is adjusted using a valuation allowance. If the fair value of the MSRs subsequently increases, the increase in fair value is recognized in current period income only to the extent of the valuation allowance for the respective impairment stratum.

Management periodically reviews the various impairment strata to determine whether the fair value of the impaired MSRs in a given stratum is likely to recover. When management deems recovery of value to be unlikely in the foreseeable future, a write-down of the cost of the MSRs for that stratum to its estimated recoverable value is charged to the valuation allowance.

Fair Value of Financial Instruments Carried at Amortized Cost

The Company’s cash balances as well as certain of its borrowings are carried at amortized cost. Management has concluded that the fair values of Cash, Assets sold under agreements to repurchase, and Borrowings under forward purchase agreements approximate the agreements’ carrying values due to the immediate realizability of Cash at its carrying amount and to the borrowing agreements’ short terms and variable interest rates.

Cash is measured using Level 1 inputs. The Company’s Assets sold under agreements to repurchase and Borrowings under forward purchase agreements are carried at amortized cost. The Company has classified these financial instruments as “Level 3” financial statement items as of September 30, 2014 due to the lack of current market activity and the Company’s reliance on unobservable inputs to estimate these instruments’ fair values.

The Notes are carried at amortized cost. The fair value of the Notes at September 30, 2014 and December 31, 2013 was $244.0 million and $238.4 million, respectively. The fair value of the Notes is estimated using a broker indication of value. The Company has classified the Notes as “Level 3” financial statement items as of September 30, 2014 due to the lack of current market activity and the use of broker’s indication of value to estimate the instrument’s fair values.

Valuation Techniques and Inputs

Most of the Company’s financial assets and a portion of its liabilities are carried at fair value with changes in fair value recognized in current period income. A substantial portion of those items are “Level 3” financial statement items which require the use of significant unobservable inputs in the estimation of the assets’ and liabilities’ fair values. Unobservable inputs reflect the Company’s own assumptions about the factors that market participants use in pricing an asset or liability, and are based on the best information available under the circumstances.

Due to the difficulty in estimating the fair value of “Level 3” financial statement items, PFSI has assigned the estimating of fair value of these assets to PFSI’s specialized staff and subjects the valuation process to significant executive management oversight. PFSI’s Financial Analysis and Valuation group (the “FAV group”), which is responsible for valuing and monitoring the Company’s investment portfolios and maintenance of its valuation policies and procedures, estimates the fair value of “Level 3” financial instruments and MSRs.

The FAV group reports to PFSI’s valuation committee, which oversees and approves the valuations. The valuation committee includes the chief executive, financial, operating, credit, and asset/liability management officers of PFSI. The FAV group monitors the models used for valuation of the Company’s “Level 3” financial statement items, including the models’ performance versus actual results and reports those results to PFSI’s valuation committee. The results developed in the FAV group’s monitoring activities are used to calibrate subsequent projections used for valuation.

The FAV group is responsible for reporting to PFSI’s valuation committee on a monthly basis on the changes in the valuation of the Level 3 assets and liabilities it values, including major factors affecting the valuation and any changes in model methods and assumptions. To assess the reasonableness of its valuations, the FAV group presents an analysis of the effect on the valuation of each of the changes to the significant inputs to the valuation models.

The following describes the valuation techniques and assumptions used in estimating the fair values of Level 2 and Level 3 financial statement items:

Mortgage-Backed Securities

The Company’s MBS securities presently include Agency and senior non-agency MBS, Agency and senior non-Agency MBS are categorized as “Level 2” financial statement items. Fair value of Agency and senior non-Agency MBS is estimated based on quoted market prices for similar securities.

26

Mortgage Loans

Fair value of mortgage loans is estimated based on whether the mortgage loans are saleable into active markets:

• Mortgage loans that are saleable into active markets, comprised of the Company’s mortgage loans acquired for sale at fair value and mortgage loans at fair value held in a VIE, are categorized as “Level 2” financial statement items. The fair values of mortgage loans acquired for sale at fair value are estimated using their quoted market or contracted price or market price equivalent. For the mortgage loans at fair value held in a VIE, the fair values of all of the individual securities issued by the securitization trust are used to derive a fair value for the mortgage loans.

• Loans that are not saleable into active markets, comprised of the Company’s mortgage loans at fair value held outside the VIE and mortgage loans under forward purchase agreements at fair value, are categorized as “Level 3” financial statement items and their fair values are estimated using a discounted cash flow approach. Inputs to the discounted cash flow model include current interest rates, loan amount, payment status, property type or contracted selling price, discount rates and forecasts of future interest rates, home prices, prepayment speeds, default speeds and loss severities.

The valuation process includes the computation by stratum of the fair values and a review for reasonableness of various measures such as weighted average life, projected prepayment and default speeds, and projected default and loss percentages. The FAV group computes the effect on the valuation of changes in input variables such as interest rates, home prices, and delinquency status to assess the reasonableness of changes in the loan valuation. The results of the estimates of fair value of “Level 3” mortgage loans are reported to PFSI’s valuation committee as part of its review and approval of monthly valuation results.

Changes in fair value attributable to changes in instrument-specific credit risk are measured by the effect on fair value of the change in the respective loan’s delinquency status at period-end from the later of the beginning of the period or acquisition date.

The significant unobservable inputs used in the fair value measurement of the Company’s mortgage loans at fair value and mortgage loans under forward purchase agreements at fair value are discount rate, home price projections, voluntary prepayment speeds and default speeds. Significant changes in any of those inputs in isolation could result in a significant change to the loans’ fair value measurement. Increases in home price projections are generally accompanied by an increase in voluntary prepayment speeds.

27

Following is a quantitative summary of key inputs used in the valuation of mortgage loans at fair value and mortgage loans under forward purchase agreements at fair value:

Key inputs	September 30, 2014	December 31, 2013
Mortgage loans at fair value
Discount rate
Range	5.4% – 15.0%	8.7% – 16.9%
Weighted average	8.9%	12.7%
Twelve-month projected housing price index change
Range	4.0% – 5.1%	2.5% – 4.3%
Weighted average	4.8%	3.7%
Prepayment speed (1)
Range	0.0% – 7.4%	0.0% – 3.9%
Weighted average	3.0%	2.0%
Total prepayment speed (2)
Range	0.0% – 27.5%	0.3% – 33.9%
Weighted average	21.6%	24.3%
Mortgage loans under forward purchase agreements
Discount rate
Range	—	9.5% – 13.5%
Weighted average	—	11.9%
Twelve-month projected housing price index change
Range	—	3.3% – 4.2%
Weighted average	—	3.8%
Prepayment speed (1)
Range	—	1.1% – 2.9%
Weighted average	—	2.2%
Total prepayment speed (2)
Range	—	13.4% – 27.9%
Weighted average	—	22.8%

(1) Prepayment speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”).

(2) Total prepayment speed is measured using Life Total CPR.

Excess Servicing Spread Purchased from PennyMac Financial Services, Inc.

The Company categorizes ESS as a “Level 3” financial statement item. The Company uses a discounted cash flow approach to estimate the fair value of ESS. The key inputs used in the estimation of the fair value of ESS include prepayment speed and discount rate. Significant changes to those inputs in isolation may result in a significant change in the ESS fair value measurement. Changes in these key inputs are not necessarily directly related.

ESS is generally subject to loss in fair value when interest rates decrease. Decreasing mortgage rates normally encourage increased mortgage refinancing activity. Increased refinancing activity reduces the life of the loans underlying the ESS, thereby reducing the fair value of ESS. Reductions in the fair value of ESS affect income primarily through change in fair value.

Interest income for ESS is accrued using the interest method, based upon the expected interest yield from the ESS through the expected life of the underlying mortgages. Changes to expected interest yield result in a change in Interest income which is recorded in Interest income. Changes to expected cash flows result in a change to fair value that is recognized in Net gain (loss) on investments.

28

Following are the key inputs used in determining the fair value of ESS:

Key inputs	September 30, 2014	December 31, 2013
Unpaid principal balance of underlying mortgage loans (in thousands)	$27,702,102	$20,512,659
Average servicing fee rate (in basis points)	31	32
Average ESS rate (in basis points)	16	16
Pricing spread (1)
Range	1.7% - 11.8%	2.8% - 14.4%
Weighted average	5.0%	5.4%
Life (in years)
Range	0.4 - 7.3	0.9 - 8.0
Weighted average	5.8	6.1
Annual total prepayment speed (2)
Range	7.6% - 72.4%	7.7% - 48.6%
Weighted average	10.8%	9.7%

(1) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar London Interbank Offered Rate (“LIBOR”) curve for purposes of discounting cash flows relating to ESS.

(2) Prepayment speed is measured using Life Total CPR.

Derivative Financial Instruments

The Company estimates the fair value of IRLCs based on quoted Agency MBS prices, its estimate of the fair value of the MSRs it expects to receive in the sale of the loans and the probability that the mortgage loan will be purchased as a percentage of the commitments it has made (the “pull-through rate”). The Company categorizes IRLCs as “Level 3” financial statement items.

The significant unobservable inputs used in the fair value measurement of the Company’s IRLCs are the pull-through rate and the MSR component of the Company’s estimate of the fair value of the mortgage loans it has committed to purchase. Significant changes in the pull-through rate and the MSR component of the IRLCs, in isolation, may result in a significant change in fair value. The financial effects of changes in these assumptions are generally inversely correlated as increasing interest rates have a positive effect on the fair value of the MSR component of IRLC value, but increase the pull-through rate for loans that have decreased in fair value.

Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs:

Key inputs	September 30, 2014	December 31, 2013
Pull-through rate
Range	49.8% - 98.0%	64.8% - 98.0%
Weighted average	83.5%	86.4%
MSR value expressed as:
Servicing fee multiple
Range	1.6 - 5.2	1.4 - 5.1
Weighted average	3.9	4.1
Percentage of unpaid principal balance
Range	0.4% - 2.5%	0.4% - 1.3%
Weighted average	1.0%	1.0%

29

The Company estimates the fair value of commitments to sell loans based on quoted MBS prices. The Company estimates the fair value of the interest rate options and futures it purchases and sells based on observed interest rate volatilities in the MBS market.

Real Estate Acquired in Settlement of Loans

REO is measured based on its fair value on a nonrecurring basis and is categorized as a “Level 3” financial statement item. Fair value of REO is established by using a current estimate of value from a broker’s price opinion or a full appraisal, or the price given in a current contract of sale.

REO values are reviewed by the Manager’s staff appraisers when the Company obtains multiple indications of value and there is a significant difference between the values received. PCM’s staff appraisers will attempt to resolve the difference between the indications of value. In circumstances where the appraisers are not able to generate adequate data to support a value conclusion, the staff appraisers will order an additional appraisal to determine the value.

Mortgage Servicing Rights

MSRs are categorized as “Level 3” financial statement items. The Company uses a discounted cash flow approach to estimate the fair value of MSRs. The key inputs used in the Company’s discounted cash flow model are based on market factors which management believes are consistent with inputs and data used by market participants valuing similar MSRs. The key inputs used in the estimation of the fair value of MSRs include prepayment and default rates of the underlying loans, the applicable pricing spread or discount rate, and annual per-loan cost to service mortgage loans, all of which are unobservable. Significant changes to any of those inputs in isolation could result in a significant change in the MSR fair value measurement. Changes in these key inputs are not necessarily directly related. The results of the estimates of fair value of MSRs are reported to PFSI’s valuation committee as part of their review and approval of monthly valuation results.

MSRs are generally subject to loss in fair value when mortgage interest rates decrease. Decreasing mortgage interest rates normally encourage increased mortgage refinancing activity. Increased refinancing activity reduces the life of the loans underlying the MSRs, thereby reducing MSR fair value. Reductions in the fair value of MSRs affect income primarily through change in fair value and impairment charges. For MSRs backed by mortgage loans with historically low interest rates, factors other than interest rates (such as housing price changes) take on increasing influence on prepayment behavior of the underlying mortgage loans.

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Following are the key inputs used in determining the fair value of MSRs at the time of initial recognition:

	Quarter ended September 30,
	2014		2013
Key inputs	Amortized cost	Fair value	Amortized cost	Fair value
	(MSR recognized and unpaid principal balance of underlying loan amounts in thousands)
MSR recognized	$26,802	$12,812	$41,018	$7,939
Unpaid principal balance of underlying mortgage loans	$2,423,013	$1,234,028	$3,404,274	$707,891
Weighted-average annual servicing fee rate (in basis points)	25	25	25	25
Pricing spread (1)
Range	6.5% – 17.5%	8.8% – 13.5%	5.4% – 13.9%	7.4% - 9.6%
Weighted average	8.5%	9.1%	6.3%	8.0%
Life (in years)
Range	1.4 - 7.3	2.8 - 7.3	2.9 - 6.9	3.8 - 6.9
Weighted average	6.6	7.1	6.3	6.8
Annual total prepayment speed (2)
Range	7.6% – 48.8%	8.0% – 30.4%	8.5% – 15.6%	8.8% - 20.7%
Weighted average	9.2%	9.7%	8.9%	9.8%
Annual per-loan cost of servicing
Range	$68 – $140	$68 – $140	$68 – $68	$68 - $68
Weighted average	$70	$70	$68	$68

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	Nine months ended September 30,
	2014		2013
Key inputs	Amortized cost	Fair value	Amortized cost	Fair value
	(MSR recognized and unpaid principal balance of underlying loan amounts in thousands)
MSR recognized	$49,276	$39,954	$148,186	$8,043
Unpaid principal balance of underlying mortgage loans	$4,518,100	$3,784,142	$12,247,940	$717,877
Weighted-average annual servicing fee rate (in basis points)	25	25	26	25
Pricing spread (1)
Range	6.3% – 17.5%	8.5% - 13.5%	5.4% – 14.4%	7.4% - 14.4%
Weighted average	8.5%	9.1%	6.6%	8.0%
Life (in years)
Range	1.1 - 7.3	2.8 - 7.3	2.6 - 6.9	2.8 - 6.9
Weighted average	6.3	7.1	6.4	6.8
Annual total prepayment speed (2)
Range	7.6% – 56.4%	8.0% - 30.4%	8.5% – 23.6%	8.8% - 27.0%
Weighted average	9.7%	9.5%	9.0%	10.0%
Annual per-loan cost of servicing
Range	$68 – $140	$68 - $140	$68 – $140	$68 - $68
Weighted average	$69	$69	$68	$68

(1) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans.

(2) Prepayment speed is measured using Life Total CPR.

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Following is a quantitative summary of key inputs used in the valuation of MSRs as of the dates presented, and the effect on the fair value from adverse changes in those assumptions (weighted averages are based upon unpaid principal balance or fair value where applicable):

	September 30, 2014		December 31, 2013
	Amortized cost	Fair value	Amortized cost	Fair value
	(Carrying value, unpaid principal balance and effect on fair value amounts in thousands)
Carrying value	$287,977	$57,871	$264,120	$26,452
Key inputs:
Unpaid principal balance of underlying mortgage loans	$26,459,404	$5,803,275	$23,399,612	$2,393,321
Weighted-average annual servicing fee rate (in basis points)	26	25	26	26
Weighted-average note interest rate	3.77%	4.78%	3.68%	4.78%
Pricing spread (1) (2)
Range	6.3% – 17.5%	7.6% – 15.3%	6.3% – 17.5%	7.3% – 15.3%
Weighted average	7.3%	9.1%	6.7%	8.6%
Effect on fair value of a:
5% adverse change	$(5,718)	$(1,024)	$(5,490)	$(488)
10% adverse change	$(11,245)	$(2,013)	$(10,791)	$(959)
20% adverse change	$(21,759)	$(3,897)	$(20,861)	$(1,855)
Weighted average life (in years)
Range	1.3 - 7.2	2.4 - 7.2	1.3 - 7.3	2.8 - 7.3
Weighted average	6.4	7.0	6.7	7.2
Prepayment speed (1) (3)
Range	7.7% - 52.7%	8.0% - 32.7%	7.7% - 51.9%	8.0% - 20.0%
Weighted average	8.6%	10.1%	8.2%	8.9%
Effect on fair value of a:
5% adverse change	$(5,886)	$(1,396)	$(5,467)	$(568)
10% adverse change	$(11,589)	$(2,742)	$(10,765)	$(1,117)
20% adverse change	$(22,480)	$(5,288)	$(20,886)	$(2,160)
Annual per-loan cost of servicing
Range	$68 – $140	$68 – $140	$68 – $140	$68 – $140
Weighted average	$68	$69	$68	$68
Effect on fair value of a:
5% adverse change	$(1,905)	$(364)	$(1,695)	$(158)
10% adverse change	$(3,809)	$(729)	$(3,390)	$(316)
20% adverse change	$(7,619)	$(1,457)	$(6,780)	$(633)

(1) The effect on value of an adverse change in one of the above-mentioned key inputs may result in recognition of MSR impairment. The extent of impairment recognized will depend on the relationship of fair value to the carrying value of MSRs.

(2) Pricing spread represents a margin that is added to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans and purchased MSRs not backed by pools of distressed mortgage loans.

(3) Prepayment speed is measured using Life Total CPR.

The preceding sensitivity analyses are limited in that they were performed at a particular point in time; only contemplate the movements in the indicated inputs; do not incorporate changes in the inputs in relation to other inputs; are subject to

33

the accuracy of various models and assumptions used; and do not incorporate other factors that would affect the Company’s overall financial performance in such scenarios, including operational adjustments made by management to account for changing circumstances. For these reasons, the preceding estimates should not be viewed as earnings forecasts.

Note 8—Mortgage Loans Acquired for Sale at Fair Value

Mortgage loans acquired for sale at fair value is comprised of recently originated mortgage loans purchased by the Company for resale. Following is a summary of the distribution of the Company’s mortgage loans acquired for sale at fair value:

	September 30, 2014				December 31, 2013
	Fair value		Unpaid principal balance		Fair value		Unpaid principal balance
Loan type	(in thousands)
Conventional:
Agency-eligible	$	451,288	$	434,584	$	311,162	$	304,749
Jumbo		177,843		173,174		34,615		35,050
Government-insured or guaranteed		59,719		56,782		112,360		107,587
	$	688,850	$	664,540	$	458,137	$	447,386
Loans pledged to secure assets sold under agreements to repurchase	$	675,659			$	454,210

The Company is not approved by Ginnie Mae as an issuer of Ginnie Mae-guaranteed securities which are backed by government-insured or guaranteed mortgage loans. The Company transfers government-insured or guaranteed mortgage loans that it purchases from correspondent lenders to PLS, which is a Ginnie Mae-approved issuer, and earns a sourcing fee of three basis points on the unpaid principal balance plus interest earned during the period it holds each such loan.

Note 9—Derivative Financial Instruments

The Company engages in interest rate risk management activities in an effort to reduce the variability of earnings caused by changes in interest rates. To manage the price risk resulting from interest rate risk, the Company uses derivative financial instruments acquired with the intention of moderating the risk that changes in market interest rates will result in unfavorable changes in the fair value of the Company’s MBS, IRLCs and inventory of mortgage loans acquired for sale. The Company records all derivative financial instruments at fair value and records changes in fair value in current period income.

The Company is exposed to price risk relative to its mortgage loans acquired for sale as well as to the IRLCs it issues to correspondent lenders. The Company bears price risk from the time an IRLC is issued to a correspondent lender to the time the purchased mortgage loan is sold. During this period, the Company is exposed to losses if mortgage interest rates increase because the value of the purchase commitment or mortgage loan acquired for sale decreases.

The Company is also exposed to risk relative to the fair value of its MSRs. The Company is exposed to loss in value of its MSRs when interest rates decrease. The Company periodically includes MSRs in its hedging activities.

Beginning in the third quarter of 2013, the Company entered into Eurodollar futures, which settle daily, to economically hedge net fair value changes of a portion of fixed-rate mortgage loans at fair value held in a VIE and MBS securities at fair value and the related variable rate repurchase agreement liabilities indexed to LIBOR. The Company uses the Eurodollar futures with the intention of moderating the risk of rising market interest rates that will result in unfavorable changes in the value of the Company’s fixed-rate assets and economic performance of its LIBOR-indexed variable interest rate repurchase agreement liabilities.

The Company does not use derivative financial instruments for purposes other than in support of its risk management activities other than IRLCs, which are generated in the normal course of business when the Company commits to purchase mortgage loans acquired for sale.

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The Company had the following derivative assets and liabilities and related margin deposits recorded within Derivative assets and Derivative liabilities on the consolidated balance sheets:

	September 30, 2014								December 31, 2013
			Fair value								Fair value
	Notional		Derivative			Derivative			Notional		Derivative			Derivative
Instrument	amount		assets			liabilities			amount		assets			liabilities
	(in thousands)
Derivatives not designated as hedging instruments:
Free-standing derivatives:
Interest rate lock commitments		838,948	$	5,512		$	121			557,343	$	2,510		$	1,261
Forward sales contracts		2,776,249		1,142			5,272			3,588,027		16,385			1,295
Forward purchase contracts		1,910,139		4,614			478			2,781,066		1,229			7,420
MBS put options		565,000		830			—			55,000		272			—
MBS call options		50,000		239			—			110,000		—			—
Eurodollar future sale contracts		6,262,000		—			—			8,779,000		—			—
Treasury future sale contracts		85,000		857			—			105,000		—			—
Call options on Eurodollar futures		355,000		666			—			—		—			—
Put options on Eurodollar futures		220,000		422			—			52,500		566			—
Total derivative instruments before netting				14,282			5,871					20,962			9,976
Netting				(3,938	)		(3,982	)				(12,986	)		(8,015	)
			$	10,344		$	1,889				$	7,976		$	1,961
Margin deposits with (collateral received from) derivatives counterparties			$	44							$	(4,971	)

The following table summarizes the notional amount activity for derivative contracts used to hedge the Company’s IRLCs and inventory of mortgage loans acquired for sale:

	Quarter ended September 30, 2014
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Quarter ended September 30, 2014
Forward purchase contracts		3,058,604		8,191,022		(9,339,487	)		1,910,139
Forward sales contracts		4,185,633		11,620,826		(13,030,210	)		2,776,249
MBS put option		270,000		375,000		(345,000	)		300,000
MBS call option		25,000		55,000		(50,000	)		30,000

	Quarter ended September 30, 2013
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Quarter ended September 30, 2013
Forward purchase contracts		5,411,784		18,214,008		(21,291,203	)		2,334,589
Forward sales contracts		7,728,066		21,440,627		(25,844,850	)		3,323,843
MBS put options		460,000		180,000		(510,000	)		130,000
MBS call options		725,000		300,000		(1,025,000	)		—

35

	Nine months ended September 30, 2014
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Nine months ended September 30, 2014
Forward purchase contracts		2,781,066		26,555,921		(27,426,848	)		1,910,139
Forward sales contracts		3,463,027		35,672,348		(36,359,126	)		2,776,249
MBS put option		55,000		1,070,000		(825,000	)		300,000
MBS call option		110,000		80,000		(160,000	)		30,000

	Nine months ended September 30, 2013
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Nine months ended September 30, 2013
Forward purchase contracts		2,206,539		45,301,457		(45,173,407	)		2,334,589
Forward sales contracts		4,266,983		58,817,165		(59,760,305	)		3,323,843
MBS put options		495,000		3,205,000		(3,570,000	)		130,000
MBS call options		—		2,200,000		(2,200,000	)		—

The Company recorded net (losses) gains on derivative financial instruments used to hedge the Company’s IRLCs and inventory of mortgage loans totaling $(4.5) million and $3.1 million for the quarters ended September 30, 2014 and 2013, respectively, and $(44.0) million and $143.2 million for the nine months ended September 30, 2014 and 2013, respectively. Derivative gains and losses are included in Net gains on mortgage loans acquired for sale in the Company’s consolidated statements of income.

The following table summarizes the notional amount activity for derivative contracts used to hedge the Company’s MSRs:

	Quarter ended September 30, 2014
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Quarter ended September 30, 2014
Forward purchase contracts		—		25,000		(25,000	)		—
Forward sales contracts		—		50,000		(50,000	)		—
MBS put option		25,000		165,000		(25,000	)		165,000
MBS call option		70,000		20,000		(70,000	)		20,000
Treasury future sale contracts		—		43,900		(43,900	)		—
Treasury future purchase contracts		—		27,700		(27,700	)		—
Put option on Eurodollar futures		40,000		325,000		(265,000	)		100,000
Call option on Eurodollar futures		130,000		390,000		(275,000	)		245,000

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	Nine months ended September 30, 2014
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Nine months ended September 30, 2014
Forward purchase contracts		—		95,000		(95,000	)		—
Forward sales contracts		—		110,000		(110,000	)		—
MBS put option		—		190,000		(25,000	)		165,000
MBS call option		—		150,000		(130,000	)		20,000
Treasury future sale contracts		—		76,700		(76,700	)		—
Treasury future purchase contracts		—		53,300		(53,300	)		—
Put option on Eurodollar futures		—		690,000		(590,000	)		100,000
Call option on Eurodollar futures		—		670,000		(425,000	)		245,000

The Company recorded net (losses) gains on derivative financial instruments used as economic hedges of MSRs totaling $(653,000) and $0 for the quarters ended September 30, 2014 and 2013, respectively, and $3.5 million and $(2.0) million for the nine months ended September 30, 2014 and 2013, respectively. The derivative net (losses) gains are included in Net loan servicing fees in the Company’s consolidated statements of income.

The following table summarizes the notional amount activity for derivative contracts used to hedge the Company’s net fair value changes of a portion of fixed-rate Mortgage loans at fair value held in a VIE and MBS securities at fair value and the related variable LIBOR rate repurchase agreement liabilities:

	Quarter ended September 30, 2014
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Quarter ended September 30, 2014
Eurodollar future sale contracts		5,562,000		990,000		(290,000	)		6,262,000
Eurodollar future purchase contracts		—		290,000		(290,000	)		—
Treasury future sale contracts		85,000		110,600		(110,600	)		85,000
Treasury future purchase contracts		—		110,600		(110,600	)		—
Put options on Eurodollar futures		85,000		165,500		(130,500	)		120,000
Call option on Eurodollar futures		100,000		190,000		(180,000	)		110,000
MBS put option purchase contracts		97,500		100,000		(97,500	)		100,000
	Quarter ended September 30, 2013
Period/Instrument	Balance, beginning of period		Additions		Dispositions/ expirations			Balance, end of period
	(in thousands)
Quarter ended September 30, 2013
Eurodollar futures		—		19,152,000		(9,188,000	)		9,964,000
Treasury futures		—		75,000		—			75,000
Options on Eurodollar futures		—		2,200,000		—			2,200,000

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	Nine months ended September 30, 2014
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Nine months ended September 30, 2014
Eurodollar future sale contracts		8,779,000		1,452,000		(3,969,000	)		6,262,000
Eurodollar future purchase contracts		—		3,287,000		(3,287,000	)		—
Treasury future sale contracts		105,000		298,600		(318,600	)		85,000
Treasury future purchase contracts		—		278,600		(278,600	)		—
Put options on Eurodollar futures		52,500		362,500		(295,000	)		120,000
Call option on Eurodollar futures		—		290,000		(180,000	)		110,000
MBS put option purchase contracts		15,000		222,500		(137,500	)		100,000
	Nine months ended September 30, 2013
Period/Instrument	Balance, beginning of period		Additions		Dispositions/ expirations			Balance, end of period
	(in thousands)
Nine months ended September 30, 2013
Eurodollar futures		—		19,152,000		(9,188,000	)		9,964,000
Treasury futures		—		75,000		—			75,000
Options on Eurodollar futures		—		2,200,000		—			2,200,000

The Company recorded net losses on derivative financial instruments used to hedge the net change in fair value of fixed-rate assets and its variable LIBOR rate repurchase agreement liabilities of $807,000 for the quarter ended September 30, 2014 and $14.6 million for the nine months ended September 30, 2014. The Company recorded net losses on derivative financial instruments used to hedge the net change in fair value of fixed-rate assets and its variable LIBOR rate repurchase agreement liabilities of $12.1 million for the quarter and nine months ended September 30, 2013. The derivative losses are included in Net gain on investments in the Company’s consolidated statements of income.

Note 10—Mortgage Loans at Fair Value

Mortgage loans at fair value are comprised of mortgage loans that are not acquired for sale and, to the extent they are not held in a VIE securing an asset-backed financing, may be sold at a later date pursuant to a management determination that such a sale represents the most advantageous liquidation strategy for the identified loan.

38

Following is a summary of the distribution of the Company’s mortgage loans at fair value:

	September 30, 2014				December 31, 2013
Loan type	Fair value		Unpaid principal balance		Fair value		Unpaid principal balance
	(in thousands)
Nonperforming loans	$	1,439,520	$	2,199,371	$	1,469,686	$	2,415,446
Performing loans:
Fixed interest rate		303,569		432,358		310,607		475,568
Adjustable-rate mortgage (“ARM”)/hybrid		104,594		134,861		165,327		207,553
Interest rate step-up		183,263		279,244		130,906		215,702
Balloon		156		209		139		213
		591,582		846,672		606,979		899,036
Mortgage loans held in a VIE securing asset-backed financing
Fixed interest rate jumbo		530,809		524,725		523,652		543,257
	$	2,561,911	$	3,570,768	$	2,600,317	$	3,857,739
Mortgage loans at fair value pledged to secure borrowings at period end:
Assets sold under agreements to repurchase	$	2,272,089			$	2,314,324
Mortgage loans held in a consolidated subsidiary whose stock is pledged to secure financings of such loans	$	1,679			$	989
Mortgage loans held in a VIE securing an asset-backed financing	$	530,809			$	523,652

Following is a summary of certain concentrations of credit risk in the portfolio of mortgage loans at fair value, excluding mortgage loans held in a VIE securing asset-backed financing:

Concentration	September 30, 2014			December 31, 2013
Portion of mortgage loans originated between 2005 and 2007		72	%		72	%
Percentage of fair value of mortgage loans with unpaid-principal-balance-to-current-property-value in excess of 100%		55	%		61	%
Percentage of mortgage loans secured by California real estate		21	%		24	%
Additional states contributing 5% or more of mortgage loans		New York Florida New Jersey			New York Florida New Jersey

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Note 11—Mortgage Loans Under Forward Purchase Agreements at Fair Value

Mortgage loans under forward purchase agreements at fair value are comprised of mortgage loans not acquired for resale. Such loans may be sold at a later date pursuant to a management determination that such a sale represents the most advantageous liquidation strategy for the identified loan. Following is a summary of the distribution of the Company’s mortgage loans under forward purchase agreements at fair value:

	September 30, 2014				December 31, 2013
Loan type	Fair value		Unpaid principal balance		Fair value		Unpaid principal balance
	(in thousands)
Nonperforming loans	$	—	$	—	$	177,841	$	268,600
Performing loans:
Fixed		—		—		19,292		29,496
ARM/hybrid		—		—		19,510		31,933
Interest rate step-up		—		—		1,485		2,455
		—		—		40,287		63,884
	$	—	$	—	$	218,128	$	332,484

Following is a summary of certain concentrations of credit risk in the portfolio of mortgage loans under forward purchase agreements at fair value:

	September 30, 2014		December 31, 2013
Portion of mortgage loans originated between 2005 and 2007		—		72	%
Percentage of mortgage loans secured by California real estate		—		25	%
Additional states contributing 5% or more of mortgage loans				New Jersey Washington New York Maryland

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Note 12—Real Estate Acquired in Settlement of Loans

Following is a summary of financial information relating to REO:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Balance at beginning of period	$	240,471		$	88,682		$	138,942		$	88,078
Purchases		—			82			3,049			82
Transfers from mortgage loans at fair value and advances		94,530			48,154			268,677			116,957
Transfers from REO under forward purchase agreements		—			114			12,737			114
Results of REO:
Valuation adjustments, net		(15,639	)		(5,012	)		(32,912	)		(16,079	)
Gain on sale, net		3,713			2,759			9,485			8,644
		(11,926	)		(2,253	)		(23,427	)		(7,435	)
Proceeds from sales		(47,891	)		(35,086	)		(124,794	)		(98,103	)
Balance at end of period	$	275,185		$	99,693		$	275,185		$	99,693
At period end:
REO pledged to secure assets sold under agreements to repurchase	$	56,702		$	17,074
REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties	$	19,858		$	50,796

Note 13—Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements

Following is a summary of the activity in REO under forward purchase agreements:

	Quarter ended September 30,					Nine months ended September 30,
	2014		2013			2014			2013
	(in thousands)
Balance at beginning of period	$	—	$	89		$	9,138		$	—
Purchases		—		—			68			—
Transfers from mortgage loans under forward purchase agreements at fair value and advances		—		3,640			9,369			3,729
Transfers to REO		—		(114	)		(12,737	)		(114	)
Results of REO under forward purchase agreements:
Valuation adjustments, net		—		(31	)		(779	)		(31	)
Gain on sale, net		—		(10	)		306			(10	)
		—		(41	)		(473	)		(41	)
Proceeds from sales		—		(65	)		(5,365	)		(65	)
Balance at end of period	$	—	$	3,509		$	—		$	3,509

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Note 14—Mortgage Servicing Rights

Carried at Fair Value:

Following is a summary of MSRs carried at fair value:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Balance at beginning of period	$	46,802		$	1,827		$	26,452		$	1,346
Additions:
Purchases		—			1,696			—			1,881
MSRs resulting from loan sales		12,812			7,939			39,954			8,043
Total additions		12,812			9,635			39,954			9,924
Change in fair value:
Due to changes in valuation inputs or assumptions used in valuation model (1)		(106	)		(366	)		(4,974	)		(64	)
Other changes in fair value (2)		(1,500	)		(99	)		(3,424	)		(209	)
		(1,606	)		(465	)		(8,398	)		(273	)
Sales		(137	)		—			(137	)		—
Balance at end of period	$	57,871		$	10,997		$	57,871		$	10,997

(1) Principally reflects changes in pricing spread (discount rate) and prepayment speed inputs, primarily due to changes in interest rates.

(2) Represents changes due to realization of expected cash flows.

Carried at Lower of Amortized Cost or Fair Value:

Following is a summary of MSRs carried at lower of amortized cost or fair value:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Amortized Cost:
Balance at beginning of period	$	274,110		$	228,912		$	266,697		$	132,977
MSRs resulting from loan sales		26,802			41,018			49,276			148,186
Amortization		(8,109	)		(7,200	)		(23,170	)		(18,433	)
Application of valuation allowance to write down MSRs with other-than temporary impairment		—			—			—			—
Balance at end of period		292,803			262,730			292,803			262,730
Valuation Allowance:
Balance at beginning of period		(5,428	)		(3,839	)		(2,577	)		(7,547	)
Reversals (additions)		602			(213	)		(2,249	)		3,495
Application of valuation allowance to write down MSRs with other-than-temporary impairment		—			—			—			—
Balance at end of period		(4,826	)		(4,052	)		(4,826	)		(4,052	)
MSRs, net	$	287,977		$	258,678		$	287,977		$	258,678
Estimated fair value at end of period	$	312,196		$	277,711

The following table summarizes the Company’s estimate of amortization of its existing MSRs carried at amortized cost. This projection was developed using the assumptions made by management in its September 30, 2014 valuation of MSRs. The assumptions underlying the following estimate will change as market conditions and portfolio composition and behavior change,

42

causing both actual and projected amortization levels to change over time. Therefore, the following estimates will change in a manner and amount not presently determinable by management.

12 months ending September 30,	Estimated MSR amortization
	(in thousands)
2015	$	29,606
2016		29,570
2017		28,092
2018		25,972
2019		23,490
Thereafter		156,073
Total	$	292,803

Servicing fees relating to MSRs are recorded in Net loan servicing fees on the consolidated statements of income and are summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Contractually-specified servicing fees	$	19,345	$	13,687	$	54,396	$	34,158

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Note 15— Assets Sold Under Agreements to Repurchase

Following is a summary of financial information relating to assets sold under agreements to repurchase:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(dollars in thousands)
During the period:
Weighted-average interest rate (1)		2.13	%		2.39	%		2.18	%		2.50	%
Average balance	$	2,501,816		$	1,755,850		$	2,186,135		$	1,456,278
Total interest expense	$	15,814		$	13,464		$	43,496		$	34,990
Maximum daily amount outstanding	$	2,815,572		$	2,736,873		$	2,700,586		$	2,802,193
Period end:
Balance	$	2,416,686		$	1,980,058
Weighted-average interest rate		2.17	%		2.14	%
Available borrowing capacity:
Committed	$	578,969		$	1,359,746
Uncommitted		894,343			473,547
	$	1,473,312		$	1,833,293
Margin deposits placed with counterparties	$	8,210		$	3,201
Fair value of assets securing agreements to repurchase:
Mortgage-backed securities	$	262,378		$	217,491
Mortgage loans acquired for sale at fair value		675,659			731,717
Mortgage loans at fair value		2,273,768			2,101,061
Real estate acquired in settlement of loans		76,561			67,870
	$	3,288,366		$	3,118,139

(1) Excludes the amortization of commitment fees and issuance costs of $2.2 million and $7.4 million for the quarter and nine months ended September 30, 2014 and $2.7 million and $7.4 million for the quarter and nine months ended September 30, 2013, respectively.

Following is a summary of maturities of outstanding assets sold under agreements to repurchase by maturity date:

Remaining Maturity at September 30, 2014	Balance
	(in thousands)
Within 30 days	$	435,316
Over 30 to 90 days		859,651
Over 90 days to 180 days		429,498
Over 180 days to 1 year		692,221
	$	2,416,686
Weighted average maturity (in months)		4.5

The Company is subject to margin calls during the period the agreements are outstanding and therefore may be required to repay a portion of the borrowings before the respective agreements mature if the value (as determined by the applicable lender) of the assets securing those agreements decreases. Margin deposits are included in Other assets in the consolidated balance sheets.

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The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) and maturity information relating to the Company’s assets sold under agreements to repurchase is summarized by counterparty below as of September 30, 2014:

Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase

Counterparty	Amount at risk		Mortgage loans acquired for sale Weighted-average repurchase  agreement maturity		Facility maturity
	(in thousands)
Credit Suisse First Boston Mortgage Capital LLC	$	188,099		February 12, 2015	October 31, 2014
Bank of America, N.A.	$	42,719		December 29, 2014	January 30, 2015
Morgan Stanley	$	10,063		November 19, 2014	December 18, 2014
The Royal Bank of Scotland Group	$	94,810		—	February 17, 2015
Citibank, N.A.	$	523,389		—	September 7, 2015

Securities sold under agreements to repurchase

Counterparty	Amount at risk		Maturity
	(in thousands)
Daiwa Capital Markets America Inc.	$	7,048	November 2, 2014
Credit Suisse First Boston Mortgage Capital LLC	$	11,936	October 19, 2014
Bank of America, N.A.	$	4,397	October 14, 2014

The Company’s debt financing agreements require PMT and certain of its subsidiaries to comply with financial covenants that include a minimum tangible net worth for the Company of $860 million; a minimum tangible net worth for the Operating Partnership of $700 million (net worth at September 30, 2014 was $1.6 billion, which includes PennyMac Holdings, LLC ( “PMH”) and PennyMac Corp. (“PMC”)), PMH of $250 million (net worth September 30, 2014 was $801 million), and PMC of $150 million (net worth September 30, 2014 was $351 million). These tangible net worth requirements limit the subsidiaries’ abilities to transfer funds to the Company.

Note 16—Asset-Backed Secured Financing of the Variable Interest Entity at Fair Value

Following is a summary of financial information relating to the asset-backed secured financing of the VIE:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(dollars in thousands)
Period end:
Fair Value	$	166,841		$	170,008
Interest rate		3.50	%		3.50	%
During the period:
Weighted-average fair value	$	168,923		$	1,853		$	168,186		$	625
Interest expense	$	1,584		$	—		$	4,762		$	—
Weighted-average effective interest rate		3.67	%		—			3.73	%		—

The Asset-backed secured financing of the variable interest entity is a non-recourse liability and secured solely by the assets of the VIE and not by any other assets of the Company. The assets of the VIE are the only source of funds for repayment of the certificates.

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Note 17—Exchangeable Senior Notes

PMC issued in a private offering $250 million aggregate principal amount of Notes due May 1, 2020. The Notes bear interest at a rate of 5.375% per year, payable semiannually. The Notes are exchangeable into common shares of the Company at a rate of 33.6041 common shares per $1,000 principal amount of the Notes, which exchange rate increased from the initial exchange rate of 33.5149. The increase in the calculated exchange rate was the result of cash dividends exceeding the dividend threshold amount of $0.57 as provided in the related indenture.

Following is financial information relating to the Notes:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(dollars in thousands)
Period end:
Balance	$	250,000	$	250,000
Unamortized issuance costs (1)	$	6,156	$	7,063
During the period:
Weighted-average balance	$	250,000	$	250,000	$	250,000	$	141,026
Interest expense (2)	$	3,592	$	3,577	$	10,763	$	5,961

(1) Unamortized issuance costs are included in Other assets in the consolidated balance sheets.

(2) Total interest expense includes amortization of debt issuance costs of $232,000 and $685,000 during the quarter and nine months ended September 30, 2014, respectively, and $218,000 and $362,000 during the quarter and nine months ended September 30, 2013, respectively.

Note 18—Borrowings under Forward Purchase Agreements

Following is a summary of financial information relating to borrowings under forward purchase agreements:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(dollars in thousands)
Period end:
Balance	$	—		$	229,841
Interest rate		0.00	%		3.03	%
Fair value of underlying loans and REO	$	—		$	231,595
During the period:
Weighted-average effective interest rate		0.00	%		2.96	%		2.84	%		2.97	%
Weighted-average balance	$	—		$	232,722		$	109,708		$	89,459
Interest expense	$	—		$	1,762		$	2,364		$	2,013
Maximum daily amount outstanding	$	—		$	242,394		$	226,847		$	244,047

Note 19—Liability for Losses Under Representations and Warranties

Following is a summary of the Company’s liability for losses under representations and warranties:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Balance, beginning of period	$	11,876	$	7,668	$	10,110	$	4,441
Provision for losses		1,359		1,474		3,125		4,701
Incurred losses		—		—		—		—
Balance, end of period	$	13,235	$	9,142	$	13,235	$	9,142

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Following is a summary of the Company’s repurchase and indemnification activity:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
During the period:
Losses charged to liability for representations and warranties	$	—	$	—	$	—	$	—
Unpaid principal balance of mortgage loans repurchased	$	7,490	$	5,687	$	15,296	$	6,895
Unpaid principal balance of repurchased mortgage loans repurchased by correspondent lenders	$	5,841	$	967	$	10,109	$	1,891
Unpaid principal balance of mortgage loans indemnified by PMT	$	1,571	$	—	$	4,227	$	—
At end of period:
Unpaid principal balance of mortgage loans subject to pending claims for repurchase	$	19,969	$	9,415
Unpaid principal balance of mortgage loans indemnified by PMT	$	4,764	$	—
Unpaid principal balance of mortgage loans subject to representations and warranties	$	32,654,307	$	23,531,815

Note 20—Commitments and Contingencies

Litigation

From time to time, the Company may be involved in various proceedings, claims and legal actions arising in the ordinary course of business. As of September 30, 2014, the Company was not involved in any such proceedings, claims or legal actions that in management’s view would reasonably be likely to have a material adverse effect on the Company.

Mortgage Loan Commitments

The following table summarizes the Company’s outstanding contractual loan commitments:

	September 30, 2014
	(in thousands)
Commitments to purchase mortgage loans:
Correspondent production	$	838,948

Note 21—Shareholders’ Equity

At September 30, 2014, the Company had approximately $115.0 million of common shares available for issuance under its ATM Equity Offering Sales Agreement^SM. During the nine months ended September 30, 2014, the Company sold a total of 3,447,022 of its common shares at a weighted average price of $23.92 per share, providing net proceeds to the Company of approximately $81.6 million, net of sales commissions of $899,000.

At September 30, 2013, the Company had approximately $197.5 million available for issuance under its ATM Equity Offering Sales Agreement^SM. The Company did not sell any common shares under its ATM Equity Offering^SM Sales Agreement during the nine months ended September 30, 2013.

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Note 22—Net Gain on Mortgage Loans Acquired for Sale

Net gain on mortgage loans acquired for sale is summarized below:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Cash (loss) gain:
Sales proceeds, net	$	(15,473	)	$	(108,960	)	$	(21,540	)	$	(207,912	)
Hedging activities		(12,705	)		114,405			(35,004	)		160,109
		(28,178	)		5,445			(56,544	)		(47,803	)
Non cash gain:
Receipt of MSRs in loan sale transactions		39,613			48,957			89,230			156,229
Provision for losses relating to representations and warranties provided in loan sales		(1,359	)		(1,474	)		(3,125	)		(4,701	)
Change in fair value of IRLCs, mortgage loans and hedging derivatives held at period end:
IRLCs		(5,697	)		28,413			4,140			(8,033	)
Mortgage loans		(3,073	)		48,205			5,000			11,211
Hedging derivatives		8,203			(118,515	)		(8,999	)		(22,155	)
		(567	)		(41,897	)		142			(18,977	)
	$	9,509		$	11,031		$	29,702		$	84,748

Note 23—Net Interest Income

Net interest income is summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Interest income:
Short-term investments	$	138	$	252	$	462	$	340
Mortgage-backed securities		1,935		345		5,657		345
Agency debt securities		—		162		—		162
Mortgage loans acquired for sale at fair value		7,712		12,535		16,911		28,150
Mortgage loans at fair value		27,858		20,751		92,870		48,300
Mortgage loans under forward purchase agreements at fair value		—		1,197		3,584		1,457
Excess servicing spread purchased from PFSI, at fair value		3,577		—		9,578		—
Other		16		36		38		196
		41,236		35,278		129,100		78,950
Interest expense:
Assets sold under agreements to repurchase		15,814		13,464		43,496		34,990
Borrowings under forward purchase agreements		—		1,762		2,363		2,013
Asset-backed secured financing		1,584		—		4,762		—
Exchangeable senior notes		3,592		3,577		10,763		5,961
Other		1,030		694		2,276		1,913
		22,020		19,497		63,660		44,877
Net interest income	$	19,216	$	15,781	$	65,440	$	34,073

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Note 24—Net Gain on Investments

Net gain on investments is summarized below:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Net gain (loss) on investments:
Mortgage-backed securities	$	(821	)	$	5,356		$	6,096		$	5,356
Agency debt security		—			578			—			578
Excess servicing spread purchased from PFSI at fair value		(7,396	)		29			(17,834	)		29
Hedging derivatives		(1,135	)		(4,863	)		(5,876	)		(4,863	)
		(9,352	)		1,100			(17,614	)		1,100
Mortgage loans		79,046			47,986			210,981			158,800
Asset-backed secured financing		696			—			(7,258	)		—
	$	70,390		$	49,086		$	186,109		$	159,900

Note 25—Net Loan Servicing Fees

Net loan servicing fees are summarized below:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Servicing fees (1)	$	20,300		$	14,451		$	56,988		$	37,175
MSR recapture fee receivable from PFSI		—			86			9			586
Effect of MSRs:
Carried at lower of amortized cost or fair value
Amortization		(8,109	)		(7,201	)		(23,171	)		(18,433	)
(Provision for) reversal of impairment		602			(212	)		(2,248	)		3,495
Carried at fair value - change in fair value		(1,606	)		(465	)		(8,398	)		(273	)
Gains (losses) on hedging derivatives		(654	)		—			3,532			(1,988	)
		(9,767	)		(7,878	)		(30,285	)		(17,199	)
Net loan servicing fees	$	10,533		$	6,659		$	26,712		$	20,562
Average servicing portfolio	$	30,701,324		$	21,784,126		$	29,531,733		$	20,070,127

(1) Includes contractually specified servicing and ancillary fees.

Note 26—Share-Based Compensation Plans

On September 30, 2014 and 2013, the Company had one share-based compensation plan. The Company recognized compensation expense of $1.6 million and $5.7 million for the quarter and nine months ended September 30, 2014, respectively, and $2.0 million and $5.0 million, for the quarter and nine months ended September 30, 2013, respectively. The Company issued 300,131 and 250,948 restricted share units with a grant date fair value of $6.0 million and $5.2 million for the nine months ended September 30, 2014 and 2013, respectively, and had vestings of 500 and 75,830 units during the quarters ended September 30, 2014 and 2013, respectively, and 230,716 and 248,753 units during the nine months ended September 30, 2014 and 2013, respectively.

49

Note 27—Other Expenses

Other expenses are summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Common overhead allocation from PFSI	$	2,802	$	2,527	$	8,018	$	7,793
Servicing and collection costs		2,064		1,393		5,809		1,726
Loan origination		1,202		1,322		1,637		3,768
Insurance		247		219		738		648
Technology		246		234		720		588
Securitization		—		1,887		—		1,887
Other expenses		823		373		1,682		2,062
	$	7,384	$	7,955	$	18,604	$	18,472

Note 28—Income Taxes

The Company had tax expense of $3.0 million and tax benefit of $509,000 for the quarter and nine months ended September 30, 2014 and tax benefit of $3.6 million and tax expense of $12.4 million for the quarter and nine months ended September 30, 2013. The Company’s effective tax rate was 5.1% and (0.3)% for the quarter and nine months ended September 30, 2014 compared to (10.1)% and 7.8% for the same periods in 2013. The decrease in the Company’s effective tax rate is due primarily to a decrease in the Company’s taxable REIT subsidiary’s income for the nine months ended September 30, 2014 compared to the same period in 2013. The primary difference between the Company’s effective tax rate and the statutory tax rate is due to non-taxable REIT income resulting from the deduction for dividends paid.

In general, cash dividends declared by the Company will be considered ordinary income to shareholders for income tax purposes. Some portion of the dividends may be characterized as capital gain distributions or a return of capital.

Note 29—Segments and Related Information

The Company has two segments: correspondent production and investment activities.

• The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between mortgage lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality mortgage loans either directly or in the form of MBS, using the services of PFSI.

Most of the loans the Company has acquired in its correspondent production activities have been eligible for sale to government-sponsored entities such as Fannie Mae and Freddie Mac or through government agencies such as Ginnie Mae.

• The investment activities segment represents the Company’s investments in mortgage-related assets, which include distressed mortgage loans, REO, MBS, MSRs and ESS. The Company seeks to maximize the value of the distressed mortgage loans that it acquires through proprietary loan modification programs, special servicing or other initiatives focused on keeping borrowers in their homes. Where this is not possible, such as in the case of many nonperforming mortgage loans, the Company seeks to effect property resolution in a timely, orderly and economically efficient manner, including through the use of resolution alternatives to foreclosure.

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Financial highlights by operating segment are summarized below:

Quarter ended September 30, 2014	Correspondent production			Investment activities			Intersegment elimination & other		Total
	(in thousands)
Net investment income:
Net gain on mortgage loans acquired for sale	$	9,509		$	—		$	—	$	9,509
Net gain on investments		—			70,390			—		70,390
Interest income		7,727			33,509			—		41,236
Interest expense		(3,660	)		(18,360	)		—		(22,020	)
		4,067			15,149			—		19,216
Net loan servicing fees		—			10,533					10,533
Other income (loss)		6,524			(9,642	)		—		(3,118	)
		20,100			86,430			—		106,530
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.		15,900			21,545			—		37,445
Other		1,410			9,744			—		11,154
		17,310			31,289			—		48,599
Pre-tax income	$	2,790		$	55,141		$	—	$	57,931
Total assets at period end	$	708,442		$	3,896,371		$	—	$	4,604,813

Quarter ended September 30, 2013	Correspondent production			Investment activities			Intersegment elimination & other			Total
	(in thousands)
Net investment income:
Net gain on mortgage loans acquired for sale	$	11,031		$	—		$	—		$	11,031
Net gain on investments		—			49,086			—			49,086
Interest income		12,536			25,316			(2,574	)		35,278
Interest expense		(9,171	)		(12,900	)		2,574			(19,497	)
		3,365			12,416			—			15,781
Net loan servicing fees		—			6,659						6,659
Other income (loss)		4,490			(985	)		—			3,505
		18,886			67,176			—			86,062
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.		18,968			18,636			—			37,604
Other		211			12,185			—			12,396
		19,179			30,821			—			50,000
Pre-tax (loss) income	$	(293	)	$	36,355		$	—		$	36,062
Total assets at period end	$	760,611		$	3,490,632		$	(2,012	)	$	4,249,231

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Nine months ended September 30, 2014	Correspondent production			Investment activities			Intersegment elimination & other			Total
	(in thousands)
Net investment income:
Net gain on mortgage loans acquired for sale	$	29,702		$	—		$	—		$	29,702
Net gain on investments		—			186,109			—			186,109
Interest income		16,948			114,540			(2,388	)		129,100
Interest expense		(12,196	)		(53,852	)		2,388			(63,660	)
		4,752			60,688			—			65,440
Net loan servicing fees		—			26,712			—			26,712
Other income (loss)		13,365			(17,647	)		—			(4,282	)
		47,819			255,862			—			303,681
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.		37,701			66,836			—			104,537
Other		2,248			29,372			—			31,620
		39,949			96,208			—			136,157
Pre-tax income	$	7,870		$	159,654		$	—		$	167,524
Total assets at period end	$	708,442		$	3,896,371		$	—		$	4,604,813
Nine months ended September 30, 2013	Correspondent production			Investment activities			Intersegment elimination & other			Total
	(in thousands)
Net investment income:
Net gain on mortgage loans acquired for sale	$	84,748		$	—		$	—		$	84,748
Net gain on investments		—			159,900			—			159,900
Interest income		28,151			55,168			(4,369	)		78,950
Interest expense		(22,354	)		(26,892	)		4,369			(44,877	)
		5,797			28,276			—			34,073
Net loan servicing fees		—			20,562			—			20,562
Other income (loss)		14,715			(4,567	)		—			10,148
		105,260			204,171			—			309,431
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.		67,138			48,940			3,284	(1)		119,362
Other		485			29,678			—			30,163
		67,623			78,618			3,284			149,525
Pre-tax income	$	37,637		$	125,553		$	(3,284	)	$	159,906
Total assets at period end	$	760,611		$	3,490,632		$	(2,012	)	$	4,249,231

(1) Corporate absorption of fulfillment fees for transition adjustment related to the amended and restated management agreement effective February 1, 2013.

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Note 30—Supplemental Cash Flow Information

	Nine months ended September 30,
	2014			2013
	(in thousands)
Cash paid for interest	$	68,443		$	58,290
Income tax refund	$	(6,782	)	$	(6,137	)
Non-cash investing activities:
Transfer of mortgage loans acquired for sale at fair value to mortgage loans at fair value held by variable interest entity	$	—		$	536,776
Transfer of mortgage loans and advances to real estate acquired in settlement of loans	$	268,677		$	116,957
Purchase of mortgage loans financed through forward purchase agreements	$	2,828		$	245,389
Transfer of mortgage loans under forward purchase agreements to mortgage loans at fair value	$	205,902		$	13,018
Transfer of mortgage loans under forward purchase agreements and advances to REO under forward purchase agreements	$	9,369		$	3,604
Receipt of MSRs as proceeds from sales of loans	$	89,230		$	156,229
Purchase of REO financed through forward purchase agreements	$	—		$	3,604
Receipt of ESS pursuant to recapture agreement with PFSI	$	6,093		$	—
Transfer of REO under forward purchase agreements to REO	$	12,737		$	114
Non-cash financing activities:
Purchase of mortgage loans financed through forward purchase agreements	$	2,828		$	245,389
Purchase of REO financed through forward purchase agreements	$	—		$	3,604
Transfer of mortgage loans at fair value financed through agreements to repurchase to REO financed under agreements to repurchase	$	3,491		$	25,141
Dividends payable	$	45,467		$	—

Note 31—Regulatory Net Worth

PMC is a seller-servicer for Fannie Mae and Freddie Mac. To retain its status as an approved seller-servicer, PMC is required to meet Fannie Mae’s and Freddie Mac’s capital standards, which require PMC to maintain a minimum net worth of $57.7 million and $27.7 million, respectively. Management believes that PMC complies with Fannie Mae’s and Freddie Mac’s net worth requirement as of September 30, 2014.

Note 32—Recently Issued Accounting Pronouncements

In January of 2014, the FASB issued Accounting Standard Update (“ASU”) No 2014-04, Receivables: Troubled Debt Restructuring by Creditors Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure (“ASU 2014-04”) to the Troubled Debt Restructuring subtopic of the Receivables topic of the ASC

ASU 2014-04 clarifies when a creditor should be considered to have received physical possession of residential real estate collateralizing a mortgage loan and the mortgage loan derecognized in the receivable and recognized as real estate property. ASU 2014-04 specifies that an in substance repossession occurs when either the creditor has obtained the legal title to the property after a foreclosure or the borrower has transferred all interest in the property to the creditor through a deed in lieu of foreclosure or similar legal agreement so that at that time the asset should be reclassified from Mortgage loans at fair value to Real estate acquired in settlement of loans.

ASU 2014-04 also provides that a disclosure of the amount of Real estate acquired in settlement of loans and the recorded investment in Mortgage loans at fair value that are in the process of foreclosure must be included in both interim and annual financial statements.

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ASU 2014-04 is effective for all year-end and interim periods beginning after December 15, 2014. The adoption of ASU 2014-04 is not expected to have a material effect on the Company’s consolidated financial statements.

In May of 2014, the FASB issued ASU No 2014-09, Revenue from Contracts with Customers (“ASU 2014-09”) to the Revenue from Contracts with Customers topic of the ASC. ASU 2014-09 was issued to standardize revenue recognition between public and private companies as well as across industries in an effort to more closely align U.S. GAAP revenue recognition with international standards to provide a more comparable revenue number for the users of the financial statements.

ASU 2014-09 specifies that for all contracts, revenue should be recognized when or as the entity satisfies a performance obligation. Revenue is recognized either over a period or at one point in time in accordance with how the control of the service or good is transferred.

ASU 2014-09 is effective for all year-end and interim periods beginning after December 15, 2016 and early application is not permitted. The Company is evaluating the adoption of ASU 2014-09 and the effect that ASU 2014-09 will have on its consolidated financial statements.

In June of 2014, the FASB issued ASU No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (“ASU 2014-11”) to the Transfers and Servicing topic of the ASC. The amendments in ASU 2014-11 require two accounting changes. First, the amendments in ASU 2014-11 change the accounting for repurchase-to-maturity transactions to secured borrowing accounting. Second, for repurchase financing arrangements, the amendments require separate accounting for a transfer of a financial asset executed contemporaneously with a repurchase agreement with the same counterparty, which will result in secured borrowing accounting for the repurchase agreement.

ASU 2014-11 requires disclosures for certain transactions comprising (1) a transfer of a financial asset accounted for as a sale and (2) an agreement with the same transferee entered into in contemplation of the initial transfer that results in the transferor retaining substantially all of the exposure to the economic return on the transferred financial asset throughout the term of the transaction. ASU 2014-11 also specifies certain disclosure requirements for those transactions outstanding at the reporting date and for repurchase agreements, securities lending transactions and repurchase-to-maturity transactions, the transferor is required to make certain disclosures by type of transaction.

ASU 2014-11 is effective for the annual periods, and interim periods within those annual periods, beginning after December 15, 2014. The adoption of ASU 2014-11 is not expected to have a material effect on the Company’s consolidated financial statements.

In August of 2014, FASB issued ASU 2014-15, Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern (“ASU 2014-15”) to the Going Concern subtopic of the Presentation of Financial Statements topic of the ASC. ASU 2014-15 requires that when management identifies conditions or events that raise substantial doubt about an entity’s ability to continue as a going concern, management should consider whether its plans that are intended to mitigate those relevant conditions or events will alleviate the substantial doubt.

ASU 2014-15 requires that if conditions or events raise substantial doubt about an entity’s ability to continue as a going concern, but the substantial doubt is alleviated as a result of consideration of management’s plans, the entity should include a statement in the notes to its financial statements that enables users of the financial statements to understand all of the following:

a. Principal conditions or events that raised substantial doubt about the entity’s ability to continue as a going concern (before consideration of management’s plans)

b. Management’s evaluation of the significance of those conditions or events in relation to the entity’s ability to meet its obligations

c. Management’s plans that alleviated substantial doubt about the entity’s ability to continue as a going concern.

If conditions or events raise substantial doubt about an entity’s ability to continue as a going concern, and substantial doubt is not alleviated after consideration of management’s plans, an entity should include a statement in the notes to its financial statements indicating that there is substantial doubt about the entity’s ability to continue as a going concern within one year after the date that the financial statements are issued (or available to be issued). The entity should disclose information that enables users of the financial statements to understand all of the following:

a. Principal conditions or events that raise substantial doubt about the entity’s ability to continue as a going concern

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b. Management’s evaluation of the significance of those conditions or events in relation to the entity’s ability to meet its obligations

c. Management’s plans that are intended to mitigate the conditions or events that raise substantial doubt about the entity’s ability to continue as a going concern.

ASU 2014-15 is effective for the annual period ending after December 15, 2016, and for annual periods and interim periods thereafter. Early application is permitted. The adoption of ASU 2014-15 is not expected to have a material effect on the Company’s consolidated financial statements.

Note 33—Subsequent Events

Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period:

• On October 1, 2014, the Company, through its subsidiaries, closed a privately placed transaction in which it issued a note in the amount of approximately $166 million backed by mortgage loans and mortgage-related assets that were owned by PMC and not financed under existing credit agreements (the “Asset-backed Note”). The initial owner of the Asset-backed Note was PMC, which pledged such Asset-backed Note to a money-center bank under an existing securities repurchase agreement.

• All agreements to repurchase assets that matured between September 30, 2014 and the date of this Report were extended or renewed.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Cautionary Statement Regarding Forward-Looking Statements

The following discussion and analysis of financial condition and results of operations should be read with the consolidated financial statements and the related notes of PennyMac Mortgage Investment Trust (“PMT”) included within this Quarterly Report on Form 10-Q.

Statements contained in this Quarterly Report on Form 10-Q may constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. These statements involve known and unknown risks, uncertainties and other factors, which may cause actual results to be materially different from those expressed or implied in such statements. You can identify these forward-looking statements by words such as “may,” “will,” “should,” “expect,” “anticipate,” “believe,” “estimate,” “intend,” “plan” and other similar expressions. You should consider our forward-looking statements in light of the risks discussed under the heading “Risk Factors,” as well as our consolidated financial statements, related notes, and the other financial information appearing elsewhere in this Quarterly Report on Form 10-Q and our other filings with the United States Securities and Exchange Commission (“SEC”). The forward-looking statements contained in this Quarterly Report on Form 10-Q are made as of the date hereof and we assume no obligation to update or supplement any forward-looking statements.

The following discussion and analysis provides information that we believe is relevant to an assessment and understanding of our consolidated results of operations and financial condition. Unless the context indicates otherwise, references in this Quarterly Report on Form 10-Q to the words “we,” “us,” “our” and the “Company” refer to PMT.

Our Company

We are a specialty finance company that invests primarily in residential mortgage loans and mortgage-related assets. Our objective is to provide attractive risk-adjusted returns to our investors over the long-term, principally through dividends and secondarily through capital appreciation. We intend to achieve this objective largely by investing in distressed mortgage loans and mortgage-related assets and acquiring, pooling and selling newly originated prime credit quality residential mortgage loans (“correspondent production”).

We are externally managed by PCM, an indirect subsidiary of PFSI and an investment adviser that specializes in and focuses on residential mortgage loans. Most of our mortgage loan portfolio is serviced by PLS, another indirect subsidiary of PFSI.

During the quarter and nine months ended September 30, 2014, we purchased loans with fair values totaling $8.4 billion and $20.8 billion, respectively, in furtherance of our correspondent production business. To the extent that we purchase loans that are insured by the U.S. Department of Housing and Urban Development (“HUD”), through the Federal Housing Administration (“FHA”) or insured or guaranteed by the Veterans Administration (“VA”), or insured by the United States Department of Agriculture (“USDA”), we and PLS have agreed that PLS will fulfill and purchase such loans, as PLS is a Ginnie Mae-approved issuer and servicer and we are not. This arrangement has enabled us to compete with other correspondent lenders that purchase both government and conventional loans. We receive a sourcing fee from PLS of three basis points on the unpaid principal balance of each loan that we sell to PLS under such arrangement, and earn interest income on the loan for the time period we hold the loan prior to the sale to PLS. We received sourcing fees totaling $1.4 million and $3.4 million, recorded in Net gain on mortgage loans acquired for sale, relating to $4.9 billion and $11.9 billion of loans at fair value we sold to PLS for the quarter and nine months ended September 30, 2014, compared to $1.2 million and $3.6 million relating to $4.1 billion and $12.4 billion of fair value loans we sold to PLS for the quarter and nine months ended September 30, 2013, respectively.

We seek to maximize the value of the distressed mortgage loans that we acquire using means that are appropriate for the particular loan, including both proprietary and nonproprietary loan modification programs, special servicing and other initiatives focused on avoiding foreclosure, when possible. When we are unable to effect a cure for a mortgage delinquency, our objective is to effect timely acquisition and/or liquidation of the property securing the loan through the use, in part, of short sales and deed-in-lieu of foreclosure programs. During the nine months ended September 30, 2014, we acquired distressed mortgage loans with fair values totaling $283.0 million. We received proceeds from sales, liquidation, and payoffs from our portfolio of distressed mortgage loans and REO totaling $172.1 million and $647.2 million, during the quarter and nine months ended September 30, 2014, respectively.

We supplement these activities through participation in other mortgage-related activities, which are in various stages of analysis, planning or implementation, including:

• Acquisition of MSRs or ESS from MSRs. We believe that MSRs and ESS are attractive long-term investments that allow us to leverage the loan servicing and origination capabilities of PLS which have the potential to enhance the assets’ returns. In addition, MSRs and ESS can act as a hedge for us against the interest-rate sensitivity of other assets, such as mortgage-backed securities or the inventory of our correspondent production business. During the quarter and nine months ended September 30, 2014, we purchased ESS with fair values totaling $9.3 million and $82.6 million, respectively.

We also intend to continue to retain the MSRs that we receive as a portion of the proceeds from our sale or securitization of mortgage loans through our correspondent production operation. During the quarter and nine months ended September 30, 2014, we received MSRs with fair values at initial recognition totaling $39.6 million and $89.2 million, respectively, compared to $49.0 million and $156.2 million during the quarter and nine months ended September 30, 2013.

• To the extent that we transfer correspondent production loans into private label securitizations, retention of a portion of the securities created in the securitization transaction.

• Acquisition of REIT-eligible mortgage-backed or mortgage-related securities.

• Providing inventory financing of mortgage loans for mortgage lenders. We believe this activity may result in attractive investment assets and will supplement and make our correspondent production business more attractive to lenders from which we acquire newly originated loans.

• Acquisition of small business commercial mortgage loans.

We conduct substantially all of our operations, and make substantially all of our investments, through our Operating Partnership and its subsidiaries. We are the sole limited partner and one of our wholly-owned subsidiaries is the sole general partner of our Operating Partnership.

We believe that we qualify to be taxed as a REIT. We believe that we will not be subject to federal income tax on that portion of our income that is distributed to shareholders as long as we meet certain asset, income and share ownership tests. If we fail to qualify as a REIT, and do not qualify for certain statutory relief provisions, our profits will be subject to income taxes and we may be precluded from qualifying as a REIT for the four tax years following the year we lose our REIT qualification.

A portion of our activities, including our correspondent production business, is conducted in a taxable REIT subsidiary (“our TRS”), which is subject to corporate federal and state income taxes. Accordingly, we make a provision for income taxes with respect to the operations of our TRS. We expect that the effective rate for the provision for income taxes may be volatile in future periods. Our goal is to manage the business to take full advantage of the tax benefits afforded to us as a REIT.

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Observations on Current Market Opportunities

Our business is affected by macroeconomic conditions in the United States, including economic growth, unemployment rates, the residential housing market and interest rate levels and expectations. During the third quarter of 2014, real U.S. gross domestic product expanded at an annual rate of 3.5% compared to a revised 4.6% increase for the second quarter of 2014 and a 4.5% increase for the third quarter of 2013. The national unemployment rate was 5.9% at September 30, 2014 compared to seasonally adjusted rates of 7.2% and 6.1% at September 30, 2013 and June 30, 2014, respectively. While delinquency rates on residential real estate loans continue to decrease, they remain elevated compared to historical rates. As reported by the Federal Reserve Bank, during the second quarter of 2014, the delinquency rate on residential real estate loans held by commercial banks was 7.4%, a reduction from 9.3% during the second quarter of 2013.

The seasonally adjusted annual rate of existing home sales for September 2014 was 1.7% lower than for September 2013 and the national median existing home price for all housing types was $209,700, a 5.6% increase from September 2013. On a national level, foreclosure filings during the third quarter of 2014 decreased by 16% as compared to the third quarter of 2013. Foreclosure activity across the country remained relatively flat from the prior quarter and is expected to remain above historical average levels through 2014 and beyond.

Thirty-year fixed mortgage interest rates ranged from a low of 4.12% to a high of 4.16% during the third quarter of 2014. During the third quarter of 2013, thirty-year fixed mortgage interest rates ranged from a low of 4.37% to a high of 4.49% (Source: the Federal Home Loan Mortgage Corporation’s Weekly Primary Mortgage Market Survey).

Changes in fixed rate residential mortgage loan interest rates generally follow changes in long term U.S. Treasury yields. Toward the end of the second quarter of 2013, an increase in these Treasury yields led to an increase in mortgage loan interest rates. As a result of this increase in mortgage loan interest rates, market volumes for mortgage originations have decreased led by a reduction in refinance activity. However, mortgage rates remain very low in a historical context.

Mortgage lenders originated an estimated $335 billion of home loans during the quarter ended September 30, 2014, down 27% from the quarter ended September 30, 2013. Mortgage originations are forecast to remain low, with current industry estimates for 2014 totaling $1.1 trillion compared to $1.9 trillion for 2013 (Source: Average of Fannie Mae, Freddie Mac and Mortgage Bankers Association forecasts).

In recent periods, we have seen increased competition from new and existing market participants in our correspondent production business, as well as reductions in the overall level of refinancing activity. We believe that this change in supply and demand within the marketplace has been driving lower production margins in recent periods, which is reflected in our results of operations in our net gains on mortgage loans acquired for sale. During the first several months of 2013, net gains on mortgage loans acquired for sale benefited from wider secondary spreads (the difference between interest rates charged to borrowers and yields on mortgage-backed securities in the secondary market); however, secondary spreads narrowed in subsequent months and we expect them to continue to normalize toward their long-term averages through 2014.

We believe there is significant long-term market opportunity in non-Agency jumbo mortgage loans. Pricing for non-Agency AAA rated bonds has steadily improved since the beginning of the year, however liquidity is fairly limited. During the nine months ended September 30, 2014, prime jumbo MBS issuance totaled $4.5 billion in unpaid principal balance (“UPB”) compared to $12.4 billion during the nine months ended September 30, 2013. During the nine months ended September 30, 2014, we produced approximately $262.3 million in UPB of jumbo loans, compared to $189.4 million in UPB of jumbo loans produced during the nine months ended September 30, 2013.

Our Manager continues to see substantial volumes of distressed residential mortgage loan sales (sales of loan pools that consist of either nonperforming loans, troubled but performing loans or a combination thereof) offered for sale by a limited number of sellers. During the third quarter of 2014, our Manager reviewed 70 mortgage loan pools with UPB totaling approximately $12.2 billion. This compares to our Manager’s review of 25 mortgage loan pools with UPB totaling approximately $7.3 billion during the third quarter of 2013. During the nine months ended September 30, 2014, we acquired distressed loans with fair value totaling $287.5 million and $1.0 billion during the same period in 2013. While we expect to see a continued supply of distressed whole loans, we believe the pricing for recent transactions has been less attractive for buyers. We remain patient and selective in making new investments in distressed whole loans and we continue to monitor the market to assess best execution opportunities for our existing distressed portfolio investments.

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Results of Operations

The following is a summary of our key performance measures:

	Quarter ended September 30,					Nine months ended September 30,
	2014		2013			2014		2013
	(in thousands except per share amounts)
Net investment income	$	106,530	$	86,062		$	303,681	$	309,431
Income (loss) before provision for income taxes by segment:
Correspondent production	$	2,790	$	(293	)	$	7,870	$	37,637
Investment activities		55,141		36,355			159,654		125,553
Other (1)		—		—			—		(3,284	)
	$	57,931	$	36,062		$	167,524	$	159,906
Net income	$	54,949	$	39,701		$	168,033	$	147,494
Earnings per share:
Basic	$	0.74	$	0.61		$	2.28	$	2.40
Diluted	$	0.69	$	0.57		$	2.13	$	2.29
Dividends per share:
Declared	$	0.61	$	0.57		$	1.79	$	1.71
Paid	$	0.59	$	0.57		$	1.77	$	1.71
Investment activities:
Distressed mortgage loans and REO:
Purchases	$	—	$	584,419		$	287,520	$	1,028,090
Cash proceeds from liquidation activities	$	172,139	$	101,823		$	647,164	$	300,082
MBS:
Purchases	$	54,284	$	199,558		$	73,922	$	199,558
Cash proceeds from repayment and sales	$	4,411	$	—		$	9,830	$	—
ESS:
Purchases from PFSI	$	9,253	$	2,828		$	82,646	$	2,828
Cash proceeds from repayments	$	8,786	$	—		$	25,280	$	—
Per share prices during the period:
High	$	22.35	$	23.52		$	24.44	$	28.73
Low	$	21.10	$	20.39		$	20.78	$	19.17
At period end	$	21.43	$	22.68
At period end:
Total assets	$	4,604,813	$	4,249,231
Book value per share	$	21.42	$	21.22

(1) Represents corporate absorption of fulfillment fees for transition adjustment relating to the amended and restated mortgage banking and warehouse services agreement effective February 1, 2013.

During the quarter and nine months ended September 30, 2014, we recorded net income of $54.9 million and $168.0 million, or $0.69 and $2.13 per diluted share, respectively. Our net income for the quarter and nine months ended September 30, 2014 reflects net gains on our investments in financial instruments (comprised of net gain on investments and net gain on mortgage loans acquired for sale) totaling $79.9 million and $215.8 million, including $75.2 million and $172.1 million of valuation gains on mortgage loans at fair value, and mortgage loans under forward purchase agreements at fair value, excluding mortgage loans held by VIE. These gains were supplemented by $19.2 million and $65.4 million of net interest income, respectively. During the quarter and nine months ended September 30, 2014, we purchased $8.4 billion and $20.8 billion in fair value of newly originated mortgage loans. We recognized gains on such loans totaling approximately $9.5 million and $29.7 million. At September 30, 2014, we held mortgage loans acquired for sale with fair values totaling $688.9 million, including $59.7 million that were pending sale to PLS.

During the quarter and nine months ended September 30, 2013, we recorded net income of $39.7 million and $147.5 million, or $0.57 and $2.29 per diluted share, respectively. Our net income for the quarter and nine months ended September 30, 2013 reflects net gains on our investments in financial instruments totaling $60.1 million and $244.6 million (comprised of net gain on investments and net gain on mortgage loans acquired for sale), including $41.9 million and $136.3 million of valuation gains on mortgage loans at fair value and mortgage loans under forward purchase agreements at fair value. These gains were supplemented by $15.8 million and $34.1 million of net interest income. During the

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quarter and nine months ended September 30, 2013, we purchased $8.2 billion and $26.0 billion, respectively, in fair value of newly originated mortgage loans. We recognized gains on such loans totaling approximately $11.0 million and $84.7 million, respectively. At September 30, 2013, we held mortgage loans acquired for sale with fair values totaling $737.1 million, including $273.0 million that were pending sale to PLS.

Our net income increased during the quarter and nine months ended September 30, 2014 compared to the quarter and nine month periods ended September 30, 2013 primarily due to increased pretax income in our investment activities segment. In our investment activities, our average investment portfolio was approximately $2.9 billion and $3.0 billion during the quarter and nine months ended September 30, 2014, an increase of $1.1 billion, or 58%, and $1.5 billion, or 105%, over the quarter and nine months ended September 30, 2013, respectively. During the quarter and nine months ended September 30, 2014, we recognized net investment income totaling approximately $86.4 million and $255.9 million in our investment activities segment, an increase of $19.3 million, or 29%, and $51.7 million, or 25%, from the quarter and nine months ended September 30, 2013. During the quarter and nine months ended September 30, 2013, we recognized net investment income totaling approximately $67.2 million and $204.2 million, respectively.

In our correspondent production activities, we received proceeds of $3.8 billion and $8.6 billion during the quarter and nine months ended September 30, 2014, from the sale of mortgage loans to non-affiliates. We issued $3.6 billion and $9.7 billion of IRLCs relating to Agency and jumbo mortgage loans, an increase of $800 million, or 28% and a decrease of $3.1 billion, or 24%, from the same period in 2013. During 2014, higher interest rates relative to those that prevailed during the first half of 2013 negatively affected demand for mortgage loans as well as increased competition in the mortgage market, reducing both the volume of loans we purchased and the margins on our net gain on mortgage loans acquired for sale. As a result, we sold fewer loans during 2014 as compared to 2013, and our net gain on loans acquired for sale decreased by $1.5 million, or 14% and $55.0 million, or 65% during the quarter and nine months ended September 30, 2014.

Net Investment Income

During the quarter and nine months ended September 30, 2014, we recorded net investment income of $106.5 million and $303.7 million, respectively, comprised primarily of net gain on investments of $70.4 million and $186.1 million, supplemented by $19.2 million and $65.4 million of net interest income, $9.5 million and $29.7 million of net gain on mortgage loans acquired for sale, $10.5 million and $26.7 million of net loan servicing fees, and $6.4 million and $13.3 million of loan origination fees, partially offset by $11.9 million and $23.9 million of losses from results of REO, respectively. This compares to net investment income of $86.1 million and $309.4 million recognized during the quarter and nine months ended September 30, 2013, comprised primarily of net gain on mortgage loans acquired for sale of $11.0 million and $84.7 million and net gain on investments of $49.1 million and $159.9 million, respectively, supplemented by $15.8 million and $34.1 million of net interest income, $4.6 million and $14.8 million of loan origination fees and $6.7 million and $20.6 million of net loan servicing fees, partially offset by $2.3 million and $7.5 million of losses from results of REO, respectively.

The increase in net investment income during the quarter ended September 30, 2014, as compared to the quarter ended September 30, 2013, primarily reflects the increase in net fair value gains in our investments in mortgage loans at fair value partially offset by reductions in net gain on mortgage loans acquired for sale during 2014 as compared to 2013. Increases in gain on our investments in mortgage loans are due primarily to portfolio growth and observed increased marketplace demand for performing mortgage loans in our investment portfolio, partially tempered by an increase in the projected loss severity for long-held severely delinquent loans.

Net investment income includes non-cash fair value adjustments. Because we have elected to record our mortgage loan investments at fair value, a substantial portion of the income we record with respect to such loans results from non-cash changes in fair value. Net investment income also includes non-cash fair value adjustments related to mortgage loans acquired for sale at fair value, IRLCs, and the related derivatives we use to hedge such assets and non-cash interest income arising from capitalization of delinquent interest on mortgage loans upon completion of the modification of such loans and accrual of unearned discounts relating to mortgage loans held in a VIE, as well as non-cash fair value adjustments relating to MSRs and ESS.

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The amounts of non-cash fair value and interest income adjustments are as follows:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Net gain on mortgage loans acquired for sale
IRLCs	$	(5,697	)	$	28,413		$	4,141		$	(8,033	)
Mortgage loans acquired for sale		(3,073	)		48,205			5,000			11,211
Hedging derivatives		8,203			(118,515	)		(8,999	)		(22,155	)
		(567	)		(41,897	)		142			(18,977	)
Net interest income
Capitalization of interest pursuant to mortgage loan modifications		10,452			13,203			40,805			25,017
Accrual of unearned discounts relating to loans held in a variable interest entity		385			—			938			—
		10,837			13,203			41,743			25,017
Net gain (loss) on investments
Mortgage-backed securities:
Agency		(1,192	)		5,356			5,542			5,356
Non Agency		370			—			554			—
Mortgage loans:
at fair value		73,286			34,128			189,237			129,227
at fair value under forward purchase agreements		—			7,762			463			7,073
ESS		(7,396	)		29			(17,834	)		29
		65,068			47,275			177,962			141,685
Net loan servicing fees - MSR valuation adjustments		498			(579	)		(7,222	)		3,431
	$	75,836		$	18,002		$	212,625		$	151,156

Cash is generated when mortgage loan investments are monetized through payoffs or sales, when payment of principal and interest occurs on such loans, generally after they are modified, or upon the sale of the property securing a mortgage loan that has been settled through acquisition of the property securing the loan has been sold. We receive proceeds on the sale of mortgage loans acquired for sale that include both cash and the fair value of MSRs and we recognize a liability for potential losses relating to representations and warranties created in the loan sales transactions. Cash flows relating to hedging instruments are generally produced when the instruments mature or when we effectively cancel the transactions through an offsetting trade.

Cash flows and gains from liquidation of distressed mortgage loan investments and REO are summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Proceeds	$	172,139	$	102,287	$	647,164	$	300,082
Accumulated net gains (1)	$	23,409	$	12,880	$	110,432	$	32,789
Net gains on liquidation (2)	$	9,841	$	8,844	$	32,547	$	31,132
Average investment in mortgage loans and REO	$	2,678,776	$	1,768,141	$	2,710,623	$	1,434,206

(1) Represents valuation gains and losses recognized during the period we held the respective asset but excludes the gain or loss recorded upon sale or repayment of the respective asset.

(2) Represents the gain or loss recognized upon sale or repayment of the respective asset.

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Following is a discussion of the components of net investment income comparing the periods ended September 30, 2014 to the comparable periods ended September 30, 2013.

Net Gains on Mortgage Loans Acquired for Sale

The decrease in net gains on mortgage loans acquired for sale is due to reduced margin on the loans sold as a result of increasing competition as well as to the generally higher interest rates that prevailed during the quarter and nine months ended September 30, 2014 when compared to the same periods in 2013 as summarized below:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Cash (loss) gain:
Sales proceeds, net	$	(15,473	)	$	(108,960	)	$	(21,540	)	$	(207,912	)
Hedging activities		(12,705	)		114,405			(35,004	)		160,109
		(28,178	)		5,445			(56,544	)		(47,803	)
Non cash gain:
Receipt of MSRs in loan sale transactions		39,613			48,957			89,229			156,229
Provision for losses relating to representations and warranties provided in loan sales		(1,359	)		(1,474	)		(3,125	)		(4,701	)
Change in fair value of IRLCs, mortgage loans and hedging derivatives held at period end:
IRLCs		(5,697	)		28,413			4,141			(8,033	)
Mortgage loans		(3,073	)		48,205			5,000			11,211
Hedging derivatives		8,203			(118,515	)		(8,999	)		(22,155	)
		(567	)		(41,897	)		142			(18,977	)
	$	9,509		$	11,031		$	29,702		$	84,748
Notional (loan) amount of IRLCs issued	$	3,646,196		$	2,998,870		$	9,661,600		$	12,738,993
Purchases of mortgage loans acquired for sale to nonaffiliates:
At fair value	$	3,799,858		$	4,101,717		$	8,869,097		$	13,438,563
Unpaid principal balance	$	3,677,612		$	4,074,189		$	8,588,955		$	13,184,899
Proceeds from sales of mortgage loans acquired for sale to nonaffiliates:
Cash:	$	3,745,193		$	4,185,247		$	8,534,637		$	13,229,726
MSRs		39,614			48,958			89,230			156,229
At period end:	$	3,784,807		$	4,234,205		$	8,623,867		$	13,385,955
Interest rate lock commitments outstanding at period end	$	838,948		$	641,971
Mortgage loans acquired for sale to nonaffiliates outstanding at fair value	$	629,131		$	464,107

Our net gains on mortgage loans acquired for sale includes both cash and non-cash elements. We receive proceeds on sale that include both cash and our estimate of the fair value of MSRs. We also recognize a liability for potential losses relating to representations and warranties created in the loan sales transactions.

Interest Rate Lock Commitments

Our net gain on mortgage loans acquired for sale includes our estimates of gains or losses we expect to realize upon the sale of loans we have committed to purchase but have not yet purchased or sold. We recognize a substantial portion of our net gain on mortgage loans acquired for sale at fair value before we purchase the loan. In the course of our correspondent production activities, we make contractual commitments to correspondent lenders to purchase loans at specified terms. We call these commitments interest rate lock commitments, or IRLCs. We recognize the fair value of IRLCs at the time we make the commitment to the correspondent lender and adjust the fair value of such IRLCs as the loan approaches the point of purchase or the transaction is canceled.

We carry IRLCs as either derivative assets or derivative liabilities on our consolidated balance sheet. The fair value of IRLCs is transferred to the fair value of mortgage loans acquired for sale at fair value when the mortgage loan is funded.

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An active, observable market for IRLCs does not exist. Therefore, we measure the fair value of IRLCs using methods and assumptions we believe that market participants use in pricing IRLCs. We estimate the fair value of an IRLC based on quoted Agency MBS prices, our estimates of the fair value of the MSRs we expect to receive in the sale of the loans and the probability that the mortgage loan will be purchased as a percentage of the commitment we have made (the “pull-through rate”).

Pull-through rates and MSR fair values are based on our estimates as these inputs are difficult to observe in the mortgage marketplace. Changes in our estimate of the probability that a mortgage loan will fund and changes in interest rates are updated as the mortgage loans move through the purchase process and may result in significant changes in the estimates of the fair value of the IRLCs. Such changes are reflected in the change in fair value of IRLCs which is a component of our Gain on mortgage loans acquired for sale in the period of the change. The financial effects of changes in these assumptions are generally inversely correlated. Increasing interest rates have a positive effect on the fair value of the MSR component of IRLC value but increase the pull-through rate for loans that decrease in fair value.

Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs:

Key inputs	September 30, 2014	December 31, 2013
Pull-through rate
Range	49.8% - 98.0%	64.8% - 98.0%
Weighted average	83.5%	86.4%
MSR value expressed as:
Servicing fee multiple
Range	1.6 - 5.2	1.4 - 5.1
Weighted average	3.9	4.1
Percentage of unpaid principal balance
Range	0.4% - 2.5%	0.4% - 1.3%
Weighted average	1.0%	1.0%

Cash gain (loss)

The change in our cash loss on mortgage loans acquired for sale during the quarter ended September 30, 2014 reflects the reduced gain on sale margins during the quarter ended September 30, 2014 as compared to the quarter ended September 30, 2013 as a result of reductions in the size of the mortgage market resulting from the higher level of interest rates that have prevailed since the second half of 2013.

MSRs

MSRs represent the value of a contract that obligates us to service mortgage loans on behalf of the purchaser of the loan in exchange for servicing fees and the right to collect certain ancillary income from the borrower. We recognize MSRs initially at our estimate of the fair value of the contract to service the loans. As economic fundamentals influencing the loans we sell with servicing rights retained change, our estimate of the cash we expect to generate from the MSRs and, therefore, the fair value of previously recognized MSRs will also change. As a result, we will record changes in fair value as a component of Net loan servicing fees for the MSRs we carry at fair value and we may recognize changes in fair value relating to our MSRs carried at the lower of amortized cost or fair value depending on the relationship of the asset’s fair value to its carrying value at the measurement date.

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Following are the key inputs used in estimating the fair value of MSRs at the time of initial recognition:

	Quarter ended September 30,
	2014		2013
Key inputs	Amortized cost	Fair value	Amortized cost	Fair value
	(MSR recognized and unpaid principal balance of underlying loan amounts in thousands)
MSR recognized	$26,802	$12,812	$41,018	$7,939
Unpaid principal balance of underlying mortgage loans	$2,423,013	$1,234,028	$3,404,274	$707,891
Weighted-average annual servicing fee rate (in basis points)	25	25	25	25
Pricing spread (1)
Range	6.5% – 17.5%	8.8% – 13.5%	5.4% – 13.9%	7.4% - 9.6%
Weighted average	8.5%	9.1%	6.3%	8.0%
Life (in years)
Range	1.4 - 7.3	2.8 - 7.3	2.9 - 6.9	3.8 - 6.9
Weighted average	6.6	7.1	6.3	6.8
Annual total prepayment speed (2)
Range	7.6% – 48.8%	8.0% – 30.4%	8.5% – 15.6%	8.8% - 20.7%
Weighted average	9.2%	9.7%	8.9%	9.8%
Annual per-loan cost of servicing
Range	$68 – $140	$68 – $140	$68 – $68	$68 - $68
Weighted average	$70	$70	$68	$68

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	Nine months ended September 30,
	2014		2013
Key inputs	Amortized cost	Fair value	Amortized cost	Fair value
	(MSR recognized and unpaid principal balance of underlying loan amounts in thousands)
MSR recognized	$ 49,276	$39,954	$148,186	$8,043
Unpaid principal balance of underlying mortgage loans	$4,518,100	$3,784,142	$12,247,940	$717,877
Weighted-average annual servicing fee rate (in basis points)	25	25	26	25
Pricing spread (1)
Range	6.3% – 17.5%	8.5% - 13.5%	5.4% – 14.4%	7.4% - 14.4%
Weighted average	8.5%	9.1%	6.6%	8.0%
Life (in years)
Range	1.1 - 7.3	2.8 - 7.3	2.6 - 6.9	2.8 - 6.9
Weighted average	6.3	7.1	6.4	6.8
Annual total prepayment speed (2)
Range	7.6% – 56.4%	8.0% - 30.4%	8.5% – 23.6%	8.8% - 27.0%
Weighted average	9.7%	9.5%	9.0%	10.0%
Annual per-loan cost of servicing
Range	$68 – $140	$68 - $140	$68 – $140	$68 - $68
Weighted average	$69	$69	$68	$68

(1) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans.

(2) Annual total prepayment speed is measured using Life Total Conditional Prepayment Rate (“CPR”).

Provision for Losses on Representations and Warranties

We also provide for our estimate of the losses that we expect to incur as a result of our breach of representations and warranties provided to the purchasers of the loans we sold. Our agreements with the Agencies include representations and warranties related to the loans we sell to the Agencies. The representations and warranties require adherence to Agency origination and underwriting guidelines, including but not limited to the validity of the lien securing the loan, property eligibility, borrower credit, income and asset requirements, and compliance with applicable federal, state and local law.

In the event of a breach of our representations and warranties, we may be required to either repurchase the mortgage loans with the identified defects or indemnify the investor or insurer. In such cases, we bear any subsequent credit loss on the mortgage loans. Our credit loss may be reduced by any recourse we have to correspondent lenders that, in turn, had sold such mortgage loans to us and breached similar or other representations and warranties. In such event, we have the right to seek a recovery of related repurchase losses from that correspondent lender.

The method used to estimate the liability for representations and warranties is a function of estimated future defaults, loan repurchase rates, our estimate of the severity of loss in the event of defaults and the probability of reimbursement by the correspondent loan seller. We establish a liability at the time loans are sold and review our liability estimate on a periodic basis.

During the quarter and nine months ended September 30, 2014, we recorded provisions for losses on representations and warranties totaling $1.4 million and $3.1 million. This compares to $1.5 million and $4.7 million during the quarter and nine months ended September 30, 2013. The decrease in the quarter ended September 30, 2014 as compared to the quarter ended September 30, 2013 was primarily due to decreased loan sales activity during 2014 as compared to 2013.

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Following is a summary of the repurchase activity and unpaid principal balance of mortgage loans subject to representations and warranties:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
During the period:
Losses charged to liability for representations and warranties	$	—	$	—	$	—	$	—
Unpaid principal balance of mortgage loans repurchased	$	7,490	$	5,687	$	15,296	$	6,895
Unpaid principal balance of repurchased mortgage loans repurchased by correspondent lenders	$	5,841	$	967	$	10,109	$	1,891
Unpaid principal balance of mortgage loans indemnified by PMT	$	1,571	$	—	$	4,227	$	—
At end of period:
Unpaid principal balance of mortgage loans subject to pending claims for repurchase	$	19,969	$	9,415
Unpaid principal balance of mortgage loans indemnified by PMT	$	4,764	$	—
Unpaid principal balance of mortgage loans subject to representations and warranties	$	32,654,307	$	23,531,815

During the quarter and nine months ended September 30, 2014, we repurchased mortgage loans with unpaid principal balances totaling $6.4 million and $11.4 million, respectively, and incurred no losses relating to such repurchases primarily as a result of our ability to recover any losses inherent in the repurchased loan from the selling correspondent lender. As the outstanding balance of loans we purchase and sell subject to representations and warranties increases and the loans sold season, we expect the level of repurchase activity to increase.

The level of the recourse liability is difficult to estimate and requires considerable management judgment. The level of mortgage loan repurchase losses is dependent on economic factors, investor loss mitigation strategies, our ability to recover any losses inherent in the repurchased loan from the selling correspondent lender and other external conditions that may change over the lives of the underlying loans. As economic fundamentals change, as investor and Agency evaluation of their loss mitigation strategies (including claims under representations and warranties) change and as the mortgage market and general economic conditions affect our correspondent lenders, the level of repurchase activity and ensuing losses will change and such changes may be material to us. As a result of these changes, we may be required to adjust the estimate of our liability for representations and warranties. Such an adjustment may be material to our financial condition and results of operations. We did not record any adjustments to previously recorded liabilities for representations and warranties during any of the periods presented.

Our representations and warranties are generally not subject to stated limits of exposure. However, we believe that the current unpaid principal balance of loans sold by us to date represents the maximum exposure to repurchases related to representations and warranties. We believe the amount and range of reasonably possible losses in relation to the recorded liability is not material to our financial condition or results of operations.

Loan Origination Fees

Loan origination fees represent fees we charge correspondent lenders relating to our purchase of loans from those lenders. The increase in fees during the quarter ended September 30, 2014 from the year-ago period is due to a rate increase, partially offset by a decline in production of mortgage loans we sell to unaffiliated entities. The decline in fees in the nine months ended September 30, 2014 from the year-ago period is due to a decline in production of mortgage loans we sell to unaffiliated entities.

Net Gain on Investments

During the quarter and nine months ended September 30, 2014, we recorded net gains on investments (comprised of MBS, mortgage loans and ESS) totaling $70.4 million and $186.1 million, respectively. This compares to recognized net gains on investments totaling $49.1 million and $159.9 million during the quarter and nine months ended September 30, 2013, respectively. The increase is primarily due to increased valuation gains in our portfolio of mortgage loans, including mortgage loans under forward purchase agreements driven by increases in the average portfolio balance of distressed mortgage loan investments (mortgage loans at fair value excluding mortgage loans at fair value held in a VIE) of $461.6 million, or 32%, and $619.9 million, or 49%, during the quarter and nine months ended September 30, 2014 as compared to the same period in 2013 as well as stronger investor demand for performing loans. Furthermore, improvements in actual and forecast home prices in most geographic areas in the U.S. also contributed meaningfully to gains in both the nonperforming and performing loan portfolios.

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Net gains on mortgage loans at fair value, excluding mortgage loans held by VIE are summarized below:

	Quarter ended September 30,					Nine months ended September 30,
	2014		2013			2014		2013
	(in thousands)
Valuation changes:
Performing loans	$	23,255	$	(15	)	$	62,137	$	27,669
Nonperforming loans		51,913		41,905			109,914		108,631
		75,168		41,890			172,051		136,300
Payoffs		5,866		6,096			18,975		22,500
Sales		262		—			3,782		—
	$	81,296	$	47,986		$	194,808	$	158,800
Average portfolio balance excluding mortgage loans held by VIE	$	1,901,572	$	1,668,012		$	1,974,784	$	1,342,771

Because we have elected to record our mortgage loans and mortgage loans under forward purchase agreements at fair value, a substantial portion of the income we record with respect to such loans results from changes in fair value. Valuation changes amounted to $75.2 million and $41.9 million in the quarters ended September 30, 2014 and 2013, respectively, and $172.1 million and $136.3 million in the nine months ended September 30, 2014 and 2013, respectively.

The valuation gains on performing loans is affected by the capitalization of delinquent interest on loans we modify. When we capitalize interest in a loan modification, we increase the carrying value of the loan. However, the modification may not result in an immediate increase in the loan’s fair value. As a result, the interest income we recognize is generally offset by a valuation loss. Valuation gains on loans with capitalized interest generally accrue as the borrower demonstrates performance in the periods following the capitalization. During the quarter and nine months ended September 30, 2014, we capitalized interest totaling $10.5 million and $40.8 million compared to $13.2 million and $25.0 million for the quarter and nine months ended September 30, 2013. We completed 307 and 1,423 modifications during the quarter and nine months ended September 30, 2014 compared to 445 and 913 modifications for the quarter and nine months ended September 30, 2013.

The increase in valuation gains reflects portfolio growth and observed and realized increases in demand for performing mortgage loans that resulted in a reduction of the discount rate we apply to our estimate of cash flows to be generated by our performing loans and an increase in such loans’ valuations.

Cash is generated when mortgage loans and mortgage loans under forward purchase agreements are monetized through payoffs or sales, when we receive payments of principal and interest on such loans, generally after they are modified, or when the property securing a mortgage loan that has been settled through transfer of the property to us has been sold.

During the quarters ended September 30, 2014 and 2013, we received proceeds from liquidation of mortgage loans and REO of $172.1 million and $102.3 million, respectively, and during the nine-month periods ended September 30, 2014 and 2013, we received proceeds from liquidation of mortgage loans and REO of $647.2 million and $300.1 million, respectively. These proceeds include $65.7 million and $329.9 million from the sale of $80.2 million and $393.6 million in unpaid principal balance of mortgage loans during the quarter and nine months ended September 30, 2014, respectively. For each period’s liquidations, we had recorded accumulated gains on the liquidated assets during the period we held those assets totaling $23.4 million and $12.9 million for the quarters ended September 30, 2014 and 2013, respectively, and $110.4 million and $32.8 million for the nine-month periods ended September 30, 2014 and 2013, respectively, and we recorded additional gains of $9.8 million and $8.8 million for the quarters ended September 30, 2014 and 2013, respectively, and $32.5 million and $31.1 million for the nine months ended September 30, 2014 and 2013, respectively, when the assets were liquidated.

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During the quarters ended September 30, 2014 and 2013, we recognized gains on mortgage loan payoffs as summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(dollars in thousands)
Number of loans		528		338		1,209		980
Unpaid principal balance	$	73,753	$	87,705	$	251,829	$	262,660
Gains recognized at payoff	$	5,866	$	6,096	$	8,975	$	22,500

Gains on sales of distressed mortgage loans are summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(dollars in thousands)
Number of loans		369		—		1,731		—
Unpaid principal balance	$	80,189	$	—	$	393,609	$	—
Gain recognized at sale	$	262	$	—	$	3,791	$	—

The following tables present a summary of loan modifications completed:

	Quarter ended September 30,										Nine months ended September 30,
	2014					2013					2014					2013
Modification type (1)	Number of loans		Balance of loans (2)			Number of loans		Balance of loans (2)			Number of loans		Balance of loans (2)			Number of loans		Balance of loans (2)
	(dollars in thousands)
Rate reduction		205	$	42,248			321	$	67,031			971	$	222,889			593	$	126,162
Term extension		231		47,472			318		67,043			1,101		263,781			556		118,439
Capitalization of interest and fees		307		65,138			445		95,714			1,423		338,490			913		196,341
Principal forbearance		90		22,890			79		20,094			459		135,062			188		45,183
Principal reduction		138		29,120			264		58,878			680		166,165			460		107,275
Total		307		65,138			445		95,714			1,423		338,490			913		196,341
Defaults of mortgage loans modified in the prior year period			$	4,771				$	5,991				$	18,674				$	15,867
As a percentage of balance of loans before modification				6	%				23	%				12	%				16	%
Defaults during the period of mortgage loans modified since acquisitions (3)			$	19,945				$	8,971				$	51,006				$	29,511
As a percentage of balance of loans before modification				8	%				5	%				20	%				15	%
Repayments and sales of mortgage loans modified in the prior year period			$	16,322				$	18,691				$	52,848				$	85,470
As a percentage of balance of loans before modification				17	%				61	%				27	%				64	%

(1) Modification type categories are not mutually exclusive and a modification of a single loan may be counted in multiple categories, if applicable. The total number of modifications noted in the table is therefore lower than the sum of all of the categories.

(2) Before modification.

(3) Represents defaults of mortgage loans during the period that have been modified by us at any point since acquisition.

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The following table summarizes the average impact of the modifications noted above to the terms of the loans modified:

	Quarter ended September 30,												Nine months ended September 30,
	2014						2013						2014						2013
	Before			After			Before			After			Before			After			Before			After
Category	modification			modification			modification			modification			modification			modification			modification			modification
	(dollars in thousands)
Loan balance	$	212		$	218		$	215		$	244		$	238		$	240		$	215		$	220
Remaining term (months)		320			405			312			413			323			415			312			428
Interest rate		5.41	%		3.74	%		5.80	%		3.90	%		5.40	%		3.72	%		5.87	%		4.04	%
Forbeared principal				$	10					$	6					$	13					$	6

Implementing long-term, sustainable loan modification is one means by which we endeavor to increase the value of the distressed mortgage loans which we have typically purchased at discounts to their unpaid principal balance. Before the disruption of the mortgage securitization markets in 2008, an active market in securitizations of reperforming and modified mortgage loans existed. As a result of the disruptions that occurred in 2008, the market for securities backed by such loans has become illiquid.

During the quarter and nine months ended September 30, 2014, we had sales of reperforming mortgage assets. We received proceeds of $65.7 million and $329.9 million from the sale of $80.2 million and $393.6 million in unpaid principal balance of mortgage loans during the quarter and nine months ended September 30, 2014, respectively. There can be no assurance that this form of monetization will continue to be a reliable means of liquidating reperforming mortgage assets in the future. We continue to monitor and explore the market for loan sales or securitizations backed by reperforming and modified mortgage loans as a means of recovering our investment in such loans in the future.

Absent sale or securitization of reperforming and modified mortgage loans, and unlike liquidation of a defaulted mortgage loan, we expect that recovery of our investment in a performing modified mortgage loan will take place generally over a period of several years, during which we earn and collect interest income on the loan. Our current expectations are that we will receive cash on modified mortgage loans through monthly borrower payments, incentive payments earned pursuant to the U.S. Departments of the Treasury and HUD’s Home Affordable Modification Program (“HAMP”), payoffs or acquisition of the property securing the loans and liquidation of the property in the event the borrower subsequently defaults. Due to the recent addition of new modification programs, both through HAMP and proprietary programs, trends in default performance are difficult to discern. However, the addition of these new modification programs resulted in an increase in the volume of our modification activity to date during 2014.

Large-scale refinancing of modified mortgage loans is not expected to occur for several years. Borrowers who have recently modified their mortgage loans typically have credit profiles that do not qualify them for refinancing or have loans on properties whose loan-to-value ratios exceed current underwriting guidelines for new mortgage loans. Further, modified mortgage loans require a period of acceptable borrower performance, generally 12 months of timely mortgage payments, for consideration in most Agency refinance programs.

Certain programs such as the FHA’s Negative Equity Refinance Program allow homeowners whose modified mortgage amount exceeds the fair value of the property securing the loan to refinance immediately following a modification. Our utilization of this program remains consistent in 2014 as compared to 2013. We continue to explore methods of accelerating recovery of our investment of modified mortgage loans through solicitations of refinancing of such loans into Agency-eligible loans which result in a full or partial repayment of our investment.

During the quarter ended September 30, 2014, we recognized valuation losses on MBS of $821,000, while we recognized $6.1 million of valuation gains for the nine months ended September 30, 2014. During the nine months ended September 30, 2014, market mortgage interest rates decreased, resulting in gains during that period. However, market mortgage interest rates increased at the end of the quarter ended September 30, 2014, resulting in a valuation loss on our portfolio of MBS for that period.

We recognized fair value losses relating to our investment in ESS totaling $7.4 million and $17.8 million during the quarter and nine months ended September 30, 2014, respectively, compared to a valuation gain of $29,000 for the quarter and nine month periods ended September 30, 2013. Our estimate of future prepayments increased during the quarter ended September 30, 2014 as compared to prior periods, resulting in a decline in value. Our average investment in ESS increased from $31,000 and $11,000 for the quarter and nine months ended September 30, 2013 to $188.6 million and $160.3 million for the quarter and nine months ended September 30, 2014.

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Net Interest Income

Net interest income is summarized below:

	Quarter ended September 30, 2014
	Interest income/expense									Annualized %
	Coupon		Discount/ fees (1)			Total		Average balance		interest yield/cost
	(dollars in thousands)
Assets:
Correspondent production:
Mortgage loans acquired for sale at fair value	$	7,712	$	—		$	7,712	$	727,214		4.15	%
Investment activities:
Short-term investments		138		—			138		77,669		0.70	%
Mortgage-backed securities:
Agency		1,687		51			1,738		189,963		3.58	%
Non-Agency prime jumbo		140		57			197		23,538		3.27	%
		1,827		108			1,935		213,501		3.55	%
Mortgage loans:
at fair value		27,473		385			27,858		2,418,892		4.51	%
under forward purchase agreements at fair value		—		—			—		—		0.00	%
		27,473		385			27,858		2,418,892		4.51	%
ESS		3,577		—			3,577		188,613		7.42	%
Total investment activities		33,015		493			33,508		2,898,675		4.52	%
Other interest		16		—			16		—
	$	40,743	$	493		$	41,236	$	3,625,889		4.45	%
Liabilities:
Assets sold under agreements to repurchase	$	13,628	$	2,186		$	15,814	$	2,501,815		2.47	%
Asset-backed secured financing		1,460		124			1,584		168,923		3.67	%
Exchangeable senior notes		3,360		232			3,592		250,000		5.62	%
		18,448		2,542			20,990		2,920,738		2.81	%
Other interest - Servicing related		1,030		—			1,030		—
		19,478		2,542			22,020		2,920,738		2.95	%
Net interest income	$	21,265	$	(2,049	)	$	19,216
Net interest margin											2.07	%
Net interest spread											1.50	%

(1) Amounts in this column represent accrual of unearned discounts for assets and amortization of facility commitment fees and issuance costs for liabilities.

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	Quarter ended September 30, 2013
	Interest income/expense									Annualized %
	Coupon		Discount/ fees (1)			Total		Average balance		interest yield/cost
	(dollars in thousands)
Assets:
Correspondent production:
Mortgage loans acquired for sale at fair value	$	12,535	$	—		$	12,535	$	1,222,712		4.01	%
Investment activities:
Short-term investments		252		—			252		109,626		0.90	%
Agencies mortgage-backed securities		345		—			345		38,589		3.50	%
Agencies debt securities		162		—			162		8,739		7.23	%
Mortgage loans:
at fair value		20,751		—			20,751		1,445,863		5.64	%
under forward purchase agreements at fair value		1,197		—			1,197		228,001		2.05	%
		21,948		—			21,948		1,673,864		5.24	%
ESS		—		—			—		31		0.00	%
Total investment activities		22,707		—			22,707		1,830,849		4.96	%
Other Interest		36		—			36		—
	$	35,278	$	—		$	35,278	$	3,053,561		4.52	%
Liabilities:
Assets sold under agreements to repurchase	$	10,738	$	2,727		$	13,465	$	1,755,851		3.00	%
Borrowings under forward purchase agreements		1,762		—			1,762		232,722		2.96	%
Asset-backed secured financing		—		—			—		1,853		—
Exchangeable senior notes		3,359		218			3,577		250,000		5.60	%
		15,859		2,945			18,804		2,240,426		3.28	%
Other interest - Servicing related		693		—			693		—
		16,552		2,945			19,497		2,240,426		3.41	%
Net interest income	$	18,726	$	(2,945	)	$	15,781
Net interest margin											2.02	%
Net interest spread											1.00	%

(1) Amounts in this column represent accrual of unearned discounts for assets and amortization of facility commitment fees and issuance costs for liabilities.

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	Nine months ended September 30, 2014
	Interest income/expense									Annualized %
	Coupon		Discount/ fees (1)			Total		Average balance		interest yield/cost
	(dollars in thousands)
Assets:
Correspondent production:
Mortgage loans acquired for sale at fair value	$	16,911	$	—		$	16,911	$	526,772		4.23	%
Investment activities:
Short-term investments		462		—			462		103,387		0.59	%
Mortgage-backed securities:
Agency		5,127		167			5,294		193,287		3.61	%
Non-Agency prime jumbo		235		128			363		12,770		3.76	%
		5,362		295			5,657		206,057		3.62	%
Mortgage loans:
at fair value		91,932		938			92,870		2,397,318		5.11	%
under forward purchase agreements at fair value		3,584		—			3,584		99,991		4.73	%
		95,516		938			96,454		2,497,309		5.09	%
ESS		9,578		—			9,578		160,293		7.88	%
Total investment activities		110,918		1,233			112,151		2,967,046		4.98	%
Other interest		38		—			38		—
	$	127,867	$	1,233		$	129,100	$	3,493,818		4.87	%
Liabilities:
Assets sold under agreements to repurchase	$	36,089	$	7,407		$	43,496	$	2,186,135		2.62	%
Borrowings under forward purchase agreements		2,363		—			2,363		109,708		2.84	%
Asset-backed secured financing		4,434		328			4,762		168,186		3.73	%
Exchangeable senior notes		10,078		685			10,763		250,000		5.68	%
		52,964		8,420			61,384		2,714,029		2.98	%
Other interest - Servicing related		2,276		—			2,276		—
		55,240		8,420			63,660		2,714,029		3.09	%
Net interest income	$	72,627	$	(7,187	)	$	65,440
Net interest margin											2.47	%
Net interest spread											1.78	%

(1) Amounts in this column represent accrual of unearned discounts for assets and amortization of facility commitment fees and issuance costs for liabilities.

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	Nine months ended September 30, 2013
	Interest income/expense									Annualized %
	Coupon		Discount/ fees (1)			Total		Average balance		interest yield/cost
	(dollars in thousands)
Assets:
Correspondent production:
Mortgage loans acquired for sale at fair value	$	28,150	$	—		$	28,150	$	1,033,752		3.59	%
Investment activities:
Short-term investments		340		—			340		85,491		0.52	%
Agencies mortgage-backed securities		345		—			345		13,004		3.50	%
Agency debt securities		162		—			162		2,945		7.23	%
Mortgage loans:
at fair value		48,300		—			48,300		1,256,904		5.13	%
under forward purchase agreements at fair value		1,457		—			1,457		87,839		3.02	%
		49,757		—			49,757		1,344,743		4.93	%
ESS		—		—			—		11
Total investment activities		50,604		—			50,604		1,446,194		4.67	%
Other Interest		196		—			196		—
	$	78,950	$	—		$	78,950	$	2,479,946		4.20	%
Liabilities:
Assets sold under agreements to repurchase	$	27,600	$	7,391		$	34,991	$	1,456,277		3.17	%
Borrowings under forward purchase agreements		2,013		—			2,013		89,459		2.97	%
Asset-backed secured financing		—		—			—		625		—
Exchangeable senior notes		5,599		362			5,961		141,026		5.57	%
		35,212		7,753			42,965		1,687,387		3.36	%
Other interest - Servicing related		1,912		—			1,912		—
		37,124		7,753			44,877		1,687,387		2.90	%
Net interest income	$	41,826	$	(7,753	)	$	34,073
Net interest margin											1.81	%
Net interest spread											1.30	%

(1) Amounts in this column represent accrual of unearned discounts for assets and amortization of facility commitment fees and issuance costs for liabilities.

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The effects of changes in the composition of our investments on our interest income are summarized below:

	Quarter ended September 30, 2014 vs. Quarter ended September 30, 2013									Nine months ended September 30, 2014 vs. Nine months ended September 30, 2013
	Increase (decrease) due to changes in									Increase (decrease) due to changes in
	Rate			Volume			Total change			Rate			Volume			Total change
	(in thousands)
Correspondent production:
Mortgage loans acquired for sale at fair value	$	418		$	(5,241	)	$	(4,823	)	$	4,377		$	(15,615	)	$	(11,238	)
Investment activities:
Money market investment		(50	)		(64	)		(114	)		45			77			122
Mortgage-backed securities:
Agency		(84	)		1,315			1,231			(81	)		4,867			4,786
Non-Agency prime jumbo		—			197			197			—			364			364
		(84	)		1,512			1,428			(81	)		5,231			5,150
Mortgage loans:
at fair value		(4,725	)		11,832			7,107			395			44,175			44,570
under forward purchase agreements		—			(1,197	)		(1,197	)		1,899			227			2,126
Total mortgage loans		(4,725	)		10,635			5,910			2,294			44,402			46,696
ESS		—			3,577			3,577			—			9,578			9,578
Total investment activities		(4,859	)		15,660			10,801			2,258			59,288			61,546
Other interest		—			(20	)		(20	)		—			(158	)		(158	)
		(4,441	)		10,399			5,958			6,635			43,515			50,150
Assets sold under agreements to repurchase:		(2,601	)		4,950			2,349			(4,072	)		12,576			8,504
Borrowings under forward purchase agreement		—			(1,762	)		(1,762	)		(89	)		439			350
Asset-backed secured financing		—			1,584			1,584			—			4,762			4,762
Exchangeable senior notes		15			—			15			112			4,690			4,802
Interest bearing liabilities		(2,586	)		4,772			2,186			(4,049	)		22,467			18,418
Other interest - servicing		—			337			337			—			365			365
		(2,586	)		5,109			2,523			(4,049	)		22,832			18,783
Net interest income	$	(1,855	)	$	5,290		$	3,435		$	10,684		$	20,683		$	31,367

In the quarter and nine months ended September 30, 2014, we earned net interest income of $19.2 million and $65.4 million, respectively, compared to $15.8 million and $34.1 million for the same periods in 2013. The increase in net interest income between the periods was primarily due to an increase in average interest-earning assets for the quarter and nine months ended September 30, 2014 as compared to the same periods in 2013.

We earned interest income on our portfolio of MBS totaling $1.9 million and $5.7 million for the quarter and nine months ended September 30, 2014, respectively. We earned interest income on our portfolio of MBS totaling $345,000 for the quarter and nine months ended September 30, 2013. The increase in interest income was due to growth in our average investment in MBS in 2014 as compared to 2013 as we held no MBS during 2013 until the quarter ended September 30. Since the quarter ended September 30, 2013, we have made selective investments in MBS and increased our investment in MBS from $204.9 million at September 30, 2013 to $267.9 million at September 30, 2014.

                In the quarter and nine months ended September 30, 2014, we recognized interest income on mortgage loans at fair value and mortgage loans under forward purchase agreements at fair value totaling $27.9 million and $96.5 million, respectively, including $10.5 million and $40.8 million, respectively, of interest capitalized pursuant to loan modifications, which compares to $21.9 million and $49.8 million, including $13.2 million and $25.0 million of interest capitalized pursuant to loan modifications, in the quarter and nine months ended September 30, 2013. The increases in interest income are due primarily to growth in the average balance of our mortgage loan portfolio of $745.0 million, or 45%, and $1.2 billion, or 86%, for the quarter and nine months ended September 30, 2014 when compared to the same period in 2013.

At September 30, 2014, approximately 71% of the fair value of our distressed mortgage loan portfolio was nonperforming, as compared to 74% at September 30, 2013. We do not accrue interest on nonperforming loans and generally do not recognize

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revenues during the period we hold REO. We calculate the yield on our mortgage loan portfolio based on the portfolio’s average fair value, which most closely reflects our investment in the mortgage loans. Accordingly, the yield we realize on our distressed mortgage loans is substantially higher than would be recorded based on the loans’ unpaid principal balances as we typically purchase our distressed mortgage loans at substantial discounts to their UPB.

Nonperforming loans and REO generally take longer to generate cash flow than performing loans due to the time required to work with borrowers to resolve payment issues either through our modification programs or through the acquisition and liquidation of the property securing the mortgage loans. The value and returns we realize from these assets are determined by our ability to assist borrowers in curing defaults, or when curing of borrower defaults is not a viable solution, by our ability to effectively manage the liquidation process. As a participant in HAMP, we are required to comply with the process specified by the HAMP program before liquidating a loan, and this may extend the resolution process. At September 30, 2014, we held $1.4 billion in fair value of nonperforming loans and $275.2 million in carrying value of REO.

During the quarter and nine months ended September 30, 2014, we incurred interest expense totaling $22.0 million and $63.7 million, respectively, as compared to $19.5 million and $44.9 million, respectively, during the quarter and nine months ended September 30, 2013. Our interest cost on interest bearing liabilities was 2.81% and 2.98% for the quarter and nine months ended September 30, 2014 as compared to 3.28% and 3.36% during the quarter and nine months ended September 30, 2013. The increase in interest expense reflects our increased use of borrowings in support of growth of our balance sheet, partially offset by the effect of lower borrowing costs relating to our assets sold under agreements to repurchase during 2014 as compared to 2013.

Net Loan Servicing Fees

When we sell mortgage loans, we generally enter into a contract to service the mortgage loans and recognize the fair value of such contracts as MSRs. Under these contracts, we are required to perform loan servicing functions in exchange for fees and the right to other compensation. The servicing functions, which are performed on our behalf by PLS, typically include, among other responsibilities, collecting and remitting loan payments; responding to borrower inquiries; accounting for principal and interest, holding custodial (impound) funds for payment of property taxes and insurance premiums; counseling delinquent mortgagors; and supervising foreclosures and property dispositions.

Net loan servicing fees are summarized below:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Servicing fees (1)	$	20,300		$	14,451		$	56,988		$	37,175
MSR recapture fee receivable from PFSI		—			86			9			586
Effect of MSRs:
Carried at lower of amortized cost or fair value
Amortization		(8,109	)		(7,201	)		(23,171	)		(18,433	)
(Provision for) reversal of impairment		602			(212	)		(2,248	)		3,495
Carried at fair value - change in fair value		(1,606	)		(465	)		(8,398	)		(273	)
Gains (losses) on hedging derivatives		(654	)		—			3,532			(1,988	)
		(9,767	)		(7,878	)		(30,285	)		(17,199	)
Net loan servicing fees	$	10,533		$	6,659		$	26,712		$	20,562
Average servicing portfolio	$	30,701,324		$	21,784,126		$	29,531,733		$	20,070,127

(1) Includes contractually specified servicing and ancillary fees.

Net loan servicing fees increased $3.9 million and $6.2 million during the quarter and nine months ended September 30, 2014 compared to the same periods in 2013. The increase was primarily due to a $5.8 million and $19.8 million increase, respectively, in servicing fees, offset by a $1.9 million and $13.1 million increase, respectively, in the effect of MSRs on net loan servicing fees. The increase in servicing fees is attributable to continued growth in our mortgage loan servicing portfolio. Offsetting the increase in servicing fees was MSR activity which included increased amortization arising from growth in the MSR asset along with the recognition of fair value decreases and impairment as compared to net increases in fair value in the prior period.

Effective February 1, 2013, we entered into an MSR recapture agreement that requires PLS to transfer to us the MSRs with respect to new mortgage loans originated in refinancing transactions where PLS refinances a mortgage loan for which we previously held the MSRs. PLS is generally required to transfer MSRs relating to such mortgage loans (or, under certain circumstances, other mortgage loans) that have an aggregate unpaid principal balance that is not less than 30% of the aggregate unpaid principal balance of all the loans so originated. Where the fair value of the aggregate MSRs to be transferred for the applicable month

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is less than $200,000, PLS may, at its option, settle in cash with us in an amount equal to such fair market value in lieu of transferring such MSRs. We recognized approximately $9,000 of such income during the nine months ended September 30, 2014.

We account for MSRs either at the asset’s fair value with changes in fair value recorded in current period earnings or by using the amortization method with the MSRs carried at the lower of amortized cost or fair value based on whether we view the underlying mortgages as being sensitive to prepayments resulting from changing market interest rates. We have identified an initial mortgage interest rate of 4.5% as the threshold for whether such mortgage loans are sensitive to changes in interest rates:

• Our risk management efforts in connection with MSRs relating to mortgage loans with initial interest rates of more than 4.5% are aimed at moderating the effects of changes in interest rates on the assets’ fair values.

• For MSRs relating to mortgage loans with initial interest rates of less than or equal to 4.5%, we have concluded that such assets present different risks than MSRs relating to mortgage loans with initial interest rates of more than 4.5% and therefore require a different risk management approach. Our risk management efforts relating to these assets are aimed at moderating the effects of non-interest rate risks on fair value, such as the effect of changes in home prices on the assets’ fair values. We have identified these assets to be accounted for using the amortization method.

Our MSRs are summarized by the basis on which we account for the assets below:

	September 30, 2014			December 31, 2013
	(in thousands)
MSRs carried at fair value	$	57,871		$	26,452
MSR carried at lower of amortized cost or fair value:
Amortized cost	$	292,803		$	266,697
Valuation allowance		(4,826	)		(2,577	)
Carrying value	$	287,977		$	264,120
Fair value	$	312,196		$	289,737
Total MSR:
Carrying value	$	345,848		$	290,572
Fair value	$	370,067		$	316,189
Unpaid principal balance of mortgage loans underlying MSRs	$	32,262,679		$	25,792,933
Average servicing fee rate (in basis points)
MSRs carried at lower of amortized cost or fair value		26			26
MSRs carried at fair value		25			26
Average note interest rate
MSRs carried at lower of amortized cost or fair value		3.77	%		3.68	%
MSRs carried at fair value		4.78	%		4.78	%

As our investment in MSRs grows, we expect that the effect of amortization, impairment and changes in fair value will have an increasing influence on our net income. MSRs have a significant effect on net loan servicing fees, driven primarily by our monthly re-measurement of the fair value of MSRs. The fair value of MSRs is difficult to determine because MSRs are not actively traded in observable standalone markets and are sensitive to changes in interest rate levels and marketplace expectations of future interest rates. Considerable judgment is required to estimate the fair values of these assets and the exercise of such judgment can significantly affect our income.

Our MSR valuation process combines the use of a discounted cash flow model and analysis of current market data to arrive at an estimate of fair value at each balance sheet date. The cash flow and prepayment inputs used in our Manager’s discounted cash flow model are based on market factors and include the historical performance of its managed MSRs, which our Manager believes are consistent with inputs and data used by market participants valuing similar MSRs.

The key inputs used in the valuation of MSRs include mortgage prepayment speeds and discount rates. These variables can, and generally do, change from period to period as market conditions change. Therefore, the fair value of MSRs changes from period to period.

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A shift in the market for MSRs or a change in management’s assessment of an input to the valuation of MSRs can have a significant effect on the fair value of MSRs and in our income for the period. Following is a summary of the effect on fair value of various changes to certain key inputs PFSI uses in making its fair value estimates: The following table summarizes shock analyses whereby we test the effect of a change in our inputs on the fair value of our MSRs.

			Effect on Fair Value of MSRs of a Change in Input Value
Shift in input			Pricing Spread			Prepayment Speed			Servicing Costs
						(in thousands)
	+5	%	$	(6,742	)	$	(7,282	)	$	(2,269	)
	+10	%	$	(13,258	)	$	(14,331	)	$	(4,538	)
	+20	%	$	(25,656	)	$	(27,768	)	$	(9,076	)
	-5	%	$	6,978		$	7,526		$	2,269
	-10	%	$	14,204		$	15,308		$	4,538
	-20	%	$	29,451		$	31,690		$	9,076

The preceding analysis holds all of the inputs other than the input that is being “shocked” constant to show an estimate of the effect on fair value of a change in a specific input. We expect that in a market shock event, multiple inputs would be affected and the effects of these changes may compound or counteract each other. Therefore the following analysis is not a projection of the effect of a shock event and should not be relied upon as an earnings projection. Furthermore, certain of our MSRs are accounted for using the amortization method and are carried at the lower of amortized cost or fair value. Such assets’ carrying value may not be immediately affected as a result of a change in input values depending on the carrying value of the MSR asset before the change in input occurs and whether the change input causes our estimate of fair value to decrease below the carrying value of those MSRs.

Because the fair value of MSRs is difficult to estimate, our Manager’s process includes performance of the valuation by a specialized staff and significant executive management oversight. Our manager has assigned the responsibility for estimating the fair values of MSRs and other “Level 3” financial statement items to its Financial Analysis and Valuation group (the “FAV group”), which is responsible for valuing and monitoring the Company’s investment portfolios and maintenance of its valuation policies and procedures. The FAV group reports to our Manager’s valuation committee, which oversees and approves the valuations. The valuation committee includes the chief executive, financial, operating, credit, and asset/liability management officers of PFSI.

Results of Real Estate Acquired in Settlement of Loans

Results of REO includes the gains or losses we record upon sale of the properties as well as valuation adjustments we record during the period we hold those properties. During the quarter and nine months ended September 30, 2014, we recorded net losses of $11.9 million and $23.9 million, respectively, in Results of real estate acquired in settlement of loans as compared to net losses of $2.3 million and $7.5 million, respectively, for the quarter and nine months ended September 30, 2013.

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Results of REO are summarized below:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(dollars in thousands)
During the period:
Proceeds from sales of REO	$	47,891		$	35,151		$	130,159		$	98,168
Results of real estate acquired in settlement of loans:
Valuation adjustments, net		(15,639	)		(5,043	)		(33,691	)		(16,110	)
Gain on sale, net		3,713			2,749			9,791			8,634
	$	(11,926	)	$	(2,294	)	$	(23,900	)	$	(7,476	)
Number of properties sold		490			287			1,303			833
Average carrying value of REO	$	259,884		$	94,277		$	213,314		$	89,463
Period end:
Carrying value	$	275,185		$	103,202
Number of properties in inventory		1,718			802

The increase in losses from REOs during the quarter and nine months ended September 30, 2014 compared to the same periods in 2013 was due to recognition of large valuation adjustments relating to several high value properties in our inventory during the quarter ended September 30, 2014, slower property value appreciation during the quarter ended September 30, 2014 as compared to the quarter ended September 30, 2013, along with growth in the inventory of properties held between the periods. Since REO is carried at the lower of cost or fair value, we recognize valuation losses on properties where decreases in fair value are indicated but are generally unable to record fair value increases until the date of sale of properties.

Expenses

Our expenses are summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Expenses payable to PFSI:
Loan fulfillment fees	$	15,497	$	18,327	$	36,832	$	68,625
Loan servicing fees		12,325		10,738		41,096		27,251
Management fees		9,623		8,539		26,609		23,486
Professional services		1,927		2,149		6,348		5,872
Compensation		1,843		2,292		6,668		5,819
Other		7,384		7,955		18,604		18,472
	$	48,599	$	50,000	$	136,157	$	149,525

Expenses decreased $1.4 million, or 3%, and $13.4 million, or 9%, during the quarter and nine months ended September 30, 2014, respectively, compared to the same periods in 2013. This decrease was primarily a result of lower fulfillment fees, reflecting decreased correspondent production activities, partially offset by increased servicing fees reflecting growth in both our investments in mortgage loans at fair value and our MSR portfolio.

77

Loan Fulfillment Fees

Loan fulfillment fees represent fees we pay to PFSI for the services it performs on our behalf in connection with our acquisition, packaging and sale of mortgage loans. The fee is calculated as a percentage of the UPB of the mortgage loans purchased. Loan fulfillment fees and related fulfillment volume are summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Fulfillment fee expense	$	15,497	$	18,327	$	36,832	$	68,625
UPB of loans fulfilled by PLS	$	3,677,613	$	3,681,771	$	8,588,955	$	12,792,482

The decrease in loan fulfillment fees of $2.8 million and $31.8 million during the quarter and nine months ended September 30, 2014, respectively, compared to the same periods in 2013 is primarily due to the decrease in the volume of Agency-eligible mortgage loans we purchased in our correspondent production activities and production volume rate concessions provided by PFSI.

Loan Servicing Fees

Loan servicing fees increased by $1.6 million, or 15%, and $13.8 million, or 51%, during the quarter and nine months ended September 30, 2014, respectively, compared to the same periods in 2013. Loan servicing fees increase as our investment in mortgage loans and MSRs increases. During the quarter ended September 30, 2014, our average investment in mortgage loans increased by 45%, compared to the quarter ended September 30, 2013. During the quarter ended September 30, 2014, our average servicing portfolio increased 41% to $30.7 billion from $21.8 billion during the quarter ended September 30, 2013.

Included in loan servicing fees are activity-based fees, which increased by $560,000 during the quarter ended September 30, 2014, generally relating to the increase in loan resolution activities during the quarter and nine months ended September 30, 2014. Included in the base servicing fee we pay PFSI is a supplemental servicing fee. Supplemental servicing fees are a component of the total base servicing fee and compensate PFSI for providing certain services that servicers generally do not provide but are required by us because we have no employees or infrastructure. We amended our servicing agreement with PFSI effective January 1, 2014, to limit the supplemental fees we pay PFSI to no more than $700,000 per quarter. During the quarter and nine months ended September 30, 2014, we paid PFSI $700,000 and $2.1 million, respectively, in supplemental servicing fees relating to our MSR servicing portfolio.

Loan servicing fees payable to PFSI and subsidiaries are summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Mortgage loans acquired for sale at fair value:
Base	$	28	$	62	$	74	$	231
Activity-based		35		77		112		260
		63		139		186		491
Distressed mortgage loans:
Base		4,679		4,166		14,620		11,737
Activity-based		4,076		3,414		16,208		7,739
		8,755		7,580		30,828		19,476
MSRs:
Base		3,459		2,911		9,930		7,037
Activity-based		48		108		152		247
		3,507		3,019		10,082		7,284
	$	12,325	$	10,738	$	41,096	$	27,251

78

The components of our management fee payable to PFSI are summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Management fee:
Base	$	6,033	$	5,104	$	17,392	$	14,043
Performance incentive		3,590		3,435		9,217		9,443
	$	9,623	$	8,539	$	26,609	$	23,486

Management Fees

Management fees increased by $1.1 million and $3.1 million during the quarter and nine months ended September 30, 2014, respectively, due to the effect of growth in shareholders’ equity on the base management fee we pay to PFSI. Effective February 1, 2013, the management agreement was amended to adjust the basis on which both the base management fee and performance incentive fee are determined. Specifically, we amended:

• The base management fee rate from 1.5% per year of shareholders’ equity to a base management fee schedule based on tiered management fee rates beginning with a rate of 1.5% per year of shareholders’ equity for the first $2.0 billion of shareholders’ equity and reduced rates as the balance of shareholders’ equity increases. Our shareholders’ equity did not reach a level that would have resulted in a reduced base management fee rate.

• The definition of “net income” for purposes of determining the performance incentive fee to net income as determined in compliance with U.S. GAAP. Previously, “net income” for purposes of determining the performance incentive fee began with net income as determined in compliance with U.S. GAAP and was adjusted for non-cash gains and losses included in our income.

We expect our management fees to fluctuate in the future based on: (1) changes in our shareholders’ equity with respect to our base management fee; and (2) the level of our profitability in excess of the return thresholds specified in our management agreement with respect to the performance incentive fee.

Professional Services

Professional services expense increased by $476,000 during the nine months ended September 30, 2014 as compared to the nine months ended September 30, 2013 due to increased legal fees including those relating to the sales of reperforming loans during the nine months ended September 30, 2014, partially offset by reduced due diligence expenses reflecting reduced distressed mortgage loan acquisition activity.

Other Expenses

Other expenses are summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Common overhead allocation from PFSI	$	2,802	$	2,527	$	8,018	$	7,793
Servicing and collection costs		2,064		1,393		5,809		1,726
Loan origination		1,202		1,322		1,637		3,768
Insurance		247		219		738		648
Technology		246		234		720		588
Securitization		—		1,887		—		1,887
Other expenses		823		373		1,682		2,062
	$	7,384	$	7,955	$	18,604	$	18,472

Other expenses increased during the nine months ended September 30, 2014 as compared to the nine months ended September 30, 2013 by $132,000 primarily due to higher servicing and collection costs associated with the administration and sale of seasoned distressed loans, partially offset by decreased expenses associated with certain of our correspondent production activities and securitization expenses relating to a transaction in 2013 which did not recur during 2014.

79

Income Taxes

We have elected to treat PMC as a TRS. Income from a TRS is only included as a component of REIT taxable income to the extent that the TRS makes dividend distributions of income to the REIT. No such dividend distributions have been made to date. A TRS is subject to corporate federal and state income tax. Accordingly, a provision for income taxes for PMC is included in the accompanying Consolidated Statements of Income.

The provision for income taxes increased by $6.6 million and decreased by $12.9 million for the quarter and nine months ended September 30, 2014 compared to the same periods in 2013. The Company had tax expense of $3.0 million and tax benefit of $509,000 for the quarter and nine months ended September 30, 2014 and tax benefit of $3.6 million and tax expense of $12.4 million for the quarter and nine months ended September 30, 2013. The Company’s effective tax rate was 5.1% and (0.3)% for the quarter and nine months ended September 30, 2014 compared to (10.1)% and 7.8% for the same periods in 2013. The variance in the Company’s effective tax rate is due primarily to the relative contributions of our taxable REIT subsidiary’s income to our consolidated income for the periods ended September 30, 2014 compared to the same period in 2013. The primary difference between the Company’s effective tax rate and the statutory tax rate is due to non-taxable REIT income resulting from the deduction for dividends paid.

In general, cash dividends declared by us will be considered ordinary income to shareholders for income tax purposes. Some portion of the dividends may be characterized as capital gain distributions or a return of capital.

Balance Sheet Analysis

Following is a summary of key balance sheet items:

	September 30, 2014		December 31, 2013
	(in thousands)
Assets
Cash	$	46,487	$	27,411
Investments:
Short-term investments		37,452		92,398
Mortgage-backed securities		267,885		197,401
Mortgage loans acquired for sale at fair value		688,850		458,137
Mortgage loans at fair value		2,561,911		2,818,445
Excess servicing spread		187,368		138,723
Derivative assets		10,344		7,976
Real estate acquired in settlement of loans		275,185		148,080
Mortgage servicing rights		345,848		290,572
		4,374,843		4,151,732
Other assets		183,483		131,774
Total assets	$	4,604,813	$	4,310,917
Liabilities
Borrowings:
Assets sold under agreements to repurchase	$	2,416,686	$	2,039,605
Borrowings under forward purchase agreements		—		226,580
Asset-backed secured financing of the variable interest entity		166,841		165,415
Exchangeable senior notes		250,000		250,000
		2,833,527		2,681,600
Other liabilities		183,245		162,203
Total liabilities		3,016,772		2,843,803
Shareholders’ equity		1,588,041		1,467,114
Total liabilities and shareholders’ equity	$	4,604,813	$	4,310,917

Total assets increased by approximately $293.9 million, or 7%, during the period from December 31, 2013 through September 30, 2014, primarily due to an increase in mortgage loans acquired for sale at fair value of $230.7 million, a $48.6 million increase in ESS and an increase in REO of $127.1 million, partly offset by a $256.5 million decrease in mortgage loans at fair value. Our asset acquisitions are summarized below.

80

Asset Acquisitions

Correspondent Production

Following is a summary of our correspondent production acquisitions:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Correspondent lending loan purchases:
Government-insured or guaranteed	$	4,614,645	$	4,128,780	$	11,890,787	$	12,545,793
Agency-eligible		3,628,373		3,648,546		8,602,756		2,868,752
Jumbo		171,484		453,170		266,340		569,811
	$	8,414,502	$	8,230,496	$	20,759,883	$	25,984,356
Fair value of correspondent lending loans in inventory at period end	$	688,850	$	737,114

During the quarter and nine months ended September 30, 2014, we purchased for sale $8.4 billion and $20.8 billion, respectively, in fair value of correspondent production loans compared to $8.2 billion and $26.0 billion, respectively, in fair value of correspondent production loans during the quarter and nine months ended September 30, 2013. The decrease in correspondent purchases is a result of the effects of higher interest rates that have prevailed during the nine months ended September 30, 2014 as compared to those that prevailed during the first nine months of 2013 on the size of the mortgage market during the nine months ended September 30, 2014 as compared to the nine months ended September 30, 2013.

Our ability to expand our correspondent production business is subject to, among other factors, our ability to source additional mortgage loan volume, our ability to obtain additional inventory financing and our ability to fund the portion of the loans not financed, either through cash flows from business activities or the raising of additional equity capital. There can be no assurance that we will be successful in sourcing additional sources of mortgage loans, increasing our borrowing capacity or in obtaining the additional equity capital necessary to fund the portion of the loans not financed.

Investment Portfolio

Following is a summary of our acquisitions of mortgage investments other than correspondent production acquisitions as shown in the preceding table:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
MBS	$	54,284	$	199,558	$	73,922	$	199,558
Distressed mortgage loans
Performing		—		1,459		735		58,543
Nonperforming		—		577,533		282,282		963,632
		—		578,992		283,017		1,022,175
REO		—		3,597		3,117		3,686
MSRs		39,614		50,653		89,230		158,110
ESS purchased from PennyMac Financial Services, Inc.		9,253		2,828		82,646		2,828
	$	103,151	$	835,628	$	531,932	$	1,386,357

We did not acquire distressed mortgage loans during the quarter ended September 30, 2014 because we believe the pricing for recent transactions has been less attractive for buyers. We remain patient and selective in making new investments in distressed mortgage loans.

Our acquisitions during the nine months ended September 30, 2014 and during the quarter and nine months ended September 30, 2013 were financed through the use of a combination of proceeds from liquidations of existing investments, equity and borrowings. We continue to identify additional means of increasing our investment portfolio through cash flow from our business operations, existing investments, borrowings, and transactions that minimize current cash outlays. However, we expect that, over time, our ability to continue our investment activities portfolio growth will depend on our ability to raise additional equity capital.

81

Investment Portfolio Composition

Mortgage-Backed Securities

Our portfolio of MBS is backed by 30-year fixed interest rate mortgage loans. Following is a summary of our MBS portfolio.

	September 30, 2014												December 31, 2013
					Average												Average
	Fair value		Principal		Life (in years)		Coupon			Market yield			Fair value		Principal		Life (in years)		Coupon			Market yield
	(dollars in thousands)
Agency:
Freddie Mac	$	139,087	$	136,039		5.64		3.50	%		3.02	%	$	141,106	$	142,186		7.23		3.50	%		3.63	%
Fannie Mae		56,634		55,300		6.00		3.50	%		3.00	%		56,295		56,593		7.49		3.50	%		3.57	%
Prime jumbo		72,164		72,829		5.98		3.32	%		3.40	%		—		—		—		0.00	%		0.00	%
	$	267,885	$	264,168		—		3.45	%		3.16	%	$	197,401	$	198,779		7.30		3.50	%		3.59	%

Mortgage Loans

The relationship of the fair value of our mortgage loans at fair value and mortgage loans under forward purchase agreements (excluding mortgage loans acquired for sale at fair value and mortgage loans at fair value held by VIE) to the fair value of the real estate collateral underlying the loans is summarized below:

	September 30, 2014				December 31, 2013
	Loan		Collateral		Loan		Collateral
	(in thousands)
Fair values:
Performing loans	$	591,582	$	860,757	$	647,266	$	986,075
Nonperforming loans		1,439,520		2,060,559		1,647,527		2,331,605
	$	2,031,102	$	2,921,316	$	2,294,793	$	3,317,680

The collateral values presented above do not represent our assessment of the amount of future cash flows to be realized from the mortgage loans and/or underlying collateral. Future cash flows will be influenced by, among other considerations, changes in borrower performance, our asset disposition strategies with respect to individual loans, the costs and expenses we incur in the asset preservation and disposition process and changes in the underlying collateral values.

The collateral values summarized above are estimated and may change over time due to various factors including our level of access to the properties securing the loans, changes in the real estate market or the condition of individual properties. The collateral values presented do not include any costs that would typically be incurred in obtaining the property in settlement of the loan, readying the property for sale or in the sale of a property.

82

Following is a summary of the distribution of our mortgage loans at fair value (excluding mortgage loans acquired for sale at fair value and mortgage loans at fair value held by VIE):

	September 30, 2014																December 31, 2013
	Performing loans								Nonperforming loans								Performing loans								Nonperforming loans
Loan type	Fair value		% total			Average note rate			Fair value		% total			Average note rate			Fair value		% total			Average note rate			Fair value		% total			Average note rate
	(dollars in thousands)																(dollars in thousands)
Fixed	$	303,569		51	%		4.86	%	$	612,771		43	%		5.90	%	$	329,899		51	%		5.00	%	$	751,611		46	%		6.03	%
ARM/Hybrid		104,594		18	%		3.23	%		794,488		55	%		5.12	%		184,837		29	%		3.46	%		877,086		53	%		5.07	%
Interest rate step-up		183,263		31	%		2.30	%		30,345		2	%		5.66	%		132,391		20	%		2.32	%		18,830		1	%		3.31	%
Balloon		156		0	%		2.00	%		1,916		0	%		2.43	%		139		0	%		2.00	%		—		0	%		0.00	%
	$	591,582		100	%		3.76	%	$	1,439,520		100	%		5.40	%	$	647,266		100	%		4.01	%	$	1,647,527		100	%		5.50	%
	September 30, 2014																December 31, 2013
	Performing loans								Nonperforming loans								Performing loans								Nonperforming loans
Lien position	Fair value		% total			Average note rate			Fair value		% total			Average note rate			Fair value		% total			Average note rate			Fair value		% total			Average note rate
	(dollars in thousands)																(dollars in thousands)
1st lien	$	590,957		100	%		3.75	%	$	1,439,339		100	%		5.40	%	$	646,703		100	%		4.01	%	$	1,647,457		100	%		5.50	%
2nd lien		625		0	%		4.56	%		181		0	%		8.95	%		563		0	%		4.97	%		70		0	%		10.62	%
Unsecured		—		0	%		0.00	%		—		0	%		0.00	%		—		0	%		0.01	%		—		0	%		0.35	%
	$	591,582		100	%		3.76	%	$	1,439,520		100	%		5.40	%	$	647,266		100	%		4.01	%	$	1,647,527		100	%		5.50	%
	September 30, 2014																December 31, 2013
	Performing loans								Nonperforming loans								Performing loans								Nonperforming loans
Occupancy	Fair value		% total			Average note rate			Fair value		% total			Average note rate			Fair value		% total			Average note rate			Fair value		% total			Average note rate
	(dollars in thousands)																(dollars in thousands)
Owner occupied	$	474,588		81	%		3.85	%	$	782,972		54	%		5.36	%	$	543,633		84	%		4.02	%	$	915,279		56	%		5.47	%
Investment property		114,679		19	%		3.34	%		654,561		45	%		5.46	%		95,181		15	%		3.95	%		729,558		44	%		5.54	%
Other		2,315		0	%		3.85	%		1,987		1	%		5.32	%		8,452		1	%		4.13	%		2,690		0	%		5.10	%
	$	591,582		100	%		3.76	%	$	1,439,520		100	%		5.40	%	$	647,266		100	%		4.01	%	$	1,647,527		100	%		5.50	%
	September 30, 2014																December 31, 2013
	Performing loans								Nonperforming loans								Performing loans								Nonperforming loans
Loan age	Fair value		% total			Average note rate			Fair value		% total			Average note rate			Fair value		% total			Average note rate			Fair value		% total			Average note rate
	(dollars in thousands)																(dollars in thousands)
Less than 12 months	$	302		0	%		4.94	%	$	—		0	%		5.50	%	$	444		0	%		3.54	%	$	—		0	%		0.42	%
12 -35 months		295		0	%		3.66	%		153		0	%		2.17	%		11,063		2	%		2.64	%		3,075		0	%		4.07	%
36 -59 months		23,761		4	%		3.54	%		28,216		2	%		3.62	%		54,150		8	%		3.49	%		55,669		3	%		4.25	%
60 months or more		567,224		96	%		3.76	%		1,411,151		98	%		5.44	%		581,609		90	%		4.09	%		1,588,783		97	%		5.55	%
	$	591,582		100	%		3.76	%	$	1,439,520		100	%		5.40	%	$	647,266		100	%		4.01	%	$	1,647,527		100	%		5.50	%

83

	September 30, 2014																December 31, 2013
	Performing loans								Nonperforming loans								Performing loans								Nonperforming loans
Origination FICO score	Fair value		% total			Average note rate			Fair value		% total			Average note rate			Fair value		% total			Average note rate			Fair value		% total			Average note rate
	(dollars in thousands)																(dollars in thousands)
Less than 600	$	161,817		27	%		4.19	%	$	266,341		19	%		5.64	%	$	159,814		25	%		4.51	%	$	306,375		19	%		5.93	%
600-649		127,251		22	%		3.94	%		270,406		19	%		5.39	%		130,561		20	%		4.33	%		303,402		18	%		5.60	%
650-699		148,217		25	%		3.64	%		424,128		28	%		5.39	%		157,600		24	%		3.85	%		469,526		28	%		5.42	%
700-749		114,199		19	%		3.20	%		340,458		24	%		5.31	%		131,930		20	%		3.40	%		399,819		24	%		5.26	%
750 or greater		40,098		7	%		3.34	%		138,187		10	%		5.20	%		67,361		11	%		3.52	%		168,405		11	%		5.29	%
	$	591,582		100	%		3.76	%	$	1,439,520		100	%		5.40	%	$	647,266		100	%		4.01	%	$	1,647,527		100	%		5.50	%

	September 30, 2014																December 31, 2013
	Performing loans								Nonperforming loans								Performing loans								Nonperforming loans
Current loan-to-value (1)	Fair value		% total			Average note rate			Fair value		% total			Average note rate			Fair value		% total			Average note rate			Fair value		% total			Average note rate
	(dollars in thousands)																(dollars in thousands)
Less than 80%	$	132,160		22	%		4.43	%	$	250,134		17	%		5.45	%	$	145,449		23	%		4.49	%	$	223,442		14	%		5.60	%
80% - 99.99%		161,824		28	%		3.80	%		376,826		26	%		5.36	%		188,505		29	%		4.00	%		355,451		22	%		5.34	%
100% - 119.99%		168,216		28	%		3.59	%		351,354		25	%		5.36	%		174,830		27	%		3.83	%		413,316		25	%		5.50	%
120% or greater		129,382		22	%		3.45	%		461,206		32	%		5.43	%		138,482		21	%		3.89	%		655,318		39	%		5.54	%
	$	591,582		100	%		3.76	%	$	1,439,520		100	%		5.40	%	$	647,266		100	%		4.01	%	$	1,647,527		100	%		5.50	%

(1) Current loan-to-value is calculated based on the unpaid principal balance of the mortgage loan and our estimate of the value of the mortgaged property.

	September 30, 2014																		December 31, 2013
	Performing loans									Nonperforming loans									Performing loans									Nonperforming loans
Geographic distribution	Fair value			% total			Average note rate			Fair value			% total			Average note rate			Fair value			% total			Average note rate			Fair value		% total			Average note rate
	(dollars in thousands)																		(dollars in thousands)
California	$	152,581			26	%		3.14	%	$	267,282			19	%		4.54	%	$	184,457			28	%		3.37	%	$	370,347		23	%		4.60	%
New York		54,060			9	%		3.57	%		290,222			20	%		5.85	%		37,944			6	%		4.29	%		188,021		11	%		5.97	%
Florida		40,714			7	%		3.62	%		174,012			13	%		5.61	%		55,115			9	%		3.68	%		234,362		14	%		5.91	%
New Jersey			*			*			*		176,277			12	%		5.61	%			*			*			*		161,344		10	%		5.65	%
Maryland		28,183			5	%		4.02	%			*			*			*
Other		316,044			52	%		4.09	%		531,727			36	%		5.34	%		369,750			57	%		4.47	%		693,453		42	%		5.68	%
	$	591,582			99	%		3.76	%	$	1,439,520			100	%		5.40	%	$	647,266			100	%		4.01	%	$	1,647,527		100	%		5.50	%

* Not included in the states representing the largest percentages as of the dates presented.

	September 30, 2014																December 31, 2013
	Performing loans								Nonperforming loans								Performing loans								Nonperforming loans
Payment status	Fair value		% total			Average note rate			Fair value		% total			Average note rate			Fair value		% total			Average note rate			Fair value		% total			Average note rate
	(dollars in thousands)																(dollars in thousands)
Current	$	439,309		74	%		3.66	%	$	—		0	%		0.00	%	$	501,218		77	%		3.90	%	$	—		0	%		0.00	%
30 days delinquent		100,124		17	%		4.09	%		—		0	%		0.00	%		100,395		16	%		4.32	%		—		0	%		0.00	%
60 days delinquent		52,149		9	%		3.93	%		—		0	%		0.00	%		45,653		7	%		4.40	%		—		0	%		0.00	%
90 days or more				0	%		0.00	%				0	%		0.00	%
delinquent		—		0	%		0.00	%		558,095		39	%		4.87	%		—		0	%		0.00	%		738,043		45	%		5.11	%
In foreclosure		—		0	%		0.00	%		881,425		61	%		5.75	%		—		0	%		0.00	%		909,484		55	%		5.82	%
	$	591,582		100	%		3.76	%	$	1,439,520		100	%		5.40	%	$	647,266		100	%		4.01	%	$	1,647,527		100	%		5.50	%

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We believe that our current fair value estimates are representative of fair value at the reporting date. However, the market for distressed mortgage assets is illiquid with a limited number of participants. Furthermore, our business strategy is to enhance value during the period in which the loans are held. Therefore, any resulting appreciation or depreciation in the fair value of the loans is recorded during such holding period and ultimately realized at the end of the holding period.

Following is a comparison of the valuation techniques and key inputs we use in the valuation of our financial assets using “Level 3” inputs:

Key inputs	September 30, 2014	December 31, 2013
Mortgage loans at fair value
Discount rate
Range	5.4% – 15.0%	8.7% – 16.9%
Weighted average	8.9%	12.7%
Twelve-month projected housing price index change
Range	4.0% – 5.1%	2.5% – 4.3%
Weighted average	4.8%	3.7%
Prepayment speed (1)
Range	0.0% – 7.4%	0.0% – 3.9%
Weighted average	3.0%	2.0%
Total prepayment speed (2)
Range	0.0% – 27.5%	0.3% – 33.9%
Weighted average	21.6%	24.3%
Mortgage loans under forward purchase agreements
Discount rate
Range	—	9.5% – 13.5%
Weighted average	—	11.9%
Twelve-month projected housing price index change
Range	—	3.3% – 4.2%
Weighted average	—	3.8%
Prepayment speed (1)
Range	—	1.1% – 2.9%
Weighted average	—	2.2%
Total prepayment speed (2)
Range	—	13.4% – 27.9%
Weighted average	—	22.8%

(1) Prepayment speed is measured using Life Voluntary CPR.

(2) Total prepayment speed is measured using Life Total CPR.

We monitor and value our investments in pools of distressed mortgage loans either by acquisition date or by payment status of the loans. Most of the measures we use to value and monitor the loan portfolio, such as projected prepayment and default speeds and discount rates, are applied or output at the pool level. The characteristics of the individual loans, such as loan size, loan-to-value ratio and current delinquency status, can vary widely within a pool.

The weighted average discount rate used in the valuation of mortgage loans at fair value decreased from 12.7% at December 31, 2013 to 8.9% at September 30, 2014 because observed market returns for similar assets decreased during the period and our projections of interest collections for curing delinquent mortgage loans were revised.

The weighted average twelve-month projected housing price index (“HPI”) change increased from 3.7% at December 31, 2013 to 4.8% at September 30, 2014 due to improved forecasts for real estate price appreciation.

The total prepayment speed of our portfolio of mortgage loans at fair value decreased from 24.3% at December 31, 2013 to 21.6% at September 30, 2014, largely due to lower expectations of prepayment speeds on certain mortgage loans that have seasoned in our portfolio.

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Real Estate Acquired in Settlement of Loans

Following is a summary of our REO by attribute:

	September 30, 2014					December 31, 2013
Property type	Fair value		% total			Fair value		% total
	(dollars in thousands)
1 - 4 dwelling units	$	191,471		70	%	$	108,341		73	%
Planned unit development		40,770		15	%		23,106		16	%
Condominium/Co-op		31,933		12	%		9,805		7	%
5+ dwelling units		11,011		4	%		6,828		5	%
	$	275,185		100	%	$	148,080		100	%

	September 30, 2014					December 31, 2013
Geographic distribution	Fair value		% total			Fair value			% total
	(dollars in thousands)
California	$	64,380		23	%	$	25,224			17	%
Florida		43,171		16	%		21,659			15	%
Maryland		28,157		10	%		7,688			5	%
Illinois		13,619		5	%			*			*
Other		125,858		46	%		93,509			63	%
	$	275,185		100	%	$	148,080			100	%

* Not included in the states representing the largest percentages as of the dates presented.

Following is a summary of the status of our portfolio of acquisitions by quarter acquired (excluding acquisitions for the quarter ended September 30, 2014 due to close proximity of current status to quarter-end):

	Acquisitions for the quarter ended
	June 30, 2014						March 31, 2014
	At purchase			June 30, 2014			At purchase			June 30, 2014
	(dollars in millions)
Unpaid principal balance	$	37.9		$	36.1		$	439.0		$	411.6
Pool factor (1)		1.00			0.95			1.00			0.94
Collection status:
Delinquency
Current		0.7	%		3.9	%		6.2	%		12.4	%
30 days		0.6	%		1.6	%		0.7	%		1.4	%
60 days		1.4	%		0.0	%		0.7	%		0.8	%
over 90 days		59.0	%		60.4	%		37.5	%		19.9	%
In foreclosure		38.2	%		29.9	%		53.8	%		57.3	%
REO		0.0	%		4.1	%		1.1	%		8.2	%

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	Acquisitions for the quarter ended
	December 31, 2013						September 30, 2013						June 30, 2013						March 31, 2013
	At purchase			September 30, 2014			At purchase			September 30, 2014			At purchase			September 30, 2014			At purchase			September 30, 2014
	(dollars in millions)
Unpaid principal balance	$	507.3		$	471.2		$	929.5		$	796.6		$	397.3		$	328.9		$	366.2		$	245.4
Pool factor (1)		1.00			0.93			1.00			0.86			1.00			0.83			1.00			0.67
Collection status:
Delinquency
Current		1.4	%		7.9	%		0.8	%		13.4	%		4.8	%		19.3	%		1.6	%		36.3	%
30 days		0.2	%		0.8	%		0.3	%		1.6	%		7.4	%		6.1	%		1.5	%		8.4	%
60 days		0.0	%		0.5	%		0.7	%		1.1	%		7.6	%		4.5	%		3.5	%		4.8	%
over 90 days		38.3	%		24.5	%		58.6	%		29.8	%		45.3	%		25.6	%		82.2	%		21.3	%
In foreclosure		60.0	%		56.2	%		39.6	%		41.1	%		34.9	%		31.0	%		11.2	%		18.3	%
REO		0.0	%		10.1	%		0.0	%		13.1	%		0.0	%		13.5	%		0.0	%		10.9	%

	Acquisitions for the quarter ended
	December 31, 2012						September 30, 2012						June 30, 2012						March 31, 2012
	At purchase			September 30, 2014			At purchase			September 30, 2014			At purchase			September 30, 2014			At purchase			September 30, 2014
	(dollars in millions)
Unpaid principal balance	$	290.3		$	189.9		$	357.2		$	205.5		$	402.5		$	154.3		$	0.0		$	0.0
Pool factor (1)		1.00			0.65			1.00			0.58			1.00			0.38			—			—
Collection status:
Delinquency
Current		3.1	%		24.5	%		0.0	%		18.9	%		45.0	%		32.2	%		0.0	%		0.0	%
30 days		1.3	%		7.6	%		0.0	%		2.2	%		4.0	%		10.1	%		0.0	%		0.0	%
60 days		5.4	%		4.8	%		0.1	%		1.6	%		4.3	%		5.5	%		0.0	%		0.0	%
over 90 days		57.8	%		19.7	%		49.1	%		18.3	%		31.3	%		26.2	%		0.0	%		0.0	%
In foreclosure		32.4	%		24.7	%		50.8	%		39.7	%		15.3	%		17.7	%		0.0	%		0.0	%
REO		0.0	%		18.7	%		0.0	%		19.2	%		0.1	%		8.3	%		0.0	%		0.0	%

	Acquisitions for the quarter ended
	December 31, 2011						September 30, 2011						June 30, 2011						March 31, 2011
	At purchase			September 30, 2014			At purchase			September 30, 2014			At purchase			September 30, 2014			At purchase			September 30, 2014
	(dollars in millions)
Unpaid principal balance	$	49.0		$	26.3		$	542.6		$	169.4		$	259.8		$	92.8		$	515.1		$	165.8
Pool factor (1)		1.00			0.54			1.00			0.31			1.00			0.36			1.00			0.32
Collection status:
Delinquency
Current		0.2	%		31.5	%		0.6	%		19.5	%		11.5	%		25.6	%		2.0	%		19.4	%
30 days		0.1	%		3.5	%		1.3	%		3.7	%		6.5	%		8.1	%		1.9	%		7.1	%
60 days		0.2	%		3.5	%		2.0	%		3.7	%		5.2	%		4.1	%		3.9	%		3.4	%
over 90 days		70.4	%		30.1	%		22.6	%		30.3	%		31.2	%		26.4	%		25.9	%		19.7	%
In foreclosure		29.0	%		27.6	%		73.0	%		29.7	%		43.9	%		25.3	%		66.3	%		38.3	%
REO		0.0	%		3.9	%		0.4	%		13.1	%		1.7	%		10.5	%		0.0	%		12.2	%

(1) Ratio of unpaid principal balance remaining to unpaid principal balance at acquisition.

Cash Flows

Our cash flows resulted in a net increase in cash of $19.1 million during the nine months ended September 30, 2014. The increase was due to cash provided in our investing and financing activities exceeding cash used by our operating activities.

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Operating activities

Cash used by operating activities totaled $383.4 million during the nine months ended September 30, 2014 compared to cash used in operating activities of $432.2 million during the nine months ended September 30, 2013. Cash used by operating activities in both periods is primarily attributable to growth in our inventory of mortgage loans acquired for sale.

Investing activities

Net cash provided by our investing activities was $308.3 million for the nine months ended September 30, 2014 and reflects liquidations of investments in excess of new investment acquisitions. This compares with cash used in investing activities totaling $759.5 million for the nine months ended September 30, 2013 as a result of growth in our investment portfolio. The change in cash flows from investing activities reflects a decrease in the availability of mortgage investments that meet our return targets. We realized cash inflows from repayments of mortgage loans and MBS, repayments of ESS and sales of REO totaling $694.2 million. Offsetting these cash inflows were the use of cash to purchase mortgage loans at fair value, ESS and REO of $368.7 million during the nine months ended September 30, 2014.

Approximately 45% of our investments, comprised of short-term investments, MBS, non-correspondent production mortgage loans, ESS, REO and MSRs, were nonperforming assets as of September 30, 2014. Nonperforming assets include mortgage loans delinquent 90 or more days and REO. Accordingly, we expect that these assets will require a longer period to produce cash flow and the timing and amount of cash flows from these assets is less certain than for performing assets. During the nine months ended September 30, 2014, we transferred $268.7 million of mortgage loans to REO and realized cash proceeds from the sales and repayments of mortgage loans at fair values and REO totaling $647.2 million.

As discussed above, our investing activities include the purchase of long-term assets which are not presently cash flowing or are at risk of interruption of cash flows in the near future. Furthermore, much of the investment income we recognize is in the form of valuation adjustments we record recognizing our estimates of the net appreciation in fair value of the assets as we work with borrowers to either modify their loans or acquire the property securing their loans in settlement thereof. Accordingly, the cash associated with a substantial portion of our revenues is often realized as part of the proceeds of the liquidation of the assets, either through payoff or sale of the mortgage loan or through acquisition and subsequent sale of the property securing the loans, many months after we record the revenues.

The following table illustrates, for assets liquidated during the periods presented, the net gain (loss) in value that we accumulated over the period during which we owned the liquidated assets, as compared to the proceeds actually received and the additional net gain (loss) realized upon liquidation of such assets:

	Quarter ended September 30,
	2014						2013
	Proceeds		Accumulated gains (2)		Gain on liquidation (3)		Proceeds		Accumulated gains (2)		Gain on liquidation (3)
	(in thousands)
Mortgage loans (1)	$	124,248	$	21,406	$	6,128	$	67,136	$	8,759	$	6,095
REO		47,891		2,003		3,713		35,151		4,121		2,749
	$	172,139	$	23,409	$	9,841	$	102,287	$	12,880	$	8,844
	Nine months ended September 30,
	2014						2013
	Proceeds		Accumulated gains (2)		Gain on liquidation (3)		Proceeds		Accumulated gains (2)		Gain on liquidation (3)
	(in thousands)
Mortgage loans (1)	$	517,005	$	102,227	$	22,756	$	201,914	$	26,490	$	22,498
REO		130,159		8,205		9,791		98,168		6,299		8,634
	$	647,164	$	110,432	$	32,547	$	300,082	$	32,789	$	31,132

(1) For the quarter and nine months ended September 30, 2014, the amounts include sales of reperforming loans with loan sale proceeds of $65.7 million and $329.9 million, accumulated gains of $14.5 million and $77.3 million, and $271,000 and $3.8 million gain on liquidation, respectively.

(2) Represents valuation gains and losses recognized during the period we held the respective asset but excludes the gain or loss recorded upon sale or repayment of the respective asset.

(3) Represents the gain or loss recognized upon sale or repayment of the respective asset.

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The amounts included in accumulated gains and gains on liquidation do not include the cost of managing the liquidated assets which may be substantial depending on the collection status of the loan at acquisition and on our success in working with the borrower to resolve the distress in the loan. Accumulated gains include the amount of accumulated valuation gains and losses recognized throughout the holding period and, in the case of REO, includes direct transaction costs incurred in the sale of the property. Accordingly, the preceding amounts do not represent periodic earnings on a cash basis and the amount of gain will have accumulated over varying periods depending on the holding periods and liquidation speed for individual assets.

The primary expenses incurred at a loan level in managing our portfolio of distressed assets are servicing and activity fees. From the time of acquisition of the distressed assets through their deboarding dates, we incurred servicing and activity fees of $3.2 million for assets liquidated during the quarter ended September 30, 2014; $2.5 million for assets liquidated during the quarter ended September 30, 2013; and $11.4 million and $9.0 million for assets liquidated during the nine months ended September 30, 2014 and 2013, respectively.

Financing activities

Net cash provided by financing activities was $94.2 million for the nine months ended September 30, 2014, which was primarily used to fund the increase in our inventory of mortgage loans acquired for sale and mortgage loans at fair value. This compares with cash provided by financing activities totaling $1.3 billion for the nine months ended September 30, 2013. The reduction in cash flows from financing activities reflects reduced financing needs as a result of reduced acquisitions of distressed mortgage assets during 2014 as compared to 2013. We do not raise equity or enter into borrowings for the purpose of financing the payment of dividend distributions. We believe that our cash flows from the liquidation of our investments, which include accumulated gains recorded during the periods we hold those investments, along with our cash earnings, are adequate to fund our operating expenses and dividend payment requirements. As our business continues to grow, we manage our liquidity in the aggregate and are reinvesting our cash flows in new investments as well as using such cash to fund our dividend requirements.

Liquidity and Capital Resources

Our liquidity reflects our ability to meet our current obligations (including the purchase of loans from correspondent lenders, our operating expenses and, when applicable, retirement of, and margin calls relating to, our debt and derivatives positions), make investments as our Manager identifies them and make distributions to our shareholders. We generally need to distribute at least 90% of our taxable income each year (subject to certain adjustments) to our shareholders to qualify as a REIT under the Internal Revenue Code. This distribution requirement limits our ability to retain earnings and thereby replenish or increase capital to support our activities.

We expect our primary sources of liquidity to be proceeds from liquidations from our portfolio of distressed assets, cash earnings on our investments, cash flows from business activities, and proceeds from borrowings and/or additional equity offerings. We do not expect repayments from contractual cash flows from our distressed asset investments to be a primary source of liquidity as the majority of our distressed asset investments are nonperforming. Our portfolio of distressed mortgage loans was acquired with the expectation that the majority of the cash flows associated with these investments would result from liquidation of the loan or the property securing the loan, rather than from scheduled principal and interest payments. Our mortgage loans acquired for sale are generally held for fifteen days or less, and therefore are not expected to generate significant cash flows from principal repayments.

Our current leverage strategy is to finance our assets where we believe such borrowing is prudent, appropriate and available. We have made borrowings in the form of sales of assets under agreements to repurchase and borrowings under forward purchase agreements. We entered into two long-term financing agreements during the year ended December 31, 2013. To the extent available to us, we expect in the future to obtain long-term financing for assets with estimated future lives of more than one year; this may include term financing and securitization of performing (including newly purchased jumbo mortgage loans), nonperforming and/or reperforming mortgage loans.

The two long-term financing transactions are as follows:

• In April 2013, our wholly-owned subsidiary, PMC, completed a private offering of $250.0 million of Notes due 2020. The Notes bear interest at a rate of 5.375% per year, payable semiannually. The Notes are exchangeable into common shares of the Company at a rate of 33.6041 common shares per $1,000 principal amount of the Notes, which exchange rate increased from the initial exchange rate of 33.5149 (equivalent to an initial exchange price of approximately $29.84 per common share). The increase in the calculated exchange rate was the result of cash dividends exceeding the dividend threshold amount of $0.57 as provided in the related indenture. The exchange rate is subject to adjustment upon the occurrence of other certain events, but will not be adjusted for any accrued and unpaid interest. The Notes will mature May 1, 2020, unless repurchased or exchanged in accordance with their terms before such date.

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• In September 2013, we financed $536.8 million at fair value of jumbo loans through a private-label securitization transaction. We sold $174.5 million of senior bonds backed by the loans and retained the remaining securities from the transaction, with a portion intended as long-term investments. We intend to sell a portion of the securities in the future as investor demand for private-label securities increases. We do not have plans to execute additional financings through private-label securitizations until market conditions for such transactions improve.

We will continue to finance most of our assets on a short-term basis until long-term financing on favorable terms becomes more accessible. Our short-term financings will be primarily in the form of agreements to repurchase and other secured lending and structured finance facilities, pending the ultimate disposition of the assets, whether through sale, securitization or liquidation. Because a significant portion of our current debt facilities consists of short-term borrowings, we expect to renew these facilities in advance of maturity in order to ensure our ongoing liquidity and access to capital or otherwise allow ourselves sufficient time to replace any necessary financing.

Our repurchase agreements represent the sales of assets together with agreements for us to buy back the assets at a later date. During the quarter and nine months ended September 30, 2014, the average balance outstanding under agreements to repurchase securities, mortgage loans, mortgage loans acquired for sale, mortgage loans held by VIE and REO totaled $2.5 billion and $2.2 billion, respectively, and the maximum daily amount outstanding under such agreements totaled $2.8 billion and $2.7 billion for the quarter and nine months ended September 30, 2014, respectively. The difference between the maximum and average daily amounts outstanding was due to the timing of our mortgage loan purchases through our correspondent production segment and settlements of the mortgage loans into securities and our use of excess cash to temporarily reduce our borrowings. The total facility size of our borrowings was approximately $3.9 billion at September 30, 2014.

As of September 30, 2014 and December 31, 2013, we financed our investments in MBS, our inventory of mortgage loans acquired for sale at fair value, mortgage loans at fair value, mortgage loans at fair value held by VIE, and REO under agreements to repurchase and forward purchase agreements as follows:

	September 30, 2014			December 31, 2013
	(dollars in thousands)
Assets financed	$	3,455,207		$	3,447,587
Total assets in classes of assets financed	$	3,793,831		$	3,787,478
Borrowings	$	2,583,527		$	2,431,600
Percentage of invested assets pledged		91	%		91	%
Advance rate against pledged assets		75	%		71	%
Leverage ratio (1)		1.78x			1.83x

(1) All borrowings divided by shareholders’ equity at period end.

As discussed above, all of our repurchase agreements and forward purchase agreements have short-term maturities:

• The transactions relating to mortgage loans and REO under agreements to repurchase mature between December 18, 2014 and October 30, 2015 and provide for the sale to major financial institution counterparties based on the fair value of the mortgage loans sold. The agreements provide for terms of approximately one year.

We do not currently have secured financing for our investments in MSRs and ESS. Direct leverage on these assets has been difficult to obtain due to the requirement of each Agency that its rights and interest in the MSRs and ESS remain senior to those of any lender extending credit. If we are unable to finance these asset classes, continued aggregation of MSRs and acquisition of ESS could place stress on our capital and liquidity positions or require us to forego attractive investment opportunities.

Our debt financing agreements require us and certain of our subsidiaries to comply with various financial covenants. As of the filing of this Report, these financial covenants include the following:

• profitability at each of the Company and our Operating Partnership, for at least one (1) of the previous two consecutive fiscal quarters, as of the end of each fiscal quarter; over the prior two (2) calendar quarters; and over the prior three (3) calendar quarters;

• a minimum of $40 million in unrestricted cash and cash equivalents among the Company and/or our subsidiaries; a minimum of $40 million in unrestricted cash and cash equivalents among our Operating Partnership and its consolidated subsidiaries; a minimum of $25 million in unrestricted cash and cash equivalents between PMC and PMH; and a minimum of $10 million in unrestricted cash and cash equivalents at each of PMC and PMH;

90

• a minimum tangible net worth for the Company of $860 million; a minimum tangible net worth for our Operating Partnership of $700 million; a minimum tangible net worth for PMH of $250 million; and a minimum tangible net worth for PMC of $150 million;

• a maximum ratio of total liabilities to tangible net worth of less than 10:1 for PMC and PMH and 5:1 for the Company and our Operating Partnership; and

• at least two warehouse or repurchase facilities that finance amounts and assets similar to those being financed under our existing debt financing agreements.

Although these financial covenants limit the amount of indebtedness we may incur and impact our liquidity through minimum cash reserve requirements, we believe that these covenants currently provide us with sufficient flexibility to successfully operate our business and obtain the financing necessary to achieve that purpose.

PLS is also subject to various financial covenants, both as a borrower under its own financing arrangements and as our Servicer under certain of our debt financing agreements. The most significant of these financial covenants currently include the following:

• positive net income during each calendar quarter;

• a minimum in unrestricted cash and cash equivalents of $20 million;

• a minimum tangible net worth of $90 million; and

• a maximum ratio of total liabilities to tangible net worth of 10:1.

Our transactions relating to securities sold under agreements to repurchase contain margin call provisions that, upon notice from the applicable lender at its option, require us to transfer cash or additional securities in an amount sufficient to eliminate any margin deficit. A margin deficit will generally result from any decrease in the market value (as determined by the applicable lender) of the assets subject to an agreement to repurchase, although in some instances we may agree with the lender upon certain thresholds (in dollar amounts or percentages based on the market value of the assets) that must be exceeded before a margin deficit will arise. Upon notice from the applicable lender, we will generally be required to satisfy the margin call on the day of such notice or within one business day thereafter, depending on the timing of the notice.

The transactions relating to mortgage loans and/or equity interests in special purpose entities holding real property under agreements to repurchase contain margin call provisions that, upon notice from the applicable lender at its option, require us to transfer cash or additional mortgage loans or real property, as applicable, in an amount sufficient to eliminate any margin deficit. A margin deficit will generally result from any decrease in the market value (as determined by the applicable lender) of the assets subject to an agreement to repurchase. Upon notice from the applicable lender, we will generally be required to satisfy the margin call on the day of such notice or within one business day thereafter, depending on the timing of the notice.

Our Manager continues to explore a variety of additional means of financing our continued growth, including debt financing through bank warehouse lines of credit, additional repurchase agreements, term financing, securitization transactions and additional equity offerings. However, there can be no assurance as to how much additional financing capacity such efforts will produce, what form the financing will take or that such efforts will be successful.

Off-Balance Sheet Arrangements and Aggregate Contractual Obligations

Off-Balance Sheet Arrangements and Guarantees

As of September 30, 2014, we have not entered into any off-balance sheet arrangements or guarantees.

Contractual Obligations

As of September 30, 2014, we had on-balance sheet contractual obligations of $2.4 billion for the financing of assets under agreements to repurchase with maturities between October 31, 2014 and September 7, 2015. We also had contractual obligations of $250.0 million in the Notes.

As of September 30, 2014, we had contractual obligations to purchase mortgage loans for resale totaling approximately $838.9 million. Of the $838.9 million in commitments to purchase mortgage loans for resale, we recorded IRLCs of $5.5 million on our balance sheet as assets under the caption Derivative assets and $121 thousand as liabilities under the caption Derivative liabilities.

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All agreements to repurchase assets that matured between September 30, 2014 and the date of this Report have been renewed, extended or repaid and are described in Note 15—Assets Sold Under Agreements to Repurchase in the accompanying consolidated financial statements.

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Payment obligations under these agreements are summarized below:

	Payments due by period
Contractual obligations	Total		Less than 1 year		1 - 3 years		3 - 5 years		More than 5 years
	(in thousands)
Commitments to purchase mortgage loans from correspondent lenders	$	838,948	$	838,948	$	—	$	—	$	—
Assets sold under agreements to repurchase		2,416,686		2,416,686		—		—		—
Asset-backed secured financing		165,887		—		—		—		165,887
Exchangeable senior notes		250,000		—		—		—		250,000
Total	$	3,671,521	$	3,255,634	$	—	$	—	$	415,887

The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) relating to the Company’s assets sold under agreements to repurchase and forward purchase agreements is summarized by counterparty below as of September 30, 2014:

Counterparty	Amount at risk
	(in thousands)
Citibank, N.A.	$	523,388
Credit Suisse First Boston Mortgage Capital LLC		200,035
The Royal Bank of Scotland Group		94,810
Bank of America, N.A.		47,116
Morgan Stanley Bank, N.A.		10,063
Daiwa Capital Markets America Inc.		7,048
	$	882,460

Management Agreement. We are externally managed and advised by our Manager pursuant to a management agreement, which was amended and restated effective February 1, 2013. Our management agreement requires our Manager to oversee our business affairs in conformity with the investment policies that are approved and monitored by our board of trustees. Our Manager is responsible for our day-to-day management and will perform such services and activities related to our assets and operations as may be appropriate.

Pursuant to our management agreement, our Manager collects a base management fee and may collect a performance incentive fee, both payable quarterly and in arrears. The term of our management agreement expires on February 1, 2017, subject to automatic renewal for additional 18-month periods, unless terminated earlier in accordance with the terms of the agreement.

The base management fee is calculated at a defined annualized percentage of “shareholders’ equity.” Our “shareholders’ equity” is defined as the sum of the net proceeds from any issuances of our equity securities since our inception (weighted for the time outstanding during the measurement period); plus our retained earnings at the end of the quarter; less any amount that we pay for repurchases of our common shares (weighted for the time held during the measurement period); and excluding one-time events pursuant to changes in GAAP and certain other non-cash charges after discussions between our Manager and our independent trustees and approval by a majority of our independent trustees.

Pursuant to our management agreement, the base management fee is equal to the sum of (i) 1.5% per annum of shareholders’ equity up to $2 billion, (ii) 1.375% per annum of shareholders’ equity in excess of $2 billion and up to $5 billion, and (iii) 1.25% per annum of shareholders’ equity in excess of $5 billion. The base management fee is paid in cash.

The performance incentive fee is calculated at a defined annualized percentage of the amount by which “net income,” on a rolling four-quarter basis and before deducting the incentive fee, exceeds certain levels of return on “equity.” For the purpose of determining the amount of the performance incentive fee, “net income” is defined as net income or loss computed in accordance with GAAP and certain other non-cash charges determined after discussions between our Manager and our independent trustees and approval by a majority of our independent trustees. For this purpose, “equity” is the weighted average of the issue price per common share of all of our public offerings, multiplied by the weighted average number of common shares outstanding (including restricted share units) in the four-quarter period.

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The performance incentive fee is calculated quarterly and escalates as net income (stated as a percentage of return on equity) increases over certain thresholds. On each calculation date, the threshold amounts represent a stated return on equity, plus or minus a “high watermark” adjustment. The performance fee payable for any quarter is equal to: (a) 10% of the amount by which net income for the quarter exceeds (i) an 8% return on equity plus the high watermark, up to (ii) a 12% return on equity; plus (b) 15% of the amount by which net income for the quarter exceeds (i) a 12% return on equity plus the high watermark, up to (ii) a 16% return on equity; plus (c) 20% of the amount by which net income for the quarter exceeds a 16% return on equity plus the high watermark.

The “high watermark” is the quarterly adjustment that reflects the amount by which the net income (stated as a percentage of return on equity) in that quarter exceeds or falls short of the lesser of 8% and the Fannie Mae MBS Yield (the target yield) for such quarter. The “high watermark” starts at zero and is adjusted quarterly. If the net income is lower than the target yield, the high watermark is increased by the difference. If the net income is higher than the target yield, the high watermark is reduced by the difference. Each time a performance incentive fee is earned, the high watermark returns to zero. As a result, the threshold amounts required for our Manager to earn a performance incentive fee are adjusted cumulatively based on the performance of our net income over (or under) the target yield, until the net income in excess of the target yield exceeds the then-current cumulative high watermark amount, and a performance incentive fee is earned. The performance incentive fee may be paid in cash or in our common shares (subject to a limit of no more than 50% paid in common shares), at our option.

Under our management agreement, our Manager is entitled to reimbursement of its organizational and operating expenses, including third-party expenses, incurred on our behalf. Our Manager may also be entitled to a termination fee under certain circumstances. Specifically, the termination fee is payable for (1) our termination of our management agreement without cause, (2) our Manager’s termination of our management agreement upon a default by us in the performance of any material term of the agreement that has continued uncured for a period of 30 days after receipt of written notice thereof or (3) our Manager’s termination of the agreement after the termination by us without cause (excluding a non-renewal) of our MBWS agreement, our MSR recapture agreement, or our servicing agreement (each as described and/or defined below). The termination fee is equal to three times the sum of (a) the average annual base management fee and (b) the average annual (or, if the period is less than 24 months, annualized) performance incentive fee, in each case earned by our Manager during the 24-month period before termination.

Our management agreement also provides that, prior to the undertaking by our Manager or its affiliates of any new investment opportunity or any other business opportunity requiring a source of capital with respect to which our Manager or its affiliates will earn a management, advisory, consulting or similar fee, our Manager shall present to us such new opportunity and the material terms on which our Manager proposes to provide services to us before pursuing such opportunity with third parties.

Servicing Agreement. We have entered into a servicing agreement with our Servicer pursuant to which our Servicer provides servicing for our portfolio of residential mortgage loans. The loan servicing provided by our Servicer includes collecting principal, interest and escrow account payments, if any, with respect to mortgage loans, as well as managing loss mitigation, which may include, among other things, collection activities, loan workouts, modifications, foreclosures and short sales. Our Servicer also engages in certain loan origination activities that include refinancing mortgage loans and financings that facilitate sales of real estate owned properties, or REOs. The term of our servicing agreement, as amended, expires on February 1, 2017, subject to automatic renewal for additional 18-month periods, unless terminated earlier in accordance with the terms of the agreement.

The base servicing fees for distressed whole loans are calculated based on a monthly per-loan dollar amount, with the actual dollar amount for each loan based on the delinquency, bankruptcy and/or foreclosure status of such loan or the related underlying real estate. Presently, the base servicing fees for distressed whole loans range from $30 per month for current loans up to $125 per month for loans that are severely delinquent and in foreclosure.

The base servicing fees for loans subserviced by our Servicer on our behalf are also calculated through a monthly per-loan dollar amount, with the actual dollar amount for each loan based on whether the mortgage loan is a fixed-rate or adjustable-rate loan. The base servicing fees for loans subserviced on our behalf are $7.50 per month for fixed-rate loans and $8.50 per month for adjustable-rate mortgage loans. To the extent that these loans become delinquent, our Servicer is entitled to an additional servicing fee per loan falling within a range of $10 to $75 per month and based on the delinquency, bankruptcy and foreclosure status of the loan or the related underlying real estate. Our Servicer is also entitled to customary ancillary income and certain market-based fees and charges, including boarding and deboarding fees, liquidation and disposition fees, and assumption, modification and origination fees.

Except as otherwise provided in our MSR recapture agreement, when our Servicer effects a refinancing of a loan on our behalf and not through a third-party lender and the resulting loan is readily saleable, or our Servicer originates a loan to facilitate the disposition of the real estate acquired by us in settlement of a loan, our Servicer is entitled to receive from us market-based fees and compensation consistent with pricing and terms our Servicer offers unaffiliated third parties on a retail basis.

To the extent that our Servicer participates in HAMP (or other similar mortgage loan modification programs), our Servicer is entitled to retain any incentive payments made to it and to which it is entitled under HAMP, provided that, with respect to

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any incentive payments paid to our Servicer in connection with a mortgage loan modification for which we previously paid our Servicer a modification fee, our Servicer is required to reimburse us an amount equal to the incentive payments.

In addition, because we do not have any employees or infrastructure, our Servicer is required to provide a range of services and activities significantly greater in scope than the services provided in connection with a customary servicing arrangement. For these services, our Servicer receives a supplemental servicing fee of $25 per month for each distressed whole loan and $3.25 per month for each other subserviced loan; provided, however, that from and after January 1, 2014, the aggregate supplemental servicing fees for all loans that are owned by a third party investor and with respect to which we have acquired the related servicing rights (and that are not distressed whole loans) shall not exceed $700,000 in any fiscal quarter. Our Servicer is entitled to reimbursement for all customary, bona fide reasonable and necessary out-of-pocket expenses incurred by our Servicer in connection with the performance of its servicing obligations.

Mortgage Banking and Warehouse Services Agreement. We have also entered into a mortgage banking and warehouse services agreement (the “MBWS agreement”), pursuant to which our Servicer provides us with certain mortgage banking services, including fulfillment and disposition-related services, with respect to loans acquired by us from correspondent lenders, and certain warehouse lending services, including fulfillment and administrative services, with respect to loans financed by us for our warehouse lending clients. The term of our MBWS agreement expires on February 1, 2017, subject to automatic renewal for additional 18-month periods, unless terminated earlier in accordance with the terms of the agreement.

Under our MBWS agreement, our Servicer has agreed to provide the mortgage banking services exclusively for our benefit, and our Servicer and its affiliates are prohibited from providing such services for any other third party. However, such exclusivity and prohibition shall not apply, and certain other duties instead will be imposed upon our Servicer, if we are unable to purchase or finance mortgage loans as contemplated under our MBWS agreement for any reason.

In consideration for the mortgage banking services provided by our Servicer with respect to our acquisition of mortgage loans, our Servicer is entitled to a fulfillment fee based on the type of mortgage loan that we acquire and equal to a percentage of the unpaid principal balance of such mortgage loan. Presently, the applicable percentages are (i) 0.50% for conventional mortgage loans, (ii) 0.88% for loans sold in accordance with the Ginnie Mae Mortgage-Backed Securities Guide, (iii) 0.80% for HARP mortgage loans with a loan-to-value ratio of 105% or less, (iv) 1.20% for HARP mortgage loans with a loan-to-value ratio of greater than 105%, and (v) 0.50% for all other mortgage loans not contemplated above; provided, however, that PLS may, in its sole discretion, reduce the amount of the applicable fulfillment fee and credit the amount of such reduction to the reimbursement otherwise due as described below. This reduction may only be credited to the reimbursement applicable to the month in which the related mortgage was funded.

At this time, we do not hold the Ginnie Mae approval required to issue Ginnie Mae MBS and act as a servicer. Accordingly, under our MBWS agreement, our Servicer currently purchases loans saleable in accordance with the Ginnie Mae Mortgage-Backed Securities Guide “as is” and without recourse of any kind from us at cost less an administrative fee paid by the correspondent lender to us plus accrued interest and a sourcing fee of three basis points.

In the event that we purchase mortgage loans with an aggregate unpaid principal balance in any month greater than $2.5 billion, our Servicer has agreed to discount the amount of such fulfillment fees by reimbursing us an amount equal to the product of (i) 0.025%, and (ii) the amount of unpaid principal balance in excess of $2.5 billion and less than or equal to $5.0 billion, plus (b) the product of (i) 0.05%, and (ii) the amount of unpaid principal balance in excess of $5 billion.

In consideration for the mortgage banking services provided by our Servicer with respect to our acquisition of mortgage loans under our Servicer’s early purchase program, our Servicer is entitled to fees accruing (i) at a rate equal to $25,000 per annum, and (ii) in the amount of $50 for each mortgage loan that we acquire. In consideration for the warehouse services provided by our Servicer with respect to mortgage loans that we finance for our warehouse lending clients, with respect to each facility, our Servicer is entitled to fees accruing (i) at a rate equal to $25,000 per annum, and (ii) in the amount of $50 for each mortgage loan that we finance thereunder. Where we have entered into both an early purchase agreement and a warehouse lending agreement with the same client, our Servicer shall only be entitled to one $25,000 per annum fee and, with respect to any mortgage loan that becomes subject to both such agreements, only one $50 per loan fee.

Notwithstanding any provision of our MBWS agreement to the contrary, if it becomes reasonably necessary or advisable for our Servicer to engage in additional services in connection with post-breach or post-default resolution activities for the purposes of a correspondent production agreement, a warehouse agreement or a re-warehouse agreement, then we have generally agreed with our Servicer to negotiate in good faith for additional compensation and reimbursement of expenses to be paid to our Servicer for the performance of such additional services.

MSR Recapture Agreement. Effective February 1, 2013, we entered into an MSR recapture agreement with our Servicer. Pursuant to the terms of our MSR recapture agreement, if our Servicer refinances via its retail lending business loans for

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which we previously held the MSRs, our Servicer is generally required to transfer and convey to us, without cost to us, the MSRs with respect to new mortgage loans originated in those refinancings (or, under certain circumstances, other mortgage loans) that have an aggregate unpaid principal balance that is not less than 30% of the aggregate unpaid principal balance of all the loans so originated. Where the fair market value of the aggregate MSRs to be transferred for the applicable month is less than $200,000, our Servicer may, at its option, wire cash to us in an amount equal to such fair market value in lieu of transferring such MSRs. The initial term of our MSR recapture agreement expires, unless terminated earlier in accordance with the terms of the agreement, on February 1, 2017, subject to automatic renewal for additional 18-month periods, unless terminated in accordance with the terms of the agreement.

Spread Acquisition and MSR Servicing Agreements. Effective February 1, 2013, we entered into a master spread acquisition and MSR servicing agreement (the “2/1/13 Spread Acquisition Agreement”), pursuant to which we may acquire from our Servicer the rights to receive certain ESS arising from MSRs acquired by our Servicer from banks and other third party financial institutions. Our Servicer is generally required to service or subservice the related mortgage loans for the applicable agency or investor. The terms of each transaction under the 2/1/13 Spread Acquisition Agreement are subject to the terms thereof, as modified and supplemented by the terms of a confirmation executed in connection with such transaction.

To the extent our Servicer refinances any of the mortgage loans relating to the ESS we have acquired, the 2/1/13 Spread Acquisition Agreement contains recapture provisions requiring that our Servicer transfer to us, at no cost, the ESS relating to a certain percentage of the unpaid principal balance of the newly originated mortgage loans. To the extent the fair market value of the aggregate ESS to be transferred for the applicable month is less than $200,000, our Servicer may, at its option, wire cash to us in an amount equal to such fair market value in lieu of transferring such ESS.

On December 30, 2013, we entered into a second master spread acquisition and MSR servicing agreement with our Servicer (the “12/30/13 Spread Acquisition Agreement”). The terms of the 12/30/13 Spread Acquisition Agreement are substantially similar to the terms of the 2/1/13 Spread Acquisition Agreement, except that we only intend to purchase ESS relating to Ginnie Mae MSRs under the 12/30/13 Spread Acquisition Agreement.

To the extent our Servicer refinances any of the mortgage loans relating to the ESS we have acquired, the 12/30/13 Spread Acquisition Agreement also contains recapture provisions requiring that our Servicer transfer to us, at no cost, the ESS relating to a certain percentage of the unpaid principal balance of the newly originated mortgage loans. However, under the 12/30/13 Spread Acquisition Agreement, in any month where the transferred ESS relating to newly originated Ginnie Mae mortgage loans is not equivalent to at least 90% of the product of the excess servicing fee rate and the unpaid principal balance of the refinanced mortgage loans, our Servicer is also required to transfer additional ESS or cash in the amount of such shortfall. Similarly, in any month where the transferred ESS relating to modified Ginnie Mae mortgage loans is not equivalent to at least 90% of the product of the excess servicing fee rate and the unpaid principal balance of the modified mortgage loans, the 12/30/13 Spread Acquisition Agreement contains provisions that require our Servicer to transfer additional ESS or cash in the amount of such shortfall. To the extent the fair market value of the aggregate ESS to be transferred for the applicable month is less than $200,000, our Servicer may, at its option, wire cash to us in an amount equal to such fair market value in lieu of transferring such ESS.

In connection with our entry into the 12/30/13 Spread Acquisition Agreement, we were also required to enter into a Security and Subordination Agreement (the “Security Agreement”) with Credit Suisse First Boston Mortgage Capital LLC (“CSFB”). Under the terms of the Security Agreement, we pledged to CSFB our rights under the 12/30/13 Spread Acquisition Agreement and our interest in any ESS purchased thereunder. The Security Agreement was required as a result of a separate loan and security agreement between our Servicer and CSFB (the “LSA”), pursuant to which our Servicer pledged to CSFB all of its rights and interests in the Ginnie Mae MSRs it owns or acquires, and a separate acknowledgement agreement with respect thereto, by and among Ginnie Mae, CSFB and our Servicer. As a condition to permitting our Servicer to transfer to us the ESS relating to a portion of those pledged Ginnie Mae MSRs, CSFB required such transfer to be subject to CSFB’s continuing lien on the ESS, the pledge and acknowledgement of which were effected pursuant to the Security Agreement. CSFB’s lien on the ESS remains subordinate to the rights and interests of Ginnie Mae pursuant to the provisions of the 12/30/13 Spread Acquisition Agreement and the terms of the acknowledgement agreement.

The Security Agreement contains representations, warranties and covenants by us that are substantially similar to those contained in our other financing arrangements with CSFB. The Security Agreement also permits CSFB to liquidate our ESS along with the related MSRs to the extent there exists an event of default under the LSA, and it contains certain trigger events, including breaches of representations, warranties or covenants and defaults under other of our credit facilities, that would require our Servicer to either (i) repay in full the outstanding loan amount under the LSA or (ii) repurchase the ESS from us at fair market value. To the extent our Servicer is unable to repay the loan under the LSA or repurchase our ESS, an event of default would exist under the LSA, thereby entitling CSFB to liquidate the ESS and the related MSRs. In the event our ESS is liquidated as a result of certain actions or inactions of our Servicer, we generally would be entitled to seek indemnity under the 12/30/13 Spread Acquisition Agreement.

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Reimbursement Agreement. In connection with the initial public offering of our common shares (“IPO”), on August 4, 2009, we entered into an agreement with our Manager pursuant to which we agreed to reimburse our Manager for the $2.9 million payment that it made to the underwriters for the IPO (the “Conditional Reimbursement”) if we satisfied certain performance measures over a specified period of time. Effective February 1, 2013, we amended the terms of the reimbursement agreement to provide for the reimbursement of our Manager of the Conditional Reimbursement if we are required to pay our Manager performance incentive fees under our management agreement at a rate of $10 in reimbursement for every $100 of performance incentive fees earned. The reimbursement of the Conditional Reimbursement is subject to a maximum reimbursement in any particular 12-month period of $1.0 million and the maximum amount that may be reimbursed under the agreement is $2.9 million. We also agreed to pay the IPO underwriters an amount to which we agreed at the time of the IPO if we satisfied certain performance measures over a specified period of time. As our Manager earns performance incentive fees under our management agreement, the IPO underwriters will be paid at a rate of $20 of payments for every $100 of performance incentive fees earned by our Manager. The payment to the underwriters is subject to a maximum reimbursement in any particular 12-month period of $2.0 million and the maximum amount that may be paid under the agreement is $5.9 million.

In the event the termination fee is payable to our Manager under our management agreement and our Manager and the underwriters have not received the full amount of the reimbursements and payments under the reimbursement agreement, such amount will be paid in full. The term of the reimbursement agreement expires on February 1, 2019.

Quantitative and Qualitative Disclosures About Market Risk

Market risk is the exposure to loss resulting from changes in interest rates, foreign currency exchange rates, commodity prices, equity prices, real estate values and other market-based risks. The primary market risks that we are exposed to are real estate risk, credit risk, interest rate risk, prepayment risk, inflation risk and market value risk. A substantial portion of our investments are comprised of nonperforming loans. We believe that such assets’ fair values respond primarily to changes in the fair value of the real estate securing such loans.

The following table summarizes the estimated change in fair value of our portfolio of our portfolio of distressed mortgage loans (comprised of mortgage loans at fair value, excluding mortgage loans at fair value held by VIE) as of September 30, 2014, given several hypothetical (instantaneous) changes in home values from those used in estimating fair value:

Property value shift in %	-15%			-10%			-5%			+5%			+10%			+15%
	(dollars in thousands)
Fair value	$	1,832,817		$	1,904,450		$	1,970,563		$	2,086,121		$	2,135,705		$	2,180,078
Change in fair value:
$	$	(198,286	)	$	(126,653	)	$	(60,539	)	$	55,019		$	104,603		$	148,975
%		(9.76	)%		(6.24	)%		(2.98	)%		2.71	%		5.15	%		7.33	%

The following table summarizes the estimated change in fair value of our mortgage loans at fair value held by VIE as of September 30, 2014, net of the effect of changes in fair value of the related asset-backed secured financing of the VIE at fair value, given several hypothetical (instantaneous) changes in interest rates and parallel shifts in the yield curve:

Interest rate shift in basis points	-200			-100			-50			50			100			200
	(dollars in thousands)
Fair value	$	397,555		$	384,529		$	375,191		$	350,862		$	335,871		$	300,239
Change in fair value:
$	$	33,587		$	20,561		$	11,223		$	(13,106	)	$	(28,097	)	$	(63,729	)
%		9.23	%		5.65	%		3.08	%		(3.60	)%		(7.72	)%		(17.51	)%

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Mortgage Servicing Rights

The following tables summarize the estimated change in fair value of MSRs accounted for using the amortization method as of September 30, 2014, given several shifts in pricing spreads, prepayment speed and annual per-loan cost of servicing:

Pricing spread shift in %	-20%			-10%			-5%			+5%			+10%			+20%
	(dollars in thousands)
Fair value	$	337,179		$	324,245		$	318,115		$	306,478		$	300,951		$	290,437
Change in fair value:
$	$	24,983		$	12,049		$	5,919		$	(5,718	)	$	(11,245	)	$	(21,759	)
%		8.00	%		3.86	%		1.90	%		(1.83	)%		(3.60	)%		(6.97	)%
Prepayment speed shift in %	-20%			-10%			-5%			+5%			+10%			+20%
	(dollars in thousands)
Fair value	$	337,733		$	324,547		$	318,272		$	306,310		$	300,607		$	289,716
Change in fair value:
$	$	25,537		$	12,351		$	6,076		$	(5,886	)	$	(11,589	)	$	(22,480	)
%		8.18	%		3.96	%		1.95	%		(1.89	)%		(3.71	)%		(7.20	)%
Per-loan servicing cost shift in %	-20%			-10%			-5%			+5%			+10%			+20%
	(dollars in thousands)
Fair value	$	319,815		$	316,005		$	314,101		$	310,291		$	308,387		$	304,577
Change in fair value:
$	$	7,619		$	3,809		$	1,905		$	(1,905	)	$	(3,809	)	$	(7,619	)
%		2.44	%		1.22	%		0.61	%		(0.61	)%		(1.22	)%		(2.44	)%

The following tables summarize the estimated change in fair value of MSRs accounted for using the fair value option method as of September 30, 2014, given several shifts in pricing spreads, prepayment speed and annual per-loan cost of servicing:

Pricing spread shift in %	-20%			-10%			-5%			+5%			+10%			+20%
	(dollars in thousands)
Fair value	$	62,476		$	60,163		$	59,067		$	56,984		$	55,995		$	54,111
Change in fair value:
$	$	4,468		$	2,155		$	1,059		$	(1,024	)	$	(2,013	)	$	(3,897	)
%		7.70	%		3.72	%		1.83	%		(1.76	)%		(3.47	)%		(6.72	)%
Prepayment speed shift in %	-20%			-10%			-5%			+5%			+10%			+20%
	(dollars in thousands)
Fair value	$	64,161		$	60,965		$	59,458		$	56,611		$	55,266		$	52,720
Change in fair value:
$	$	6,153		$	2,957		$	1,450		$	(1,396	)	$	(2,742	)	$	(5,288	)
%		10.61	%		5.10	%		2.50	%		(2.41	)%		(4.73	)%		(9.12	)%
Per-loan servicing cost shift in %	-20%			-10%			-5%			+5%			+10%			+20%
	(dollars in thousands)
Fair value	$	59,465		$	58,736		$	58,372		$	57,643		$	57,279		$	56,550
Change in fair value:
$	$	1,457		$	729		$	364		$	(364	)	$	(729	)	$	(1,457	)
%		2.51	%		1.26	%		0.63	%		(0.63	)%		(1.26	)%		(2.51	)%

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Excess servicing spread

The following tables summarize the estimated change in fair value of our ESS as of September 30, 2014, given several shifts in pricing spreads and prepayment speed:

Pricing spread shift in %	-20%			-10%			-5%			+5%			+10%			+20%
	(dollars in thousands)
Fair value	$	196,448		$	191,801		$	189,558		$	185,228		$	183,136		$	179,092
Change in fair value:
$	$	9,080		$	4,433		$	2,190		$	(2,140	)	$	(4,232	)	$	(8,276	)
%		4.85	%		2.37	%		1.17	%		(1.14	)%		(2.26	)%		(4.42	)%
Prepayment speed shift in %	-20%			-10%			-5%			+5%			+10%			+20%
	(dollars in thousands)
Fair value	$	206,044		$	196,320		$	191,753		$	183,155		$	179,104		$	171,456
Change in fair value:
$	$	18,676		$	8,952		$	4,385		$	(4,213	)	$	(8,264	)	$	(15,912	)
%		9.97	%		4.78	%		2.34	%		(2.25	)%		(4.41	)%		(8.49	)%

Factors That May Affect Our Future Results

This Report contains certain forward-looking statements that are subject to various risks and uncertainties. Forward-looking statements are generally identifiable by use of forward-looking terminology such as “may,” “will,” “should,” “potential,” “intend,” “expect,” “seek,” “anticipate,” “estimate,” “approximately,” “believe,” “could,” “project,” “predict,” “continue,” “plan” or other similar words or expressions.

Forward-looking statements are based on certain assumptions, discuss future expectations, describe future plans and strategies, contain financial and operating projections or state other forward-looking information. Examples of forward-looking statements include the following:

• projections of our revenues, income, earnings per share, capital structure or other financial items;

• descriptions of our plans or objectives for future operations, products or services;

• forecasts of our future economic performance, interest rates, profit margins and our share of future markets; and

• descriptions of assumptions underlying or relating to any of the foregoing expectations regarding the timing of generating any revenues.

Our ability to predict results or the actual effect of future events, actions, plans or strategies is inherently uncertain. Although we believe that the expectations reflected in such forward-looking statements are based on reasonable assumptions, our actual results and performance could differ materially from those set forth in the forward-looking statements. There are a number of factors, many of which are beyond our control that could cause actual results to differ significantly from management’s expectations. Some of these factors are discussed below.

You should not place undue reliance on any forward-looking statement and should consider the following uncertainties and risks, as well as the risks and uncertainties discussed elsewhere in this Report and as set forth in Item 1A. “Risk Factors” in our Annual Report on Form 10-K for the year ended December 31, 2013.

Factors that could cause actual results to differ materially from historical results or those anticipated include, but are not limited to:

• changes in our investment objectives or investment or operational strategies, including any new lines of business or new products and services that may subject us to additional risks;

• volatility in our industry, the debt or equity markets, the general economy or the residential finance and real estate markets specifically, whether the result of market events or otherwise;

99

• events or circumstances which undermine confidence in the financial markets or otherwise have a broad impact on financial markets, such as the sudden instability or collapse of large depository institutions or other significant corporations, terrorist attacks, natural or man-made disasters, or threatened or actual armed conflicts;

• changes in general business, economic, market, employment and political conditions, or in consumer confidence and spending habits from those expected;

• continued declines in residential real estate or significant changes in U.S. housing prices or activity in the U.S. housing market;

• the availability of, and level of competition for, attractive risk-adjusted investment opportunities in residential mortgage loans and mortgage-related assets that satisfy our investment objectives;

• the inherent difficulty in winning bids to acquire distressed loans or correspondent loans, and our success in doing so;

• the concentration of credit risks to which we are exposed;

• the degree and nature of our competition;

• our dependence on our Manager and Servicer, potential conflicts of interest with such entities and their affiliates, and the performance of such entities;

• changes in personnel and lack of availability of qualified personnel at our Manager, Servicer or their affiliates;

• the availability, terms and deployment of short-term and long-term capital;

• the adequacy of our cash reserves and working capital;

• our ability to maintain the desired relationship between our financing and the interest rates and maturities of our assets;

• the timing and amount of cash flows, if any, from our investments;

• unanticipated increases or volatility in financing and other costs, including a rise in interest rates;

• the performance, financial condition and liquidity of borrowers;

• the ability of our servicer, which also provides us with fulfillment services, to approve and monitor correspondent sellers and underwrite loans to investor standards;

• incomplete or inaccurate information or documentation provided by customers or counterparties, or adverse changes in the financial condition of our customers and counterparties;

• the quality and enforceability of the collateral documentation evidencing our ownership and rights in the assets in which we invest;

• increased rates of delinquency, default and/or decreased recovery rates on our investments;

• increased prepayments of the mortgages and other loans underlying our MBS or relating to our MSRs, ESS and other investments;

• our ability to foreclose on our investments in a timely manner or at all;

• the degree to which our hedging strategies may or may not protect us from interest rate volatility;

100

• the effect of the accuracy of or changes in the estimates we make about uncertainties, contingencies and asset and liability valuations when measuring and reporting upon our financial condition and results of operations;

• our failure to maintain appropriate internal controls over financial reporting;

• our ability to obtain and/or maintain licenses and other approvals in those jurisdictions where required to conduct our business;

• our ability to comply with various federal, state and local laws and regulations that govern our business;

• developments in the secondary markets for our mortgage loan products;

• legislative and regulatory changes that impact the mortgage loan industry or housing market;

• changes in regulations or the occurrence of other events that impact the business, operations or prospects of government agencies such as the Ginnie Mae, FHA or the VA, or government-sponsored entities such as Fannie Mae or the Freddie Mac, or such changes that increase the cost of doing business with such entities;

• the Dodd-Frank Wall Street Reform and Consumer Protection Act and its implementing regulations and regulatory agencies, and any other legislative and regulatory changes that impact the business, operations or governance of mortgage lenders and/or publicly-traded companies;

• the Consumer Financial Protection Bureau and its recently issued and future rules and the enforcement thereof;

• changes in government support of homeownership;

• changes in government or government-sponsored home affordability programs;

• limitations imposed on our business and our ability to satisfy complex rules for us to qualify as a REIT for U.S. federal income tax purposes and qualify for an exclusion from the Investment Company Act of 1940 and the ability of certain of our subsidiaries to qualify as REITs or as a TRS for U.S. federal income tax purposes, as applicable, and our ability and the ability of our subsidiaries to operate effectively within the limitations imposed by these rules;

• changes in governmental regulations, accounting treatment, tax rates and similar matters (including changes to laws governing the taxation of REITs, or the exclusions from registration as an investment company);

• our ability to make distributions to our shareholders in the future;

• the effect of public opinion on our reputation; and

• the occurrence of natural disasters or other events or circumstances that could impact our operations.

Other factors that could also cause results to differ from our expectations may not be described in this Report or any other document. Each of these factors could by itself, or together with one or more other factors, adversely affect our business, income and/or financial condition.

Forward-looking statements speak only as of the date they are made, and we undertake no obligation to update any forward-looking statement to reflect the impact of circumstances or events that arise after the date the forward-looking statement was made.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

In response to this Item 3, the information set forth on pages 97 through 99 is incorporated herein by reference.

101

Item 4. Controls and Procedures

Disclosure Controls and Procedures

We maintain disclosure controls and procedures that are designed to ensure that information required to be disclosed in our reports filed under the Securities Exchange Act of 1934 (the “Exchange Act”) is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, and that such information is accumulated and communicated to our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate, to allow timely decisions regarding required disclosures. However, no matter how well a control system is designed and operated, it can provide only reasonable, not absolute, assurance that it will detect or uncover failures within the Company to disclose material information otherwise required to be set forth in our periodic reports.

Our management has conducted an evaluation, with the participation of our Chief Executive Officer and Chief Financial Officer, of the effectiveness of our disclosure controls and procedures as of the end of the period covered by this Report as required by paragraph (b) of Rules 13a-15 and 15d-15 under the Exchange Act. Based on our evaluation, our Chief Executive Officer and Chief Financial Officer have concluded that our disclosure controls and procedures were effective, as of the end of the period covered by this Report, to provide reasonable assurance that information required to be disclosed by us in the reports that we file or submit under the Exchange Act is recorded, processed, summarized and reported within the time periods specified in the applicable rules and forms, and that it is accumulated and communicated to our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate, to allow timely decisions regarding required disclosure.

Internal Control over Financial Reporting

There has been no change in our internal control over financial reporting during the quarter ended September 30, 2014 that has materially affected, or is reasonably likely to materially affect, our internal control over financial reporting.

PART II. OTHER INFORMATION

Item 1. Legal Proceedings

From time to time, we may be involved in various legal proceedings, claims and actions arising in the ordinary course of business. As of September 30, 2014, we were not involved in any such legal proceedings, claims or actions that management believes would be reasonably likely to have a material adverse effect on us.

102

Item 1A. Risk Factors

There are no material changes from the risk factors set forth under Item 1A. “Risk Factors” in our Annual Report on Form 10-K for the year ended December 31, 2013, filed with the SEC on February 28, 2014.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

None

Item 3. Defaults Upon Senior Securities

None

Item 4. Mine Safety Disclosures

Not applicable

Item 5. Other Information

None

103

Item 6. Exhibits

Exhibit Number	Exhibit Description
3.1	Declaration of Trust of PennyMac Mortgage Investment Trust, as amended and restated (incorporated by reference to Exhibit 3.1 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2009).
3.2	Amended and Restated Bylaws of PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 3.1 of the Company’s Current Report on Form 8-K filed on August 13, 2013).
4.1	Specimen Common Share Certificate of PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 4.1 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2009).
4.2	Indenture for Senior Debt Securities, dated as of April 30, 2013, among PennyMac Corp., PennyMac Mortgage Investment Trust and The Bank of New York Mellon Trust Company, N.A. (incorporated by reference to Exhibit 4.1 of the Company’s Current Report on Form 8-K filed on April 30, 2013).
4.3	First Supplemental Indenture, dated as of April 30, 2013, among PennyMac Corp., PennyMac Mortgage Investment Trust and The Bank of New York Mellon Trust Company, N.A. (incorporated by reference to Exhibit 4.2 of the Company’s Current Report on Form 8-K filed on April 30, 2013).
4.4	Form of 5.375% Exchangeable Senior Notes due 2020 (included in Exhibit 4.3).
10.1	Amended and Restated Limited Partnership Agreement of PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.2 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2009).
10.2	Registration Rights Agreement, dated as of August 4, 2009, among PennyMac Mortgage Investment Trust, Stanford L. Kurland, David A. Spector, BlackRock Holdco II, Inc., Highfields Capital Investments LLC and Private National Mortgage Acceptance Company, LLC (incorporated by reference to Exhibit 10.1 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2009).
10.3	Amended and Restated Underwriting Fee Reimbursement Agreement, dated as of February 1, 2013, by and among PennyMac Mortgage Investment Trust, PennyMac Operating Partnership, L.P. and PNMAC Capital Management, LLC (incorporated by reference to Exhibit 1.6 of the Company’s Current Report on Form 8-K filed on February 7, 2013).
10.4	Amended and Restated Management Agreement, dated as of February 1, 2013, among PennyMac Mortgage Investment Trust, PennyMac Operating Partnership, L.P. and PNMAC Capital Management, LLC (incorporated by reference to Exhibit 1.1 of the Company’s Current Report on Form 8-K filed on February 7, 2013).
10.5	Amended and Restated Flow Servicing Agreement, dated as of February 1, 2013, between PennyMac Operating Partnership, L.P. and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 1.2 of the Company’s Current Report on Form 8-K filed on February 7, 2013).
10.6	Second Amended and Restated Flow Servicing Agreement, dated as of March 1, 2013, between PennyMac Operating Partnership, L.P. and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.14 of the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2013).
10.7	Amendment No. 1 to Second Amended and Restated Flow Servicing Agreement, dated as of November 14, 2013, between PennyMac Operating Partnership, L.P. and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.1 of the Company’s Current Report on Form 8-K filed on November 20, 2013).
10.8	Amendment No. 2 to Second Amended and Restated Flow Servicing Agreement, dated as of June 1, 2014, between PennyMac Operating Partnership, L.P. and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.8 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2014).
10.9†	PennyMac Mortgage Investment Trust 2009 Equity Incentive Plan (incorporated by reference to Exhibit 10.5 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2009).
10.10†	Form of Restricted Share Unit Award Agreement under the PennyMac Mortgage Investment Trust 2009 Equity Incentive Plan (incorporated by reference to Exhibit 10.8 to Amendment No. 3 to the Company’s Registration Statement on Form S-11, filed with the SEC on July 24, 2009).
10.11	Master Repurchase Agreement, dated as of November 2, 2010, among PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC, and Wells Fargo Bank, National Association (incorporated by reference to Exhibit 10.11 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2010).

104

Exhibit Number	Exhibit Description
10.12	Amendment Number One to Master Repurchase Agreement, dated as of August 18, 2011, among PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC, and Wells Fargo Bank, National Association (incorporated by reference to Exhibit 10.13 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2011).
10.13	Amendment Number Two to Master Repurchase Agreement, dated as of September 28, 2011, among PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC, and Wells Fargo Bank, National Association (incorporated by reference to Exhibit 10.14 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2011).
10.14	Amendment Number Three to Master Repurchase Agreement, dated as of December 30, 2011, among PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC, and Wells Fargo Bank, National Association (incorporated by reference to Exhibit 10.15 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2011).
10.15	Amendment Number Fthe Company’s to Master Repurchase Agreement, dated as of December 28, 2012, among PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC, and Wells Fargo Bank, National Association (incorporated by reference to Exhibit 10.17 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2012).
10.16	Amended and Restated Master Repurchase Agreement, dated as of June 1, 2013, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.1 of the Company’s Current Report on Form 8-K filed June 5, 2013).
10.17	Amendment No. 1 to Amended and Restated Master Repurchase Agreement, dated as of August 29, 2013, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.1 of the Company’s Current Report on Form 8-K filed September 5, 2013).
10.18	Amendment No. 2 to Amended and Restated Master Repurchase Agreement, dated as of October 1, 2013, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.31 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2013).
10.19	Amendment No. 3 to Amended and Restated Master Repurchase Agreement, dated as of December 27, 2013, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.1 of the Company’s Current Report on Form 8-K filed January 3, 2014).
10.20	Amendment No. 4 to Amended and Restated Master Repurchase Agreement, dated as of December 31, 2013, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.33 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2013).
10.21	Amendment No. 5 to Amended and Restated Master Repurchase Agreement, dated as of January 10, 2014, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.33 of the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2014).
10.22	Amendment No. 6 to Amended and Restated Master Repurchase Agreement, dated as of February 21, 2014, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.3 of the Company’s Current Report on Form 8-K filed on February 24, 2014).
10.23	Amendment No. 7 to Amended and Restated Master Repurchase Agreement, dated as of May 22, 2014, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.33 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2014).
10.24	Amendment No. 8 to Amended and Restated Master Repurchase Agreement, dated as of October 31, 2014, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P.
10.25	Guaranty, dated as of November 2, 2010, by PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. and Credit Suisse First Boston Mortgage Capital LLC (incorporated by reference to Exhibit 10.14 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2010).

105

Exhibit Number	Exhibit Description
10.26	Master Repurchase Agreement, dated as of December 9, 2010, among PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC, and PennyMac Loan Services, LLC, and Citibank, N.A. (incorporated by reference to Exhibit 1.1 of the Company’s Current Report on Form 8-K filed on December 15, 2010).
10.27	Amendment Number One to the Master Repurchase Agreement, dated as of February 25, 2011, by and among Citibank, N.A. and PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 1.1 of the Company’s Current Report on Form 8-K filed on March 3, 2011).
10.28	Amendment Number Two to the Master Repurchase Agreement, dated as of December 8, 2011, by and among Citibank, N.A. and PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.28 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2011).
10.29	Amendment Number Three to the Master Repurchase Agreement, dated as of February 24, 2012, by and among Citibank, N.A. and PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.30 of the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2012).
10.30	Amendment Number Fthe Company’s to the Master Repurchase Agreement, dated as of April 13, 2012, by and among Citibank, N.A. and PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.32 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2012).
10.31	Amendment Number Five to the Master Repurchase Agreement, dated as of April 20, 2012, by and among Citibank, N.A. and PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.33 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2012).
10.32	Amendment Number Six to the Master Repurchase Agreement, dated as of May 31, 2012, by and among Citibank, N.A. and PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 1.1 of the Company’s Current Report on Form 8-K filed on June 5, 2012).
10.33	Amendment Number Seven to the Master Repurchase Agreement, dated as of November 13, 2012, by and among Citibank, N.A. and PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.39 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2012).
10.34	Amendment Number Eight to the Master Repurchase Agreement, dated as of December 31, 2012, by and among Citibank, N.A. and PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.40 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2012).
10.35	Amendment Number Nine to the Master Repurchase Agreement, dated as of March 12, 2013, by and among Citibank, N.A. and PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 1.1 of the Company’s Current Report on Form 8-K filed on March 13, 2013).
10.36	Amendment Number Ten to the Master Repurchase Agreement, dated as of April 19, 2013, by and among Citibank, N.A. and PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.47 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2013).
10.37	Amendment Number Eleven to the Master Repurchase Agreement, dated as of June 25, 2013, by and among Citibank, N.A. and PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.48 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2013).
10.38	Amendment Number Twelve to the Master Repurchase Agreement, dated as of July 25, 2013, by and among Citibank, N.A. and PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 1.1 of the Company’s Current Report on Form 8-K filed on July 31, 2013).

106

Exhibit Number	Exhibit Description
10.39	Amendment Number Thirteen to the Master Repurchase Agreement, dated as of September 26, 2013, by and among Citibank, N.A. and PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.48 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2013).
10.40	Amendment Number Fthe Company’steen to the Master Repurchase Agreement, dated as of February 5, 2014, by and among Citibank, N.A. and PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.11 of the Company’s Current Report on Form 8-K filed on February 6, 2014).
10.41	Amendment Number Fifteen to the Master Repurchase Agreement, dated as of May 13, 2014, by and among Citibank, N.A. and PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.50 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2014).
10.42	Amendment Number Sixteen to the Master Repurchase Agreement, dated as of July 24, 2014, by and among Citibank, N.A. and PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Loan Services, LLC.
10.43	Amendment Number Seventeen to the Master Repurchase Agreement, dated as of August 7, 2014, by and among Citibank, N.A. and PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Loan Services, LLC.
10.44	Amendment Number Eighteen to the Master Repurchase Agreement, dated as of September 8, 2014, by and among Citibank, N.A. and PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Loan Services, LLC.
10.45	Guaranty Agreement, dated as of December 9, 2010, by PennyMac Mortgage Investment Trust in favor of Citibank, N.A. (incorporated by reference to Exhibit 1.2 of the Company’s Current Report on Form 8-K filed on December 15, 2010).
10.46	Amended and Restated Master Repurchase Agreement, dated as of August 25, 2011, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.28 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2011).
10.47	Amendment No. 1 to Amended and Restated Master Repurchase Agreement, dated as of June 6, 2012, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.38 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2012).
10.48	Amendment No. 2 to Amended and Restated Master Repurchase Agreement, dated as of March 28, 2013, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.50 of the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2013).
10.49	Amendment No. 3 to Amended and Restated Master Repurchase Agreement, dated as of May 8, 2013, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.51 of the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2013).
10.50	Amendment No. 4 to Amended and Restated Master Repurchase Agreement, dated as of October 1, 2013, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Corp., PennyMac Mortgage Investment Trust Holdings I, LLC and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.54 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2013).
10.51	Amendment No. 5 to Amended and Restated Master Repurchase Agreement, dated as of December 27, 2013, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Corp., PennyMac Holdings, LLC and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.3 of the Company’s Current Report on Form 8-K filed on January 3, 2014).
10.52	Amendment No. 6 to Amended and Restated Master Repurchase Agreement, dated as of December 31, 2013, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Corp., PennyMac Holdings, LLC and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.56 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2013).

107

Exhibit Number	Exhibit Description
10.53	Amendment No. 7 to Amended and Restated Master Repurchase Agreement, dated as of February 21, 2014, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Corp., PennyMac Holdings, LLC and PennyMac Mortgage Investment Trust.
10.54	Amendment No. 8 to Amended and Restated Master Repurchase Agreement, dated as of October 31, 2014, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Corp., PennyMac Holdings, LLC and PennyMac Mortgage Investment Trust.
10.55	Master Repurchase Agreement, dated as of November 7, 2011, among Bank of America, N.A., PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 1.1 of the Company’s Current Report on Form 8-K filed on November 14, 2011).
10.56	Amendment No. 1 to Master Repurchase Agreement, dated as of August 17, 2012, among Bank of America, N.A., PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.45 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2012).
10.57	Amendment No. 2 to Master Repurchase Agreement, dated as of January 3, 2013, among Bank of America, N.A., PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 1.1 of the Company’s Current Report on Form 8-K filed on January 7, 2013).
10.58	Amendment No. 3 to Master Repurchase Agreement, dated as of March 28, 2013, among Bank of America, N.A., PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 1.1 of the Company’s Current Report on Form 8-K filed on April 3, 2013).
10.59	Amendment No. 4 to Master Repurchase Agreement, dated as of January 31, 2014, among Bank of America, N.A., PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.1 of the Company’s Current Report on Form 8-K filed on February 6, 2014).
10.60	Amendment No. 5 to Master Repurchase Agreement, dated as of March 27, 2014, among Bank of America, N.A., PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.64 of the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2014).
10.61	Amendment No. 6 to Master Repurchase Agreement, dated as of July 9, 2014, among Bank of America, N.A., PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.3 of the Company’s Current Report on Form 8-K filed on July 14, 2014).
10.62	Guaranty, dated as of November 7, 2011, by PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P., in favor of Bank of America, N.A. (incorporated by reference to Exhibit 1.1 of the Company’s Current Report on Form 8-K filed on November 14, 2011).
10.63	Master Repurchase Agreement, dated as of March 29, 2012, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Mortgage Investment Trust Holdings I, LLC, PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 1.1 of the Company’s Current Report on Form 8-K filed on April 4, 2012).
10.64	Amendment No. 1 to Master Repurchase Agreement, dated as of July 25, 2012, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Mortgage Investment Trust Holdings I, LLC, PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 1.2 of the Company’s Current Report on Form 8-K filed on July 31, 2012).
10.65	Amendment No. 2 to Master Repurchase Agreement, dated as of September 26, 2012, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Mortgage Investment Trust Holdings I, LLC, PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 1.2 of the Company’s Current Report on Form 8-K filed on October 1, 2012).
10.66	Amendment No. 3 to Master Repurchase Agreement, dated as of October 29, 2012, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Mortgage Investment Trust Holdings I, LLC, PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 1.2 of the Company’s Current Report on Form 8-K filed on October 31, 2012).

108

Exhibit Number	Exhibit Description
10.67	Amendment No. 4 to Master Repurchase Agreement, dated as of June 1, 2013, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Mortgage Investment Trust Holdings I, LLC, PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.2 of the Company’s Current Report on Form 8-K filed on June 5, 2013).
10.68	Amendment No. 5 to Master Repurchase Agreement, dated as of August 29, 2013, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Mortgage Investment Trust Holdings I, LLC, PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.2 of the Company’s Current Report on Form 8-K filed on September 5, 2013).
10.69	Amendment No. 6 to Master Repurchase Agreement, dated as of September 27, 2013, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Mortgage Investment Trust Holdings I, LLC, PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.75 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2013).
10.70	Amendment No. 7 to Master Repurchase Agreement, dated as of October 1, 2013, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Mortgage Investment Trust Holdings I, LLC, PennyMac Operating Partnership, L.P. and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.69 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2013).
10.71	Amendment No. 8 to Master Repurchase Agreement, dated as of December 27, 2013, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Holdings, LLC, PennyMac Operating Partnership, L.P. and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.2 of the Company’s Current Report on Form 8-K filed on January 3, 2014).
10.72	Amendment No. 9 to Master Repurchase Agreement, dated as of December 31, 2013, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Holdings, LLC, PennyMac Operating Partnership, L.P. and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.71 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2013).
10.73	Amendment No. 10 to Master Repurchase Agreement, dated as of January 10, 2014, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Holdings, LLC, PennyMac Operating Partnership, L.P. and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.76 of the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2014).
10.74	Amendment No. 11 to Master Repurchase Agreement, dated as of February 21, 2014, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Holdings, LLC, PennyMac Operating Partnership, L.P. and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.4 of the Company’s Current Report on Form 8-K filed on February 24, 2014).
10.75	Amendment No. 12 to Master Repurchase Agreement, dated as of May 22, 2014, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Holdings, LLC, PennyMac Operating Partnership, L.P. and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.79 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2014).
10.76	Amendment No. 13 to Master Repurchase Agreement, dated as of October 31, 2014, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Holdings, LLC, PennyMac Operating Partnership, L.P. and PennyMac Mortgage Investment Trust.
10.77	Guaranty, dated as of March 29, 2012, by PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. in favor of Credit Suisse First Boston Mortgage Capital LLC (incorporated by reference to Exhibit 1.2 of the Company’s Current Report on Form 8-K filed on March 29, 2012).
10.78	Master Repurchase Agreement, dated as of May 24, 2012, among Citibank, N.A., PennyMac Corp. and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 1.1 of the Company’s Current Report on Form 8-K filed on May 30, 2012).
10.79	Amendment Number One to the Master Repurchase Agreement, dated as of October 15, 2012, among Citibank, N.A., PennyMac Corp. and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 1.1 of the Company’s Current Report on Form 8-K filed on October 16, 2012).

109

Exhibit Number	Exhibit Description
10.80	Amendment Number Two to the Master Repurchase Agreement, dated as of November 13, 2012, among Citibank, N.A., PennyMac Corp. and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.62 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2012).
10.81	Amendment Number Three to the Master Repurchase Agreement, dated as of December 31, 2012, among Citibank, N.A., PennyMac Corp. and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.72 of the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2013).
10.82	Amendment Number Fthe Company’s to the Master Repurchase Agreement, dated as of May 23, 2013, among Citibank, N.A., PennyMac Corp. and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.77 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2013).
10.83	Amendment Number Five to the Master Repurchase Agreement, dated as of June 25, 2013, among Citibank, N.A., PennyMac Corp. and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.78 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2013).
10.84	Amendment Number Six to Master Repurchase Agreement, dated as of July 25, 2013, among Citibank, N.A., PennyMac Corp. and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 1.2 of the Company’s Current Report on Form 8-K filed on July 31, 2013).
10.85	Amendment Number Seven to Master Repurchase Agreement, dated as of February 5, 2014, among Citibank, N.A., PennyMac Corp. and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.12 of the Company’s Current Report on Form 8-K filed on February 6, 2014).
10.86	Amendment Number Eight to Master Repurchase Agreement, dated as of July 24, 2014, among Citibank, N.A., PennyMac Corp. and PennyMac Loan Services, LLC.
10.87	Amendment Number Nine to Master Repurchase Agreement, dated as of August 7, 2014, among Citibank, N.A., PennyMac Corp. and PennyMac Loan Services, LLC.
10.88	Amendment Number Ten to Master Repurchase Agreement, dated as of September 8, 2014, among Citibank, N.A., PennyMac Corp. and PennyMac Loan Services, LLC.
10.89	Guaranty, dated as of May 24, 2012, by PennyMac Mortgage Investment Trust in favor of Citibank, N.A. (incorporated by reference to Exhibit 1.2 of the Company’s Current Report on Form 8-K filed on May 30, 2012).
10.90	Master Repurchase Agreement, dated as of July 2, 2012, among Barclays Bank PLC, PennyMac Corp., PennyMac Loan Services, LLC and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 1.1 of the Company’s Current Report on Form 8-K filed on July 10, 2012).
10.91	Amendment No. 1 to PennyMac Master Repurchase Agreement, dated as of February 1, 2013, among PennyMac Corp., PennyMac Loan Services, LLC, PennyMac Mortgage Investment Trust and Barclays Bank PLC (incorporated by reference to Exhibit 10.81 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2013).
10.92	Amendment No. 2 to PennyMac Master Repurchase Agreement, dated as of June 28, 2013, among PennyMac Corp., PennyMac Loan Services, LLC, PennyMac Mortgage Investment Trust and Barclays Bank PLC (incorporated by reference to Exhibit 10.82 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2013).
10.93	Master Repurchase Agreement, dated as of September 28, 2012, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Operating Partnership, L.P. and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 1.1 of the Company’s Current Report on Form 8-K filed on October 3, 2012).
10.94	Amendment No. 1 to Master Repurchase Agreement, dated as of May 8, 2013, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Operating Partnership, L.P. and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.80 of the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2013).
10.95	Amendment No. 2 to Master Repurchase Agreement, dated as of December 31, 2013, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Operating Partnership, L.P. and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.90 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2013).
10.96	Amendment No. 3 to Master Repurchase Agreement, dated as of January 10, 2014, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Operating Partnership, L.P. and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.98 of the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2014).

110

Exhibit Number	Exhibit Description
10.97	Amendment No. 4 to Master Repurchase Agreement, dated as of October 31, 2014, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Operating Partnership, L.P. and PennyMac Mortgage Investment Trust.
10.98	Guaranty, dated as of September 28, 2012, by PennyMac Mortgage Investment Trust in favor of Credit Suisse First Boston Mortgage Capital LLC (incorporated by reference to Exhibit 1.2 of the Company’s Current Report on Form 8-K filed on October 3, 2012).
10.99	Master Repurchase Agreement, dated as of November 20, 2012, among PennyMac Corp., Morgan Stanley Bank, N.A. and Morgan Stanley Mortgage Capital Holdings LLC (incorporated by reference to Exhibit 1.1 of the Company’s Current Report on Form 8-K filed on November 26, 2012).
10.100	Amendment Number One to the Master Repurchase Agreement, dated as of August 20, 2013, among PennyMac Corp., Morgan Stanley Bank, N.A. and Morgan Stanley Mortgage Capital Holdings LLC (incorporated by reference to Exhibit 10.96 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2013).
10.101	Amendment Number Two to the Master Repurchase Agreement, dated as of August 26, 2013, among PennyMac Corp., Morgan Stanley Bank, N.A. and Morgan Stanley Mortgage Capital Holdings LLC (incorporated by reference to Exhibit 10.97 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2013).
10.102	Amendment Number Three to Master Repurchase Agreement, dated as of November 14, 2013, among PennyMac Corp., Morgan Stanley Bank, N.A. and Morgan Stanley Mortgage Capital Holdings LLC (incorporated by reference to Exhibit 10.95 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2013).
10.103	Amendment Number Fthe Company’s to Master Repurchase Agreement, dated as of December 19, 2013, among PennyMac Corp., Morgan Stanley Bank, N.A. and Morgan Stanley Mortgage Capital Holdings LLC (incorporated by reference to Exhibit 10.96 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2013).
10.104	Guaranty, dated as of November 20, 2012, by PennyMac Mortgage Investment Trust in favor of Morgan Stanley Bank, N.A. and Morgan Stanley Mortgage Capital Holdings LLC (incorporated by reference to Exhibit 1.2 of the Company’s Current Report on Form 8-K filed on November 26, 2012).
10.105	Mortgage Banking and Warehouse Services Agreement, dated as of February 1, 2013, by and between PennyMac Loan Services, LLC and PennyMac Corp. (incorporated by reference to Exhibit 1.3 of the Company’s Current Report on Form 8-K filed on February 7, 2013).
10.106	Amendment No. 1 to Mortgage Banking and Warehouse Services Agreement, dated as of March 1, 2013, by and between PennyMac Loan Services, LLC and PennyMac Corp. (incorporated by reference to Exhibit 10.85 of the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2013).
10.107	Amendment No. 2 to Mortgage Banking and Warehouse Services Agreement, dated as of August 14, 2013, by and between PennyMac Loan Services, LLC and PennyMac Corp. (incorporated by reference to Exhibit 1.1 of the Company’s Current Report on Form 8-K filed on August 19, 2013).
10.108	MSR Recapture Agreement, dated as of February 1, 2013, by and between PennyMac Loan Services, LLC and PennyMac Corp. (incorporated by reference to Exhibit 1.4 of the Company’s Current Report on Form 8-K filed on February 7, 2013).
10.109	Amendment No. 1 to MSR Recapture Agreement, dated as of August 1, 2013, by and between PennyMac Loan Services, LLC and PennyMac Corp. (incorporated by reference to Exhibit 10.103 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2013).
10.110	Master Spread Acquisition and MSR Servicing Agreement, dated as of February 1, 2013, by and between PennyMac Loan Services, LLC and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 1.5 of the Company’s Current Report on Form 8-K filed on February 7, 2013).
10.111	Amendment No. 1 to Master Spread Acquisition and MSR Servicing Agreement, dated as of September 30, 2013, by and between PennyMac Loan Services, LLC and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.105 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2013).
10.112	Amendment No. 2 to Master Spread Acquisition and MSR Servicing Agreement, dated as of November 14, 2013, by and between PennyMac Loan Services, LLC and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.105 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2013).

111

Exhibit Number	Exhibit Description
10.113	Amendment No. 3 to Master Spread Acquisition and MSR Servicing Agreement, dated as of March 19, 2014, by and between PennyMac Loan Services, LLC and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.114 of the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2014).
10.114	Master Spread Acquisition and MSR Servicing Agreement, dated as of December 30, 2013, by and between PennyMac Loan Services, LLC and PennyMac Holdings, LLC (incorporated by reference to Exhibit 10.4 of the Company’s Current Report on Form 8-K filed on January 3, 2014).
10.115	Amendment No. 1 to Master Spread Acquisition and MSR Servicing Agreement, dated as of June 1, 2014, by and between PennyMac Loan Services, LLC and PennyMac Holdings, LLC (incorporated by reference to Exhibit 10.114 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2014).
10.116	Security and Subordination Agreement, dated as of December 30, 2013, between Credit Suisse First Boston Mortgage Capital LLC and PennyMac Holdings, LLC (incorporated by reference to Exhibit 10.5 of the Company’s Current Report on Form 8-K filed on January 3, 2014).
10.117	Master Repurchase Agreement, dated as of February 18, 2014, between The Royal Bank of Scotland PLC, PennyMac Corp., PennyMac Holdings, LLC, and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.1 of the Company’s Current Report on Form 8-K filed on February 24, 2014).
10.118	Guaranty, dated as of February 18, 2014, of PennyMac Mortgage Investment Trust in favor of The Royal Bank of Scotland PLC (incorporated by reference to Exhibit 10.2 of the Company’s Current Report on Form 8-K filed on February 24, 2014).
10.119	Confidentiality Agreement, dated as of February 6, 2013, between Private National Mortgage Acceptance Company, LLC and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 1.7 of the Company’s Current Report on Form 8-K filed on February 7, 2013).
10.120	Amended and Restated Confidentiality Agreement, dated as of March 1, 2013, between Private National Mortgage Acceptance Company, LLC and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.89 of the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2013).
10.121	Letter Agreement, dated as of June 14, 2013, between PennyMac Corp. and Citigroup Global Markets Realty Corp. (incorporated by reference to Exhibit 10.98 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2013).*
10.122	Letter Agreement, dated as of June 28, 2013, between PennyMac Corp. and Citigroup Global Markets Realty Corp. (incorporated by reference to Exhibit 10.99 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2013).*
10.123	Mortgage Loan Participation Purchase and Sale Agreement, dated as of December 23, 2011, among Bank of America, N.A., PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.2 of the Company’s Current Report on Form 8-K filed on February 6, 2014).
10.124	Amendment No. 1 to Mortgage Loan Participation Purchase and Sale Agreement, dated as of August 17, 2012, among Bank of America, N.A., PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.3 of the Company’s Current Report on Form 8-K filed on February 6, 2014).
10.125	Amendment No. 2 to Mortgage Loan Participation Purchase and Sale Agreement, dated as of October 29, 2012, among Bank of America, N.A., PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.4 of the Company’s Current Report on Form 8-K filed on February 6, 2014).
10.126	Amendment No. 3 to Mortgage Loan Participation Purchase and Sale Agreement, dated as of December 5, 2012, among Bank of America, N.A., PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.5 of the Company’s Current Report on Form 8-K filed on February 6, 2014).
10.127	Amendment No. 4 to Mortgage Loan Participation Purchase and Sale Agreement, dated as of January 3, 2013, among Bank of America, N.A., PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.6 of the Company’s Current Report on Form 8-K filed on February 6, 2014).

112

Exhibit Number	Exhibit Description
10.128	Amendment No. 5 to Mortgage Loan Participation Purchase and Sale Agreement, dated as of March 28, 2013, among Bank of America, N.A., PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.7 of the Company’s Current Report on Form 8-K filed on February 6, 2014).
10.129	Amendment No. 6 to Mortgage Loan Participation Purchase and Sale Agreement, dated as of January 2, 2014, among Bank of America, N.A., PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.8 of the Company’s Current Report on Form 8-K filed on February 6, 2014).
10.130	Amendment No. 7 to Mortgage Loan Participation Purchase and Sale Agreement, dated as of January 31, 2014, among Bank of America, N.A., PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.9 of the Company’s Current Report on Form 8-K filed on February 6, 2014).
10.131	Amendment No. 8 to Mortgage Loan Participation Purchase and Sale Agreement, dated as of March 27, 2014, among Bank of America, N.A., PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (incorporated by reference to Exhibit 10.130 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2014)
10.132	Guaranty, dated as of December 23, 2011, by PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. in favor of Bank of America, N.A. (incorporated by reference to Exhibit 10.10 of the Company’s Current Report on Form 8-K filed on February 6, 2014).
10.133	Master Repurchase Agreement, dated as of July 9, 2014, among Bank of America, N.A., PennyMac Operating Partnership, L.P. and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.1 of the Company’s Current Report on Form 8-K filed on July 14, 2014).
10.134	Guaranty, dated as of July 9, 2014, by PennyMac Mortgage Investment Trust in favor of Bank of America, N.A. (incorporated by reference to Exhibit 10.2 of the Company’s Current Report on Form 8-K filed on July 14, 2014).
31.1	Certification of Stanford L. Kurland pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
31.2	Certification of Anne D. McCallion pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
32.1**	Certification of Stanford L. Kurland pursuant to Rule 13a-14(b) and 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
32.2**	Certification of Anne D. McCallion pursuant to Rule 13a-14(b) and 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
101	Interactive data files pursuant to Rule 405 of Regulation S-T: (i) the Consolidated Balance Sheets as of September 30, 2014 and December 31, 2013, (ii) the Consolidated Statements of Income for the quarters ended September 30, 2014 and 2013, (iii) the Consolidated Statements of Changes in Shareholders’ Equity for the quarters ended September 30, 2014 and 2013, (iv) the Consolidated Statements of Cash Flows for the quarters ended September 30, 2014 and 2013 and (v) the Notes to the Consolidated Financial Statements.

* Certain terms have been redacted pursuant to requests for confidential treatment submitted to the Securities and Exchange Commission concurrently with the filing of this Report.

** The certifications attached hereto as Exhibits 32.1 and 32.2 are furnished to the SEC pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and shall not be deemed filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, nor shall it be deemed incorporated by reference in any filing under the Securities Act of 1933, except as shall be expressly set forth by specific reference in such filing.

† Indicates management contract or compensatory plan or arrangement.

113

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.

	PENNYMAC MORTGAGE INVESTMENT TRUST (Registrant)
Dated: November 7, 2014	By:	/S/    STANFORD L. KURLAND
		Stanford L. Kurland
		Chairman of the Board and Chief Executive Officer
Dated: November 7, 2014	By:	/S/    ANNE D. MCCALLION
		Anne D. McCallion
		Chief Financial Officer

EX-10.24

Exhibit 10.24

PENNYMAC CORP. FACILITY EXECUTION

AMENDMENT NO. 8 TO

AMENDED AND RESTATED MASTER REPURCHASE AGREEMENT

Amendment No. 8 to Amended and Restated Master Repurchase Agreement, dated as of October 31, 2014 (this “Amendment”), among Credit Suisse First Boston Mortgage Capital LLC (the “Buyer”), PennyMac Corp. (the “Seller”) PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (each, a “Guarantor” and collectively, the “Guarantors”).

RECITALS

The Buyer, the Seller and the Guarantors are parties to that certain Amended and Restated Master Repurchase Agreement, dated as of June 1, 2013 (as amended by Amendment No. 1, dated as of August 29, 2013, Amendment No. 2, dated as of October 1, 2013, Amendment No. 3, dated as of December 27, 2013, Amendment No. 4, dated as of December 31, 2013, Amendment No. 5, dated as of January 10, 2014, Amendment No. 6, dated as of February 21, 2014, and Amendment No. 7, dated as of May 22, 2014, the “Existing Repurchase Agreement”; as further amended by this Amendment, the “Repurchase Agreement”) and the related Pricing Side Letter, dated as of June 1, 2013 (as amended, restated, supplemented or otherwise modified from time to time, the “Pricing Side Letter”). The Guarantors are parties to that certain Guaranty (as amended, restated, supplemented or otherwise modified from time to time, the “Guaranty”), dated as of November 2, 2010, by the Guarantors in favor of Buyer. Capitalized terms used but not otherwise defined herein shall have the meanings given to them in the Existing Repurchase Agreement and Guaranty, as applicable.

The Buyer, the Seller and the Guarantors have agreed, subject to the terms and conditions of this Amendment, that the Existing Repurchase Agreement be amended to reflect certain agreed upon revisions to the terms of the Existing Repurchase Agreement. As a condition precedent to amending the Existing Repurchase Agreement, the Buyer has required the Guarantors to ratify and affirm the Guaranty on the date hereof.

Accordingly, the Buyer, the Seller and the Guarantors hereby agree, in consideration of the mutual promises and mutual obligations set forth herein, that the Existing Repurchase Agreement is hereby amended as follows:

SECTION 1. Definitions. Section 2 of the Existing Repurchase Agreement is hereby amended by deleting the definition of “Termination Date” in its entirety and replacing it with the following:

“Termination Date” means the earliest of (a) October 30, 2015, and (b) the date of the occurrence of an Event of Default.

SECTION 2. Representations and Warranties. Section 13 of the Existing Repurchase Agreement is hereby amended by deleting subsection (11) in its entirety and replacing it with the following:

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(11) Litigation. There is no action, proceeding or investigation pending with respect to which either Seller or either Guarantor has received service of process or, to the best of Seller’s or either Guarantor’s knowledge threatened against it before any court, administrative agency or other tribunal (A) asserting the invalidity of any Program Agreement, (B) seeking to prevent the consummation of any of the transactions contemplated any Program Agreement, (C) makes a claim individually or in the aggregate in an amount greater than $10,000,000, (D) which requires filing with the Securities and Exchange Commission in accordance with the 1934 Act or any rules thereunder or (E) which might materially and adversely affect the validity of the Mortgage Loans or the performance by it of its obligations under, or the validity or enforceability of any Program Agreement.

SECTION 3. Covenants. Section 14 of the Existing Repurchase Agreement is hereby amended by deleting subsection (a) in its entirety and replacing it with the following:

a. Litigation. Seller and each Guarantor, as applicable, will promptly, and in any event within ten (10) days after service of process on any of the following, give to Buyer notice of all litigation, actions, suits, arbitrations, investigations (including, without limitation, any of the foregoing which are threatened or pending) or other legal or arbitrable proceedings affecting Seller, Guarantors or any of their Subsidiaries or affecting any of the Property of any of them before any Governmental Authority that (i) questions or challenges the validity or enforceability of any of the Program Agreements or any action to be taken in connection with the transactions contemplated hereby, (ii) makes a claim individually or in the aggregate in an amount greater than $10,000,000, or (iii) which, individually or in the aggregate, if adversely determined, could be reasonably likely to have a Material Adverse Effect. Seller and each Guarantor, as applicable, will promptly provide notice of any judgment, which with the passage of time, could cause an Event of Default hereunder.

SECTION 4. Events of Default. Section 15 of the Existing Repurchase Agreement is hereby amended by deleting subsection (k) in its entirety and replacing it with the following:

k. Judgment. A final judgment or judgments for the payment of money in excess of $10,000,000 in the aggregate shall be rendered against the Seller or any of its Affiliates by one or more courts, administrative tribunals or other bodies having jurisdiction and the same shall not be satisfied, discharged (or provision shall not be made for such discharge) or bonded, or a stay of execution thereof shall not be procured, within 30 days from the date of entry thereof.

SECTION 5. Conditions Precedent. This Amendment shall become effective as of the date hereof (the “Amendment Effective Date”), subject to the satisfaction of the following conditions precedent:

5.1 Delivered Documents. On the Amendment Effective Date, the Buyer shall have received the following documents, each of which shall be satisfactory to the Buyer in form and substance:

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(a) this Amendment, executed and delivered by duly authorized officers of the Buyer, the Seller and the Guarantors;

(b) Amendment No. 7 to that certain Amended and Restated Pricing Side Letter, dated as of the date hereof, executed and delivered by duly authorized officers of the Buyer, the Seller and the Guarantors; and

(c) such other documents as the Buyer or counsel to the Buyer may reasonably request.

SECTION 6. Representations and Warranties. Seller hereby represents and warrants to the Buyer that it is in compliance with all the terms and provisions set forth in the Repurchase Agreement on its part to be observed or performed, and that no Event of Default has occurred or is continuing, and hereby confirms and reaffirms the representations and warranties contained in Section 13 of the Repurchase Agreement.

SECTION 7. Limited Effect. Except as expressly amended and modified by this Amendment, the Existing Repurchase Agreement shall continue to be, and shall remain, in full force and effect in accordance with its terms.

SECTION 8. Counterparts. This Amendment may be executed by each of the parties hereto on any number of separate counterparts, each of which shall be an original and all of which taken together shall constitute one and the same instrument.

SECTION 9. Severability. Each provision and agreement herein shall be treated as separate and independent from any other provision or agreement herein and shall be enforceable notwithstanding the unenforceability of any such other provision or agreement.

SECTION 10. GOVERNING LAW. THIS AMENDMENT SHALL BE GOVERNED BY, AND CONSTRUED IN ACCORDANCE WITH, THE LAWS OF THE STATE OF NEW YORK WITHOUT REFERENCE TO THE CHOICE OF LAW PROVISIONS THEREOF.

SECTION 11. Reaffirmation of Guaranty. The Guarantors hereby ratify and affirm all of the terms, covenants, conditions and obligations of the Guaranty and acknowledge and agree that the term “Obligations” as used in the Guaranty shall apply to all of the Obligations of Seller to Buyer under the Repurchase Agreement, as amended hereby.

[Remainder of page intentionally left blank]

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IN WITNESS WHEREOF, the undersigned have caused this Amendment to be duly executed as of the date first above written.

Credit Suisse First Boston Mortgage Capital LLC, as Buyer
By:	/s/ Adam Loskove
	Name: Adam Loskove
	Title:   Vice President
PennyMac Corp., as Seller
By:	/s/ Pamela Marsh
	Name: Pamela Marsh
	Title:   Executive Vice President, Treasurer
PennyMac Mortgage Investment Trust, as Guarantor
By:	/s/ Pamela Marsh
	Name: Pamela Marsh
	Title:   Executive Vice President, Treasurer
PennyMac Operating Partnership, L.P., as Guarantor
By: PennyMac GP OP, Inc., its General Partner
By:	/s/ Pamela Marsh
	Name: Pamela Marsh
	Title:   Executive Vice President, Treasurer

Signature Page to Amendment No. 8 to Amended and Restated Master Repurchase Agreement

EX-10.42

Exhibit 10.42

EXECUTION

AMENDMENT NUMBER SIXTEEN

to the

MASTER REPURCHASE AGREEMENT

Dated as of December 9, 2010,

among

PENNYMAC CORP., PENNYMAC HOLDINGS, LLC and PENNYMAC LOAN SERVICES, LLC

and

CITIBANK, N.A.

This AMENDMENT NUMBER SIXTEEN (this “Amendment Number Sixteen”) is made this 24th day of July, 2014 (the “Effective Date”) among PENNYMAC CORP. and PENNYMAC HOLDINGS, LLC f/k/a PENNYMAC MORTGAGE INVESTMENT TRUST HOLDINGS I, LLC (each, a “Seller” and jointly and severally, the “Seller” or “Sellers”), PENNYMAC LOAN SERVICES, LLC (“Servicer”) and CITIBANK, N.A. (“Buyer”), to the Master Repurchase Agreement, dated as of December 9, 2010, among Sellers, Servicer and Buyer, as such agreement may be amended from time to time (the “Agreement”). Capitalized terms used but not otherwise defined herein shall have the meanings assigned to such terms in the Agreement.

RECITALS

WHEREAS, Sellers and Buyer have agreed to extend the term of the facility as more specifically set forth herein; and

WHEREAS, as of the date hereof, each Seller and Servicer represents to Buyer that the Seller Parties are in full compliance with all of the terms and conditions of the Agreement and each other Program Document and no Default or Event of Default has occurred and is continuing under the Agreement or any other Program Document.

NOW THEREFORE, for good and valuable consideration, the receipt and sufficiency of which are hereby acknowledged, and for the mutual covenants herein contained, the parties hereto hereby agree as follows:

SECTION 1. Amendments. Effective as of the Effective Date, the Agreement is hereby amended as follows:

(a) Section 2 of the Agreement is hereby amended by adding the new definition of “2014 First Extension Fee” in the appropriate alphabetical order to read as follows:

“2014 First Extension Fee” shall have the meaning assigned to it in the Pricing Side Letter.

(b) Section 2 of the Agreement is hereby amended by deleting the definition of “Termination Date” in its entirety and replacing it as follows:

“Termination Date” shall mean August 7, 2014 or such earlier date on which this Agreement shall terminate in accordance with the provisions hereof or by operation of law.”

(c) Section 4(c) of the Agreement is hereby amended by adding the following language at the end of such section:

“In connection with the extension of the Termination Date from July 24, 2014 to August 7, 2014, Sellers agree to pay to Buyer an additional commitment fee for the period beginning on July 24, 2014 through August 7, 2014, equal to the 2014 First Extension Fee, such payment to be made in Dollars, in immediately available funds, without deduction, set off or counterclaim, to Buyer on or prior to July 24, 2014. Buyer may, in its sole discretion, net all or any portion of the 2014 First Extension Fee then due and payable from the proceeds of any Purchase Price paid to any Seller. The 2014 First Extension Fee is and shall be deemed to be fully earned and non-refundable as of July 24, 2014.”

SECTION 2. Fees and Expenses. Sellers agree to pay to Buyer all reasonable out of pocket costs and expenses incurred by Buyer in connection with this Amendment Number Sixteen (including all reasonable fees and out of pocket costs and expenses of the Buyer’s legal counsel) in accordance with Sections 23 and 25 of the Agreement.

SECTION 3. Conditions Precedent. As a condition precedent to the effectiveness of this Amendment Number Sixteen, Buyer shall have received from Sellers the 2014 First Extension Fee in immediately available funds, and without deduction, set-off or counterclaim in accordance with Buyer’s Wire Instructions.

SECTION 4. Representations. Each Seller and Servicer hereby represents to Buyer that as of the date hereof, the Seller Parties are in full compliance with all of the terms and conditions of the Agreement and each other Program Document and no Default or Event of Default has occurred and is continuing under the Agreement or any other Program Document.

SECTION 5. Binding Effect; Governing Law. This Amendment Number Sixteen shall be binding and inure to the benefit of the parties hereto and their respective successors and permitted assigns. THIS AMENDMENT NUMBER SIXTEEN SHALL BE CONSTRUED IN ACCORDANCE WITH, AND GOVERNED BY, THE LAWS OF THE STATE OF NEW YORK, WITHOUT GIVING EFFECT TO THE CONFLICT OF LAWS PRINCIPLES THEREOF (EXCEPT FOR SECTION 5-1401 OF THE NEW YORK GENERAL OBLIGATIONS LAW WHICH SHALL GOVERN).

SECTION 6. Counterparts. This Amendment Number Sixteen may be executed by each of the parties hereto on any number of separate counterparts, each of which shall be an original and all of which taken together shall constitute one and the same instrument.

SECTION 7. Limited Effect. Except as amended hereby, the Agreement shall continue in full force and effect in accordance with its terms. Reference to this Amendment Number Sixteen need not be made in the Agreement or any other instrument or document executed in connection therewith, or in any certificate, letter or communication issued or made pursuant to, or with respect to, the Agreement, any reference in any of such items to the Agreement being sufficient to refer to the Agreement as amended hereby.

[Signature Page Follows]

Amendment 16 REIT NPL MRA

IN WITNESS WHEREOF, Sellers, Servicer and Buyer have caused this Amendment Number Sixteen to be executed and delivered by their duly authorized officers as of the date hereof.

PENNYMAC CORP.
(Seller)
By:	/s/	Pamela Marsh
Name:		Pamela Marsh
Title:		Executive Vice President, Treasurer
PENNYMAC HOLDINGS, LLC
(Seller)
By:	/s/	Pamela Marsh
Name:		Pamela Marsh
Title:		Executive Vice President, Treasurer
PENNYMAC LOAN SERVICES, LLC,
(Servicer)
By:	/s/	Pamela Marsh
Name:		Pamela Marsh
Title:		Executive Vice President, Treasurer
CITIBANK, N.A.
(Buyer and Agent, as applicable)
By:	/s/	Susan Mills
Name:		Susan Mills
Title:		Vice President
		Citibank, N.A.

Acknowledged:
PENNYMAC MORTGAGE INVESTMENT TRUST
By:	/s/	Pamela Marsh
Name:		Pamela Marsh
Title:		Managing Director, Treasurer

Amendment Number Sixteen to Master Repurchase Agreement REIT-NPL

EX-10.43

Exhibit 10.43

EXECUTION

AMENDMENT NUMBER SEVENTEEN

to the

MASTER REPURCHASE AGREEMENT

Dated as of December 9, 2010,

among

PENNYMAC CORP., PENNYMAC HOLDINGS, LLC and PENNYMAC LOAN SERVICES, LLC

and

CITIBANK, N.A.

This AMENDMENT NUMBER SEVENTEEN (this “Amendment Number Seventeen”) is made this 7th day of August, 2014 (the “Effective Date”) among PENNYMAC CORP. and PENNYMAC HOLDINGS, LLC f/k/a PENNYMAC MORTGAGE INVESTMENT TRUST HOLDINGS I, LLC (each, a “Seller” and jointly and severally, the “Seller” or “Sellers”), PENNYMAC LOAN SERVICES, LLC (“Servicer”) and CITIBANK, N.A. (“Buyer”), to the Master Repurchase Agreement, dated as of December 9, 2010, among Sellers, Servicer and Buyer, as such agreement may be amended from time to time (the “Agreement”). Capitalized terms used but not otherwise defined herein shall have the meanings assigned to such terms in the Agreement.

RECITALS

WHEREAS, Sellers and Buyer have agreed to extend the term of the facility as more specifically set forth herein; and

WHEREAS, as of the date hereof, each Seller and Servicer represents to Buyer that the Seller Parties are in full compliance with all of the terms and conditions of the Agreement and each other Program Document and no Default or Event of Default has occurred and is continuing under the Agreement or any other Program Document.

NOW THEREFORE, for good and valuable consideration, the receipt and sufficiency of which are hereby acknowledged, and for the mutual covenants herein contained, the parties hereto hereby agree as follows:

SECTION 1. Amendments. Effective as of the Effective Date, the Agreement is hereby amended as follows:

(a) Section 2 of the Agreement is hereby amended by adding the new definition of “2014 Second Extension Fee” in the appropriate alphabetical order to read as follows:

“2014 Second Extension Fee” shall have the meaning assigned to it in the Pricing Side Letter.

(b) Section 2 of the Agreement is hereby amended by deleting the definition of “Termination Date” in its entirety and replacing it as follows:

“Termination Date” shall mean September 8, 2014 or such earlier date on which this Agreement shall terminate in accordance with the provisions hereof or by operation of law.”

(c) Section 4(c) of the Agreement is hereby amended by adding the following language at the end of such section:

“In connection with the extension of the Termination Date from August 7, 2014 to September 8, 2014, Sellers agree to pay to Buyer an additional commitment fee for the period beginning on August 7, 2014 through September 8, 2014, equal to the 2014 Second Extension Fee (reduced by any amount of the 2014 Second Extension Fee paid to Buyer under Amendment Nine to the PMAC Agency Agreement), such payment to be made in Dollars, in immediately available funds, without deduction, set off or counterclaim, to Buyer on or prior to August 7, 2014. Buyer may, in its sole discretion, net all or any portion of the 2014 Second Extension Fee then due and payable from the proceeds of any Purchase Price paid to any Seller. The 2014 Second Extension Fee is and shall be deemed to be fully earned and non-refundable as of August 7, 2014.”

SECTION 2. Fees and Expenses. Sellers agree to pay to Buyer all reasonable out of pocket costs and expenses incurred by Buyer in connection with this Amendment Number Seventeen (including any Commitment Fee or extension fee due and payable, all reasonable fees and out of pocket costs and expenses of the Buyer’s legal counsel) in accordance with Sections 23 and 25 of the Agreement.

SECTION 3. Representations. Each Seller and Servicer hereby represents to Buyer that as of the date hereof, the Seller Parties are in full compliance with all of the terms and conditions of the Agreement and each other Program Document and no Default or Event of Default has occurred and is continuing under the Agreement or any other Program Document.

SECTION 4. Binding Effect; Governing Law. This Amendment Number Seventeen shall be binding and inure to the benefit of the parties hereto and their respective successors and permitted assigns. THIS AMENDMENT NUMBER SEVENTEEN SHALL BE CONSTRUED IN ACCORDANCE WITH, AND GOVERNED BY, THE LAWS OF THE STATE OF NEW YORK, WITHOUT GIVING EFFECT TO THE CONFLICT OF LAWS PRINCIPLES THEREOF (EXCEPT FOR SECTION 5-1401 OF THE NEW YORK GENERAL OBLIGATIONS LAW WHICH SHALL GOVERN).

SECTION 5. Counterparts. This Amendment Number Seventeen may be executed by each of the parties hereto on any number of separate counterparts, each of which shall be an original and all of which taken together shall constitute one and the same instrument.

SECTION 6. Limited Effect. Except as amended hereby, the Agreement shall continue in full force and effect in accordance with its terms. Reference to this Amendment Number Seventeen need not be made in the Agreement or any other instrument or document executed in connection therewith, or in any certificate, letter or communication issued or made pursuant to, or with respect to, the Agreement, any reference in any of such items to the Agreement being sufficient to refer to the Agreement as amended hereby.

[Signature Page Follows]

IN WITNESS WHEREOF, Sellers, Servicer and Buyer have caused this Amendment Number Seventeen to be executed and delivered by their duly authorized officers as of the date hereof.

PENNYMAC CORP.
(Seller)
By:	/s/	Pamela Marsh
Name:		Pamela Marsh
Title:		Executive Vice President, Treasurer
PENNYMAC HOLDINGS, LLC
(Seller)
By:	/s/	Pamela Marsh
Name:		Pamela Marsh
Title:		Executive Vice President, Treasurer
PENNYMAC LOAN SERVICES, LLC,
(Servicer)
By:	/s/	Pamela Marsh
Name:		Pamela Marsh
Title:		Executive Vice President, Treasurer
CITIBANK, N.A.
(Buyer and Agent, as applicable)
By:	/s/	Peter D. Steinmetz
Name:		Peter D. Steinmetz
Title:		Vice President
		Citibank, N.A.

Acknowledged:
PENNYMAC MORTGAGE INVESTMENT TRUST
By:	/s/	Pamela Marsh
Name:		Pamela Marsh
Title:		Executive Vice President, Treasurer

Amendment Number Seventeen to Master Repurchase Agreement REIT-NPL

EX-10.44

Exhibit 10.44

EXECUTION

AMENDMENT NUMBER EIGHTEEN

to the

MASTER REPURCHASE AGREEMENT

Dated as of December 9, 2010,

among

PENNYMAC CORP., PENNYMAC HOLDINGS, LLC and PENNYMAC LOAN SERVICES, LLC

and

CITIBANK, N.A.

This AMENDMENT NUMBER EIGHTEEN (this “Amendment Number Eighteen”) is made this 8th day of September, 2014 (the “Effective Date”) among PENNYMAC CORP. and PENNYMAC HOLDINGS, LLC f/k/a PENNYMAC MORTGAGE INVESTMENT TRUST HOLDINGS I, LLC (each, a “Seller” and jointly and severally, the “Seller” or “Sellers”), PENNYMAC LOAN SERVICES, LLC (“Servicer”) and CITIBANK, N.A. (“Buyer”), to the Master Repurchase Agreement, dated as of December 9, 2010, among Sellers, Servicer and Buyer, as such agreement may be amended from time to time (the “Agreement”). Capitalized terms used but not otherwise defined herein shall have the meanings assigned to such terms in the Agreement.

RECITALS

WHEREAS, Sellers and Buyer have agreed to renew the term of the facility as more specifically set forth herein; and

WHEREAS, as of the date hereof, each Seller and Servicer represents to Buyer that the Seller Parties are in full compliance with all of the terms and conditions of the Agreement and each other Program Document and no Default or Event of Default has occurred and is continuing under the Agreement or any other Program Document.

NOW THEREFORE, for good and valuable consideration, the receipt and sufficiency of which are hereby acknowledged, and for the mutual covenants herein contained, the parties hereto hereby agree as follows:

SECTION 1. Amendments. Effective as of the Effective Date, the Agreement is hereby amended as follows:

(a) The reference to Exhibit J in the Table of Contents is hereby deleted in its entirety and replaced with the following:

“EXHIBIT J Form of Power of Attorney”

(b) Section 2 of the Agreement is hereby amended by adding the new definitions of “Basel III”, “Dodd-Frank Act” and “Official Body” as follows in the appropriate alphabetical order:

“Basel III” means “A Global Regulatory Framework for More Resilient Banks and Banking Systems” developed by the Basel Committee on Banking Supervision (or any successor or similar authority), initially published in December 2010.

“Dodd-Frank Act” means the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010, Pub. L. No. 111-203 and any successor statute.

“Official Body” means any central bank or any accounting board or authority (whether or not part of a government) which is responsible for the establishment or interpretation of national or international accounting principles, in each case whether foreign or domestic.

(c) Section 2 of the Agreement is hereby amended by deleting the definitions of “2012-2013 Commitment Fee”, “2012-2013 Commitment Fee Installment Amount”, “2012 Extension Commitment Fee”, “2012 Extension Commitment Fee Installment Amount”, “2013 Commitment Fee”, “2013 Commitment Fee Installment Amount”, “2013 Additional Commitment Fee”, “2014 First Extension Fee”, “Extended Additional Commitment Fee” and “Installment Payment”.

(d) Section 2 of the Agreement is hereby amended by deleting the definition of “Termination Date” in its entirety and replacing it as follows:

“Termination Date” shall mean September 7, 2015 or such earlier date on which this Agreement shall terminate in accordance with the provisions hereof or by operation of law.”

(e) Section 3(i) of the Agreement is hereby amended by deleting the last paragraph therein in its entirety and replacing it with the following:

“If Buyer shall have determined that either (i) the adoption of or any change in any Requirement of Law (other than with respect to any amendment made to Buyer’s certificate of incorporation and by-laws or other organizational or governing documents) regarding capital adequacy or in the interpretation or application thereof or compliance by Buyer or any corporation controlling Buyer with any request or directive regarding capital adequacy (whether or not having the force of law) from any Governmental Authority or Official Body made subsequent to the date hereof; or (ii) compliance by Buyer or any corporation controlling Buyer with: (x) any directive or request from any Governing Authority or Official Body imposed after the date hereof or (y) the requirements of, whether such compliance is commenced prior to or after the date hereof, any of (a) Basel III or (b) the Dodd-Frank Act, or any existing rules, regulations, guidance, interpretations or directives from the United States bank regulatory agencies relating to Basel III or the Dodd-Frank Act; shall have the effect of reducing the rate of return on Buyer’s or such corporation’s capital (taking into consideration Buyer’s or such corporation’s policies with respect to capital adequacy) by an amount deemed by Buyer to be material and to the extent Buyer determines such reduced rate of return to be attributable to the existence of the obligations or agreements of Buyer hereunder, then from time to time, Sellers shall promptly pay to Buyer such additional amount or amounts as will thereafter compensate Buyer for such reduction.”

(f) Section 4(c) of the Agreement is hereby amended by deleting the section in its entirety and replacing it with the following:

“(c) Commitment Fee. Sellers agree to pay to Buyer the Commitment Fee, such payment to be made in Dollars, in immediately available funds, without deduction, set off or counterclaim, to Buyer to Buyer in twelve (12) equal installments, each of which shall be equal to the Commitment Fee Installment Amount. The Commitment Fee is and shall be deemed to be fully earned and non-refundable when paid. The first installment of the Commitment Fee shall be payable on or prior to September 8, 2014 and each subsequent installment shall be payable on or prior to the 15^th day of each succeeding month (or in each case if such date is not a Business Day,

the preceding Business Day). Buyer may, in its sole discretion, net all or any portion of Commitment Fee from the proceeds of any Purchase Price paid to any Seller. In the event that the Termination Date is accelerated to a date which is prior to the payment in full of all installments of the Commitment Fee, any unpaid installments of the Commitment Fee shall be payable on the Termination Date.”

(g) Section 9(b) of the Agreement is hereby amended by deleting clauses (xvii) and (xviii) in their entirety and replacing them with the following:

“(xvii) Buyer shall have received any amendment (duly executed and delivered by each party thereto) to any other Program Document if requested by Buyer to reflect legal name change of PennyMac Mortgage Investment Trust Holdings I, LLC to PennyMac Holdings, LLC;

(xviii) Each Seller shall have delivered a separate power of attorney with respect to the powers described in Section 8(d) substantially in the form attached hereto as Exhibit J.”

(h) Section 12(b) of the Agreement is hereby amended by deleting and replacing each reference to “2012” therein with “2013”.

(i) Section 13 of the Agreement is hereby amended by adding new clause (rr) thereto as follows:

“(rr) Custodial Agreement Amendment. Sellers agree to cooperate with Buyer in connection with executing an amendment to the Custodial Agreement, in order to give effect to reasonable modifications and updates regarding Buyer’s lending and custodial requirements.”

(j) Section 13(p)(iv) of the Agreement is hereby amended by deleting the clause in its entirety and replacing it with the following:

“(iv) Financial Covenants of Guarantor. (A) Guarantor’s Adjusted Tangible Net Worth is greater than or equal to $750,000,000; (B) the combined amount of unrestricted cash of Guarantor and its Subsidiaries is greater than or equal to $40,000,000; (C) the ratio of Guarantor’s Total Indebtedness to Adjusted Tangible Net Worth is not greater than 5:1; and (D) Guarantor’s consolidated net income has been equal to or greater than $1.00 for at least one (1) of the previous two (2) consecutive fiscal quarters, as of the end of the last fiscal quarter.”

(k) Section 18(q) is hereby amended by deleting the section in its entirety and replacing it with the following:

“(q) Any Seller Party or any Affiliate of a Seller Party shall default under, or fail to perform as required under, or shall otherwise breach the terms of any repurchase agreement, loan and security agreement, MSFTA/derivatives agreement, or similar credit facility or agreement for borrowed funds between any Seller Party or such other entity, on the one hand, and Buyer or any of Buyer’s Affiliates on the other; or a Seller Party shall default under, or fail to perform as required under, the terms of any repurchase agreement, loan and security agreement or similar credit facility or agreement for borrowed funds with outstanding amount at least $10,000,000 entered into by such Seller Party, which default or failure entitles any party to cause acceleration or require prepayment of any indebtedness thereunder; or”

(l) Exhibit J of the Agreement is hereby amended by deleting the exhibit in its entirety and replacing it with Exhibit A attached hereto.

SECTION 2. Fees and Expenses. Sellers agree to pay to Buyer all reasonable out of pocket costs and expenses incurred by Buyer in connection with this Amendment Number Eighteen (including all reasonable fees and out of pocket costs and expenses of the Buyer’s legal counsel) in accordance with Sections 23 and 25 of the Agreement.

SECTION 3. Representations. Each Seller and Servicer hereby represents to Buyer that as of the date hereof, the Seller Parties are in full compliance with all of the terms and conditions of the Agreement and each other Program Document and no Default or Event of Default has occurred and is continuing under the Agreement or any other Program Document.

SECTION 4. Binding Effect; Governing Law. This Amendment Number Eighteen shall be binding and inure to the benefit of the parties hereto and their respective successors and permitted assigns. THIS AMENDMENT NUMBER EIGHTEEN SHALL BE CONSTRUED IN ACCORDANCE WITH, AND GOVERNED BY, THE LAWS OF THE STATE OF NEW YORK, WITHOUT GIVING EFFECT TO THE CONFLICT OF LAWS PRINCIPLES THEREOF (EXCEPT FOR SECTION 5-1401 OF THE NEW YORK GENERAL OBLIGATIONS LAW WHICH SHALL GOVERN).

SECTION 5. Counterparts. This Amendment Number Eighteen may be executed by each of the parties hereto on any number of separate counterparts, each of which shall be an original and all of which taken together shall constitute one and the same instrument.

SECTION 6. Limited Effect. Except as amended hereby, the Agreement shall continue in full force and effect in accordance with its terms. Reference to this Amendment Number Eighteen need not be made in the Agreement or any other instrument or document executed in connection therewith, or in any certificate, letter or communication issued or made pursuant to, or with respect to, the Agreement, any reference in any of such items to the Agreement being sufficient to refer to the Agreement as amended hereby.

[Signature Page Follows]

IN WITNESS WHEREOF, Sellers, Servicer and Buyer have caused this Amendment Number Eighteen to be executed and delivered by their duly authorized officers as of the date hereof.

PENNYMAC CORP.
(Seller)
By:	/s/	Pamela Marsh
Name:		Pamela Marsh
Title:		Executive Vice President, Treasurer
PENNYMAC HOLDINGS, LLC
(Seller)
By:	/s/	Pamela Marsh
Name:		Pamela Marsh
Title:		Executive Vice President, Treasurer
PENNYMAC LOAN SERVICES, LLC,
(Servicer)
By:	/s/	Pamela Marsh
Name:		Pamela Marsh
Title:		Executive Vice President, Treasurer
CITIBANK, N.A.
(Buyer and Agent, as applicable)
By:	/s/	Susan Mills
Name:		Susan Mills
Title:		Vice President
		Citibank, N.A.

Acknowledged:
PENNYMAC MORTGAGE INVESTMENT TRUST
By:	/s/	Pamela Marsh
Name:		Pamela Marsh
Title:		Managing Director, Treasurer

Amendment Number 18 to Master Repurchase Agreement REIT-NPL

EXHIBIT A TO AMENDMENT NUMBER EIGHTEEN

EXHIBIT J

FORM OF POWER OF ATTORNEY

KNOW ALL MEN BY THESE PRESENTS:

WHEREAS, CITIBANK, N.A. (the “Buyer”) and [PENNYMAC CORP.] [PENNYMAC HOLDINGS, LLC] (“Seller”) have entered into the Master Repurchase Agreement dated as of December 9, 2010 (as amended, restated, supplemented or otherwise modified, the “Repurchase Agreement”) pursuant to which Buyer has agreed to provide financing from time to time with respect to certain mortgage loans (the “Assets”) subject to the terms therein; and

WHEREAS, Seller has agreed to give to Buyer a power of attorney on the terms and conditions contained herein in order for Buyer to take any action that Buyer may deem necessary or advisable to accomplish the purposes of the Repurchase Agreement.

NOW THEREFORE, Seller hereby irrevocably constitutes and appoints Buyer and any officer or agent thereof, with full power of substitution, as its true and lawful attorney-in-fact with full irrevocable power and authority in the place and stead of Seller and in the name of Seller or in its own name, from time to time in Buyer’s discretion:

(i) in the name of Seller, or in its own name, or otherwise, to take possession of and endorse and collect any checks, drafts, notes, acceptances or other instruments for the payment of moneys due with respect to any Assets and to file any claim or to take any other action or proceeding in any court of law or equity or otherwise deemed appropriate by Buyer for the purpose of collecting any and all such moneys due with respect to any Assets whenever payable;

(ii) to pay or discharge taxes and liens levied or placed on or threatened against the Assets;

(iii) (A) to direct any party liable for any payment under any Assets to make payment of any and all moneys due or to become due thereunder directly to Buyer or as Buyer shall direct, including, without limitation, to send “goodbye” letters and Section 404 Notices on behalf of Seller and any applicable Servicer; (B) to ask or demand for, collect, receive payment of and receipt for, any and all moneys, claims and other amounts due or to become due at any time in respect of or arising out of any Assets; (C) to sign and endorse any invoices, assignments, verifications, notices and other documents in connection with any Assets; (D) to commence and prosecute any suits, actions or proceedings at law or in equity in any court of competent jurisdiction to collect the Purchased Items or any proceeds thereof and to enforce any other right in respect of any Assets; (E) to defend any suit, action or proceeding brought against Seller with respect to any Assets; (F) to settle, compromise or adjust any suit, action or proceeding described in clause (E) above and, in connection therewith, to give such discharges or releases as Buyer may deem appropriate; and (G) generally, to sell, transfer, pledge and make any agreement with respect to or otherwise deal with any Assets as fully and completely as though Buyer were the absolute owner thereof

Amendment Number 18 to Master Repurchase Agreement REIT-NPL

for all purposes, and to do, at Buyer’s option and Seller’s expense, at any time, and from time to time, all acts and things which Buyer deems necessary to protect, preserve or realize upon the Assets and Buyer’s Liens thereon and to effect the intent of the Repurchase Agreement, all as fully and effectively as Seller might do;

(iv) for the purpose of effecting the transfer of servicing with respect to the Assets from Seller and any applicable Servicer to a successor servicer appointed by Buyer in its sole discretion and to take any and all appropriate action and to execute any and all documents and instruments which may be necessary or desirable to accomplish such transfer of servicing, and, without limiting the generality of the foregoing, Seller hereby gives Buyer the power and right, on behalf of Seller, without assent by Seller, to, in the name of Seller or its own name, or otherwise, prepare and send or cause to be sent “good-bye” letters and Section 404 Notices on behalf of Seller and any applicable Servicer in connection with such transfer of servicing; and

(v) for the purpose of delivering any notices of sale to mortgagors or other third parties, including without limitation, those required by law.

Seller hereby ratifies all that said attorneys shall lawfully do or cause to be done by virtue hereof. This power of attorney is a power coupled with an interest and shall be irrevocable.

Seller also authorizes Buyer, from time to time, to execute, in connection with any sale, any endorsements, assignments or other instruments of conveyance or transfer with respect to the Assets.

The powers conferred on Buyer hereunder are solely to protect Buyer’s interests in the Assets and shall not impose any duty upon it to exercise any such powers. Buyer shall be accountable only for amounts that it actually receives as a result of the exercise of such powers, and neither it nor any of its officers, directors, employees or agents shall be responsible to Seller for any act or failure to act hereunder, except for its or their own gross negligence or willful misconduct.

IN ORDER TO INDUCE ANY THIRD PARTY TO ACT HEREUNDER, SELLER HEREBY AGREES THAT ANY THIRD PARTY RECEIVING A DULY EXECUTED COPY OR FACSIMILE OF THIS INSTRUMENT MAY ACT HEREUNDER, AND THAT REVOCATION OR TERMINATION HEREOF SHALL BE INEFFECTIVE AS TO SUCH THIRD PARTY UNLESS AND UNTIL ACTUAL NOTICE OR KNOWLEDGE OF SUCH REVOCATION OR TERMINATION SHALL HAVE BEEN RECEIVED BY SUCH THIRD PARTY, AND Seller ON ITS OWN BEHALF AND ON BEHALF OF SELLER’S ASSIGNS, HEREBY AGREES TO INDEMNIFY AND HOLD HARMLESS ANY SUCH THIRD PARTY FROM AND AGAINST ANY AND ALL CLAIMS THAT MAY ARISE AGAINST SUCH THIRD PARTY BY REASON OF SUCH THIRD PARTY HAVING RELIED ON THE PROVISIONS OF THIS INSTRUMENT.

[REMAINDER OF PAGE INTENTIONALLY BLANK. SIGNATURES FOLLOW.]

Amendment Number 18 to Master Repurchase Agreement REIT-NPL

IN WITNESS WHEREOF Seller has caused this Power of Attorney to be duly executed and Seller’s seal to be affixed this      day of                     , 2014.

[PENNYMAC CORP.] [PENNYMAC HOLDINGS, LLC],

as Seller

By:

Name:

Title:

STATE OF	)
	)	ss.:
COUNTY OF	)

On the      day of                     , 20    , before me, the undersigned, a Notary Public in and for said state, personally appeared                                          , personally known to me or proved to me on the basis of satisfactory evidence to be the person whose name is subscribed to the foregoing instrument, and acknowledged to me that                      executed the same in                      capacity as the Principal, that, by                      signature on the foregoing instrument,                      executed the same, and that                      executed the same in the City of                     , County of                      and State of                     .

Notary Public

(SEAL)

Amendment Number 18 to Master Repurchase Agreement REIT-NPL

EX-10.53

Exhibit 10.53

EXECUTION

AMENDMENT NO. 7

TO AMENDED AND RESTATED MASTER REPURCHASE AGREEMENT

Amendment No. 7, dated as of February 21, 2014 (this “Amendment”), among CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC (the “Buyer”), PENNYMAC CORP. and PENNYMAC HOLDINGS, LLC (each a “Seller” and collectively, the “Sellers”) and PENNYMAC MORTGAGE INVESTMENT TRUST (the “Guarantor”).

RECITALS

The Buyer, the Sellers and the Guarantor are parties to that certain Amended and Restated Master Repurchase Agreement, dated as of August 25, 2011 (as amended by Amendment No. 1, dated as of June 6, 2012, Amendment No. 2, dated as of March 28, 2013, Amendment No. 3, dated as of May 8, 2013, Amendment No. 4, dated as of October 1, 2013, Amendment No. 5, dated as of December 27, 2013, and Amendment No. 6, dated as of December 31, 2013, the “Existing Repurchase Agreement”; and as further amended by this Amendment, the “Repurchase Agreement”). The Guarantor is party to that certain Guaranty (the “Guaranty”), dated as of June 8, 2011, as the same may be amended from time to time, by the Guarantor in favor of Buyer. Capitalized terms used but not otherwise defined herein shall have the meanings given to them in the Existing Repurchase Agreement and Guaranty, as applicable.

The Buyer, the Sellers and the Guarantor have agreed, subject to the terms and conditions of this Amendment, that the Existing Repurchase Agreement be amended to reflect certain agreed upon revisions to the terms of the Existing Repurchase Agreement. As a condition precedent to amending the Existing Repurchase Agreement, the Buyer has required the Guarantor to ratify and affirm the Guaranty on the date hereof.

Accordingly, the Buyer, the Sellers and the Guarantor hereby agree, in consideration of the mutual promises and mutual obligations set forth herein, that the Existing Repurchase Agreement is hereby amended as follows:

SECTION 1. Commitment Fee. Section 34 of the Existing Repurchase Agreement is hereby amended by deleting such section in its entirety and replacing it with the following:

34. Commitment Fee

Sellers shall pay to Buyer in immediately available funds a non-refundable Commitment Fee. The Commitment Fee shall be paid as set forth in the Pricing Side Letter. All such payments shall be made in Dollars, in immediately available funds, without deduction, set-off or counterclaim, to Buyer at such account designated by Buyer.

SECTION 2. Conditions Precedent. This Amendment shall become effective as of January 1, 2014 (the “Amendment Effective Date”), subject to the satisfaction of the following conditions precedent:

2.1 Delivered Documents. On the date hereof, the Buyer shall have received the following documents, each of which shall be satisfactory to the Buyer in form and substance:

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(a) this Amendment, executed and delivered by duly authorized officers of the Buyer, the Sellers and the Guarantor;

(b) Amendment No. 6 to that certain Amended and Restated Pricing Side Letter, dated as of the date hereof, executed and delivered by duly authorized officers of the Buyer, the Sellers and the Guarantor; and

(c) such other documents as the Buyer or counsel to the Buyer may reasonably request.

SECTION 3. Representations and Warranties. Each Seller hereby represents and warrants to the Buyer that it is in compliance with all the terms and provisions set forth in the Repurchase Agreement on its part to be observed or performed, and that no Event of Default has occurred and is continuing, and hereby confirms and reaffirms the representations and warranties contained in Section 13 of the Repurchase Agreement.

SECTION 4. Limited Effect. Except as expressly amended and modified by this Amendment, the Existing Repurchase Agreement shall continue to be, and shall remain, in full force and effect in accordance with its terms.

SECTION 5. Counterparts. This Amendment may be executed by each of the parties hereto on any number of separate counterparts (including by facsimile or .pdf), each of which shall be an original and all of which taken together shall constitute one and the same instrument.

SECTION 6. Severability. Each provision and agreement herein shall be treated as separate and independent from any other provision or agreement herein and shall be enforceable notwithstanding the unenforceability of any such other provision or agreement.

SECTION 7. GOVERNING LAW. THIS AMENDMENT SHALL BE GOVERNED BY, AND CONSTRUED IN ACCORDANCE WITH, THE LAWS OF THE STATE OF NEW YORK WITHOUT REFERENCE TO THE CHOICE OF LAW PROVISIONS THEREOF.

SECTION 8. Reaffirmation of Guaranty. The Guarantor hereby ratifies and affirms all of the terms, covenants, conditions and obligations of the Guaranty and acknowledges and agrees that the term “Obligations” as used in the Guaranty shall apply to all of the Obligations of Sellers to Buyer under the Repurchase Agreement and Pricing Side Letter, as amended hereby.

[Remainder of page intentionally left blank]

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IN WITNESS WHEREOF, the parties have caused their names to be signed hereto by their respective officers thereunto duly authorized as of the day and year first above written.

Credit Suisse First Boston Mortgage Capital LLC, as Buyer
By:	/s/ Adam Loskove
	Name: Adam Loskove
	Title:   Vice President
PennyMac Corp., as a Seller
By:	/s/ Pamela Marsh
	Name: Pamela Marsh
	Title:   Executive Vice President, Treasurer
PennyMac Holdings, LLC, as a Seller
By:	/s/ Pamela Marsh
	Name: Pamela Marsh
	Title:   Executive Vice President, Treasurer
PennyMac Mortgage Investment Trust, as Guarantor
By:	/s/ Pamela Marsh
	Name: Pamela Marsh
	Title:   Executive Vice President, Treasurer

Signature Page to Amendment No. 7 to Amended and Restated Master Repurchase Agreement

EX-10.54

Exhibit 10.54

PENNYMAC NPL FACILITY EXECUTION

AMENDMENT NO. 8

TO AMENDED AND RESTATED MASTER REPURCHASE AGREEMENT

Amendment No. 8 to Amended and Restated Master Repurchase Agreement, dated as of October 31, 2014 (this “Amendment”), among Credit Suisse First Boston Mortgage Capital LLC (the “Buyer”), PennyMac Corp. and PennyMac Holdings, LLC (each a “Seller” and collectively, the “Sellers”) and PennyMac Mortgage Investment Trust (the “Guarantor”).

RECITALS

The Buyer, the Sellers and the Guarantor are parties to that certain Amended and Restated Master Repurchase Agreement, dated as of August 25, 2011 (as amended by Amendment No. 1, dated as of June 6, 2012, Amendment No. 2, dated as of March 28, 2013, Amendment No. 3, dated as of May 8, 2013, Amendment No. 4, dated as of October 1, 2013, Amendment No. 5, dated as of December 27, 2013, Amendment No. 6, dated as of December 31, 2013, and Amendment No. 7, dated as of February 21, 2014, the “Existing Repurchase Agreement”; and as further amended by this Amendment, the “Repurchase Agreement”) and the related Amended and Restated Pricing Side Letter (as amended, restated, supplemented or otherwise modified from time to time, the “Pricing Side Letter”). The Guarantor is party to that certain Guaranty (as amended, restated, supplemented or otherwise modified from time to time, the “Guaranty”), dated as of June 8, 2011, by the Guarantor in favor of Buyer. Capitalized terms used but not otherwise defined herein shall have the meanings given to them in the Existing Repurchase Agreement and Guaranty, as applicable.

The Buyer, the Sellers and the Guarantor have agreed, subject to the terms and conditions of this Amendment, that the Existing Repurchase Agreement be amended to reflect certain agreed upon revisions to the terms of the Existing Repurchase Agreement. As a condition precedent to amending the Existing Repurchase Agreement, the Buyer has required the Guarantor to ratify and affirm the Guaranty on the date hereof.

Accordingly, the Buyer, the Sellers and the Guarantor hereby agree, in consideration of the mutual promises and mutual obligations set forth herein, that the Existing Repurchase Agreement is hereby amended as follows:

SECTION 1. Definitions. Section 2 of the Existing Repurchase Agreement is hereby amended by deleting the definition of “Termination Date” in its entirety and replacing it with the following:

“Termination Date” means the earliest of (a) October 30, 2015, and (b) the date of the occurrence of an Event of Default.

SECTION 2. Representations and Warranties. Section 13 of the Existing Repurchase Agreement is hereby amended by deleting subsection (11) in its entirety and replacing it with the following:

(11) Litigation. There is no action, proceeding or investigation pending with respect to which either Seller or Guarantor has received service of process or, to the best of either Seller’s or Guarantor’s knowledge threatened against it before any court,

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administrative agency or other tribunal (A) asserting the invalidity of any Program Agreement, (B) seeking to prevent the consummation of any of the transactions contemplated any Program Agreement, (C) makes a claim individually or in the aggregate in an amount greater than $10,000,000, (D) which requires filing with the Securities and Exchange Commission in accordance with the 1934 Act or any rules thereunder or (E) which might materially and adversely affect the validity of the Purchased Assets, Trust Mortgage Loans or REO Properties or the performance by it of its obligations under, or the validity or enforceability of any Program Agreement.

SECTION 3. Covenants. Section 14 of the Existing Repurchase Agreement is hereby amended by deleting subsections (a) and (dd)(ii) in their entirety and replacing them with the following:

a. Litigation. Each Seller and Guarantor, as applicable, will promptly, and in any event within ten (10) days after service of process on any of the following, give to Buyer notice of all litigation, actions, suits, arbitrations, investigations (including, without limitation, any of the foregoing which are threatened or pending) or other legal or arbitrable proceedings affecting Sellers, Guarantor or any of their Subsidiaries or affecting any of the Property of any of them before any Governmental Authority that (i) questions or challenges the validity or enforceability of any of the Program Agreements or any action to be taken in connection with the transactions contemplated hereby, (ii) makes a claim individually or in the aggregate in an amount greater than $10,000,000, or (iii) which, individually or in the aggregate, if adversely determined, could be reasonably likely to have a Material Adverse Effect. Each Seller and Guarantor, as applicable, will promptly provide notice of any judgment, which with the passage of time, if adversely decided, could reasonably be expected to cause an Event of Default hereunder.

(ii) Indebtedness to Adjusted Tangible Net Worth Ratio. PennyMac Corp.’s ratio of Indebtedness (on and off balance sheet) to Adjusted Tangible Net Worth shall not exceed 10:1. PennyMac Holdings’ ratio of Indebtedness (on and off balance sheet) to Adjusted Tangible Net Worth shall not exceed 10:1. PMIT’s ratio of Indebtedness (on and off balance sheet) to Adjusted Tangible Net Worth shall not exceed 5:1.

SECTION 4. Events of Default. Section 15 of the Existing Repurchase Agreement is hereby amended by deleting subsection (k) in its entirety and replacing it with the following:

k. Judgment. A final judgment or judgments for the payment of money in excess of $10,000,000 in the aggregate shall be rendered against any Seller, Guarantor, any Servicer or any of their respective Affiliates by one or more courts, administrative tribunals or other bodies having jurisdiction and the same shall not be satisfied, discharged (or provision shall not be made for such discharge) or bonded, or a stay of execution thereof shall not be procured, within 30 days from the date of entry thereof.

SECTION 5. Conditions Precedent. This Amendment shall become effective as of the date hereof (the “Amendment Effective Date”), subject to the satisfaction of the following conditions precedent:

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5.1 Delivered Documents. On the Amendment Effective Date, the Buyer shall have received the following documents, each of which shall be satisfactory to the Buyer in form and substance:

(a) this Amendment, executed and delivered by duly authorized officers of the Buyer, the Sellers and the Guarantor;

(b) Amendment No. 8 to that certain Amended and Restated Pricing Side Letter, dated as of the date hereof, executed and delivered by duly authorized officers of the Buyer, the Sellers and the Guarantor; and

(c) such other documents as the Buyer or counsel to the Buyer may reasonably request.

SECTION 6. Representations and Warranties. Each Seller hereby represents and warrants to the Buyer that it is in compliance with all the terms and provisions set forth in the Repurchase Agreement on its part to be observed or performed, and that no Event of Default has occurred and is continuing, and hereby confirms and reaffirms the representations and warranties contained in Section 13 of the Repurchase Agreement.

SECTION 7. Limited Effect. Except as expressly amended and modified by this Amendment, the Existing Repurchase Agreement shall continue to be, and shall remain, in full force and effect in accordance with its terms.

SECTION 8. Counterparts. This Amendment may be executed by each of the parties hereto on any number of separate counterparts (including by facsimile or .pdf), each of which shall be an original and all of which taken together shall constitute one and the same instrument.

SECTION 9. Severability. Each provision and agreement herein shall be treated as separate and independent from any other provision or agreement herein and shall be enforceable notwithstanding the unenforceability of any such other provision or agreement.

SECTION 10. GOVERNING LAW. THIS AMENDMENT SHALL BE GOVERNED BY, AND CONSTRUED IN ACCORDANCE WITH, THE LAWS OF THE STATE OF NEW YORK WITHOUT REFERENCE TO THE CHOICE OF LAW PROVISIONS THEREOF.

SECTION 11. Reaffirmation of Guaranty. The Guarantor hereby ratifies and affirms all of the terms, covenants, conditions and obligations of the Guaranty and acknowledges and agrees that the term “Obligations” as used in the Guaranty shall apply to all of the Obligations of Sellers to Buyer under the Repurchase Agreement and Pricing Side Letter, as amended hereby.

[Remainder of page intentionally left blank]

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IN WITNESS WHEREOF, the parties have caused their names to be signed hereto by their respective officers thereunto duly authorized as of the day and year first above written.

Credit Suisse First Boston Mortgage Capital LLC, as Buyer
By:	/s/ Adam Loskove
	Name: Adam Loskove
	Title:   Vice President
PennyMac Corp., as a Seller
By:	/s/ Pamela Marsh
	Name: Pamela Marsh
	Title:   Executive Vice President, Treasurer
PennyMac Holdings, LLC, as a Seller
By:	/s/ Pamela Marsh
	Name: Pamela Marsh
	Title:   Executive Vice President, Treasurer
PennyMac Mortgage Investment Trust, as Guarantor
By:	/s/ Pamela Marsh
	Name: Pamela Marsh
	Title:   Executive Vice President, Treasurer

Signature Page to Amendment No. 8 to Amended and Restated Master Repurchase Agreement

EX-10.76

Exhibit 10.76

PENNYMAC INTERNAL REWAREHOUSE FACILITY EXECUTION

AMENDMENT NO. 13

TO MASTER REPURCHASE AGREEMENT

Amendment No. 13 to Master Repurchase Agreement, dated as of October 31, 2014 (this “Amendment”), among Credit Suisse First Boston Mortgage Capital LLC (the “Buyer”), PennyMac Holdings, LLC (“PennyMac Holdings”), PennyMac Operating Partnership, L.P., in its capacity as a seller (“POP” and together with PennyMac Holdings, the “Sellers”), PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P., in its capacity as a guarantor (each, a “Guarantor” and collectively, the “Guarantors”).

RECITALS

The Buyer, the Sellers and the Guarantors are parties to that certain Master Repurchase Agreement, dated as of March 29, 2012 (as amended by Amendment No. 1, dated as of July 25, 2012, Amendment No. 2, dated as of September 26, 2012, Amendment No. 3, dated as of October 29, 2012, Amendment No. 4, dated as of June 1, 2013, Amendment No. 5, dated as of August 29, 2013, Amendment No. 6, dated as of September 27, 2013, Amendment No. 7, dated as of October 1, 2013, Amendment No. 8, dated as of December 27, 2013, Amendment No. 9, dated as of December 31, 2013, Amendment No. 10, dated as of January 10, 2014, Amendment No. 11, dated as of February 21, 2014, and Amendment No. 12, dated as of May 22, 2014, the “Existing Repurchase Agreement”; and as further amended by this Amendment, the “Repurchase Agreement”) and the related Pricing Side Letter, dated as of March 29, 2012 (as amended, restated, supplemented or otherwise modified from time to time, the “Pricing Side Letter”). The Guarantors are parties to that certain Guaranty (as amended, restated, supplemented or otherwise modified from time to time, the “Guaranty”), dated as of March 29, 2012, by the Guarantors in favor of Buyer. Capitalized terms used but not otherwise defined herein shall have the meanings given to them in the Existing Repurchase Agreement and Guaranty, as applicable.

The Buyer, the Sellers and the Guarantors have agreed, subject to the terms and conditions of this Amendment, that the Existing Repurchase Agreement be amended to reflect certain agreed upon revisions to the terms of the Existing Repurchase Agreement. As a condition precedent to amending the Existing Repurchase Agreement, the Buyer has required the Guarantors to ratify and affirm the Guaranty on the date hereof.

Accordingly, the Buyer, the Sellers and the Guarantors hereby agree, in consideration of the mutual promises and mutual obligations set forth herein, that the Existing Repurchase Agreement is hereby amended as follows:

SECTION 1. Definitions. Section 2 of the Existing Repurchase Agreement is hereby amended by:

1.1 deleting the definition of “Termination Date” in its entirety and replacing it with the following:

“Termination Date” means the earliest of (a) October 30, 2015, and (b) the date of the occurrence of an Event of Default.

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1.2 deleting the definition of “PMITH” in its entirety.

1.3 adding the following definition in its proper alphabetical order:

“PennyMac Holdings” means PennyMac Holdings, LLC.

1.4 deleting all references to “PMITH” in their entirety and replacing them with “PennyMac Holdings”.

SECTION 2. Representations and Warranties. Section 13 of the Existing Repurchase Agreement is hereby amended by deleting subsection (11) in its entirety and replacing it with the following:

(11) Litigation. There is no action, proceeding or investigation pending with respect to which either Seller or either Guarantor has received service of process or, to the best of Seller’s or either Guarantor’s knowledge threatened against it before any court, administrative agency or other tribunal (A) asserting the invalidity of any Program Agreement, (B) seeking to prevent the consummation of any of the transactions contemplated any Program Agreement, (C) making a claim individually or in the aggregate in an amount greater than $10,000,000, (D) which requires filing with the Securities and Exchange Commission in accordance with the 1934 Act or any rules thereunder or (E) which might materially and adversely affect the validity of the Mortgage Loans or the performance by it of its obligations under, or the validity or enforceability of any Program Agreement.

SECTION 3. Covenants. Section 14 of the Existing Repurchase Agreement is hereby amended by deleting subsections (a) and (dd)(ii) in their entirety and replacing them with the following:

a. Litigation. Seller and each Guarantor, as applicable, will promptly, and in any event within ten (10) days after service of process on any of the following, give to Buyer notice of all litigation, actions, suits, arbitrations, investigations (including, without limitation, any of the foregoing which are threatened or pending) or other legal or arbitrable proceedings affecting Seller, Guarantors or any of their Subsidiaries or affecting any of the Property of any of them before any Governmental Authority that (i) questions or challenges the validity or enforceability of any of the Program Agreements or any action to be taken in connection with the transactions contemplated hereby, (ii) makes a claim individually or in the aggregate in an amount greater than $10,000,000, or (iii) which, individually or in the aggregate, if adversely determined, could be reasonably likely to have a Material Adverse Effect. Seller and each Guarantor, as applicable, will promptly provide notice of any judgment, which with the passage of time, could cause an Event of Default hereunder.

(ii) Indebtedness to Adjusted Tangible Net Worth Ratio. Underlying Repurchase Counterparty’s ratio of Indebtedness (on and off balance sheet) to Adjusted Tangible Net Worth shall not exceed 10:1. PennyMac Holdings’ ratio of Indebtedness (on and off balance sheet) to Adjusted Tangible Net Worth shall not exceed 10:1. PMIT’s

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ratio of Indebtedness (on and off balance sheet) to Adjusted Tangible Net Worth shall not exceed 5:1. PennyMac Operating Partnership, L.P.’s ratio of Indebtedness (on and off balance sheet) to Adjusted Tangible Net Worth shall not exceed 5:1.

SECTION 4. Events of Default. Section 15 of the Existing Repurchase Agreement is hereby amended by deleting subsection (k) in its entirety and replacing it with the following:

k. Judgment. A final judgment or judgments for the payment of money in excess of $10,000,000 in the aggregate shall be rendered against the Seller, Underlying Repurchase Counterparty or any of their Affiliates by one or more courts, administrative tribunals or other bodies having jurisdiction and the same shall not be satisfied, discharged (or provision shall not be made for such discharge) or bonded, or a stay of execution thereof shall not be procured, within 30 days from the date of entry thereof.

SECTION 5. Conditions Precedent. This Amendment shall become effective as of the date hereof (the “Amendment Effective Date”), subject to the satisfaction of the following conditions precedent:

5.1 Delivered Documents. On the Amendment Effective Date, the Buyer shall have received the following documents, each of which shall be satisfactory to the Buyer in form and substance:

(a) this Amendment, executed and delivered by duly authorized officers of the Buyer, the Sellers and the Guarantors;

(b) Amendment No. 8 to that certain Pricing Side Letter, dated as of the date hereof, executed and delivered by duly authorized officers of the Buyer, the Sellers and the Guarantors; and

(c) such other documents as the Buyer or counsel to the Buyer may reasonably request.

SECTION 6. Representations and Warranties. Each Seller hereby represents and warrants to the Buyer that it is in compliance with all the terms and provisions set forth in the Repurchase Agreement on its part to be observed or performed, and that no Event of Default has occurred and is continuing, and hereby confirms and reaffirms the representations and warranties contained in Section 13 of the Repurchase Agreement.

SECTION 7. Limited Effect. Except as expressly amended and modified by this Amendment, the Existing Repurchase Agreement shall continue to be, and shall remain, in full force and effect in accordance with its terms.

SECTION 8. Counterparts. This Amendment may be executed by each of the parties hereto on any number of separate counterparts, each of which shall be an original and all of which taken together shall constitute one and the same instrument.

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SECTION 9. Severability. Each provision and agreement herein shall be treated as separate and independent from any other provision or agreement herein and shall be enforceable notwithstanding the unenforceability of any such other provision or agreement.

SECTION 10. GOVERNING LAW. THIS AMENDMENT SHALL BE GOVERNED BY, AND CONSTRUED IN ACCORDANCE WITH, THE LAWS OF THE STATE OF NEW YORK WITHOUT REFERENCE TO THE CHOICE OF LAW PROVISIONS THEREOF.

SECTION 11. Reaffirmation of Guaranty. The Guarantors hereby ratify and affirm all of the terms, covenants, conditions and obligations of the Guaranty and acknowledge and agree that the term “Obligations” as used in the Guaranty shall apply to all of the Obligations of Sellers to Buyer under the Repurchase Agreement, as amended hereby.

[Remainder of page intentionally left blank]

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IN WITNESS WHEREOF, the parties have caused their names to be signed hereto by their respective officers thereunto duly authorized as of the day and year first above written.

Credit Suisse First Boston Mortgage Capital LLC, as Buyer
By:	/s/ Adam Loskove
	Name: Adam Loskove
	Title:   Vice President
PennyMac Holdings, LLC, as Seller
By:	/s/ Pamela Marsh
	Name: Pamela Marsh
	Title:   Executive Vice President, Treasurer
PennyMac Mortgage Investment Trust, as Guarantor
By:	/s/ Pamela Marsh
	Name: Pamela Marsh
	Title:   Executive Vice President, Treasurer
PennyMac Operating Partnership, L.P., as Seller and Guarantor
By: PennyMac GP OP, Inc., its General Partner
By:	/s/ Pamela Marsh
	Name: Pamela Marsh
	Title:   Executive Vice President, Treasurer

Signature Page to Amendment No. 13 to Master Repurchase Agreement

EX-10.86

Exhibit 10.86

EXECUTION VERSION

AMENDMENT NUMBER EIGHT

to the

MASTER REPURCHASE AGREEMENT

Dated as of May 24, 2012,

among

PENNYMAC CORP.,

PENNYMAC LOAN SERVICES, LLC

and

CITIBANK, N.A.

This AMENDMENT NUMBER EIGHT (this “Amendment Number Eight”) is made this 24^th day of July, 2014 (the “Effective Date”), among PENNYMAC CORP. (“Seller”), PENNYMAC LOAN SERVICES, LLC (“Servicer”) and CITIBANK, N.A. (“Buyer”), to the Master Repurchase Agreement, dated as of May 24, 2012, among Seller, Servicer and Buyer, as such agreement may be amended from time to time (the “Agreement”). Capitalized terms used but not otherwise defined herein shall have the meanings assigned to such terms in the Agreement.

RECITALS

WHEREAS, Seller and Buyer have agreed to extend the term of the Agreement, provide for an additional commitment fee, and to modify certain definitions, as more specifically set forth herein; and

WHEREAS, as of the date hereof, Seller represents to Buyer that the Seller Parties are in full compliance with all of the terms and conditions of the Agreement and each other Program Document and no Default or Event of Default has occurred and is continuing under the Agreement or any other Program Document.

NOW THEREFORE, for good and valuable consideration, the receipt and sufficiency of which are hereby acknowledged, and for the mutual covenants herein contained, the parties hereto hereby agree as follows:

SECTION 1. Amendment. Effective as the Effective Date, the Agreement is hereby amended as follows:

(a) Section 2 of the Agreement is hereby amended by adding the new definition of “2014 First Extension Fee” in the appropriate alphabetical order to read as follows:

“2014 First Extension Commitment Fee” shall have the meaning assigned to it in the Pricing Side Letter.

(b) Section 2 of the Agreement is hereby amended by deleting the definition of “Termination Date” in its entirety and replacing it with the following:

“Termination Date” shall mean August 7, 2014 or such earlier date on which this Agreement shall terminate in accordance with the provisions hereof or by operation of law.

SECTION 2. Fees and Expenses. Seller agrees to pay to Buyer all reasonable out of pocket costs and expenses incurred by Buyer in connection with this Amendment Number Eight (including any Commitment Fee due an payable, all reasonable fees and out of pocket costs and expenses of the Buyer’s legal counsel) in accordance with Sections 23 and 25 of the Agreement.

SECTION 3. Condition Precedent. As a condition precedent to the effectiveness of this Amendment Number Eight, if not otherwise paid pursuant to Sections 2 and 3 of Amendment Number Sixteen to the NPL Repurchase Agreement, Buyer shall have received from Seller an amount equal to the 2014 First Extension Fee in immediately available funds, and without deduction, set-off or counterclaim in accordance with Buyer’s Wire Instructions.

SECTION 4. Representations. Seller hereby represents to Buyer that as of the date hereof, Seller is in full compliance with all of the terms and conditions of the Agreement and each other Program Document and no Default or Event of Default has occurred and is continuing under the Agreement or any other Program Document.

SECTION 5. Binding Effect; Governing Law. This Amendment Number Eight shall be binding and inure to the benefit of the parties hereto and their respective successors and permitted assigns. THIS AMENDMENT NUMBER EIGHT SHALL BE CONSTRUED IN ACCORDANCE WITH, AND GOVERNED BY, THE LAWS OF THE STATE OF NEW YORK, WITHOUT GIVING EFFECT TO THE CONFLICT OF LAWS PRINCIPLES THEREOF (EXCEPT FOR SECTION 5-1401 OF THE NEW YORK GENERAL OBLIGATIONS LAW).

SECTION 6. Counterparts. This Amendment Number Eight may be executed by each of the parties hereto on any number of separate counterparts, each of which shall be an original and all of which taken together shall constitute one and the same instrument.

SECTION 7. Limited Effect. Except as amended hereby, the Agreement shall continue in full force and effect in accordance with its terms. Reference to this Amendment Number Eight need not be made in the Agreement or any other instrument or document executed in connection therewith, or in any certificate, letter or communication issued or made pursuant to, or with respect to, the Agreement, any reference in any of such items to the Agreement being sufficient to refer to the Agreement as amended hereby.

[Signature Page Follows]

2

IN WITNESS WHEREOF, Seller, Servicer and Buyer have caused this Amendment Number Eight to be executed and delivered by their duly authorized officers as of the day and year first above written.

PENNYMAC CORP.
(Seller)
By:	/s/	Pamela Marsh
Name:		Pamela Marsh
Title:		Executive Vice President, Treasurer
PENNYMAC LOAN SERVICES, LLC,
(Servicer)
By:	/s/	Pamela Marsh
Name:		Pamela Marsh
Title:		Executive Vice President, Treasurer
CITIBANK, N.A.
(Buyer)
By:	/s/	Susan Mills
Name:		Susan Mills
Title:		Vice President
		Citibank, N.A.

Amendment Number Eight to Master Repurchase Agreement (PMAC Agency)

EX-10.87

Exhibit 10.87

EXECUTION VERSION

AMENDMENT NUMBER NINE

to the

MASTER REPURCHASE AGREEMENT

Dated as of May 24, 2012,

among

PENNYMAC CORP.,

PENNYMAC LOAN SERVICES, LLC

and

CITIBANK, N.A.

This AMENDMENT NUMBER NINE (this “Amendment Number Nine”) is made this 7^th day of August, 2014 (the “Effective Date”), among PENNYMAC CORP. (“Seller”), PENNYMAC LOAN SERVICES, LLC (“Servicer”) and CITIBANK, N.A. (“Buyer”), to the Master Repurchase Agreement, dated as of May 24, 2012, among Seller, Servicer and Buyer, as such agreement may be amended from time to time (the “Agreement”). Capitalized terms used but not otherwise defined herein shall have the meanings assigned to such terms in the Agreement.

RECITALS

WHEREAS, Seller and Buyer have agreed to extend the term of the facility, as more specifically set forth herein; and

WHEREAS, as of the date hereof, Seller represents to Buyer that the Seller Parties are in full compliance with all of the terms and conditions of the Agreement and each other Program Document and no Default or Event of Default has occurred and is continuing under the Agreement or any other Program Document.

NOW THEREFORE, for good and valuable consideration, the receipt and sufficiency of which are hereby acknowledged, and for the mutual covenants herein contained, the parties hereto hereby agree as follows:

SECTION 1. Amendment. Effective as the Effective Date, the Agreement is hereby amended as follows:

(a) Section 2 of the Agreement is hereby amended by adding the new definition of “2014 Second Extension Fee” in the appropriate alphabetical order to read as follows:

“2014 Second Extension Fee” shall have the meaning assigned to it in the Pricing Side Letter.

(b) Section 2 of the Agreement is hereby amended by deleting the definition of “Termination Date” in its entirety and replacing it with the following:

“Termination Date” shall mean September 8, 2014 or such earlier date on which this Agreement shall terminate in accordance with the provisions hereof or by operation of law.

SECTION 2. Fees and Expenses. Seller agrees to pay to Buyer all reasonable out of pocket costs and expenses incurred by Buyer in connection with this Amendment Number Nine (including any Commitment Fee or extension fee due and payable, all reasonable fees and out of pocket costs and expenses of the Buyer’s legal counsel) in accordance with Sections 23 and 25 of the Agreement.

SECTION 3. Condition Precedent. As a condition precedent to the effectiveness of this Amendment Number Nine, if not otherwise paid pursuant to Sections 2 and 3 of Amendment Number Seventeen to the NPL Repurchase Agreement, Buyer shall have received from Seller an amount equal to the 2014 Second Extension Fee in immediately available funds, and without deduction, set-off or counterclaim in accordance with Buyer’s Wire Instructions.

SECTION 4. Representations. Seller hereby represents to Buyer that as of the date hereof, Seller is in full compliance with all of the terms and conditions of the Agreement and each other Program Document and no Default or Event of Default has occurred and is continuing under the Agreement or any other Program Document.

SECTION 5. Binding Effect; Governing Law. This Amendment Number Nine shall be binding and inure to the benefit of the parties hereto and their respective successors and permitted assigns. THIS AMENDMENT NUMBER NINE SHALL BE CONSTRUED IN ACCORDANCE WITH, AND GOVERNED BY, THE LAWS OF THE STATE OF NEW YORK, WITHOUT GIVING EFFECT TO THE CONFLICT OF LAWS PRINCIPLES THEREOF (EXCEPT FOR SECTION 5-1401 OF THE NEW YORK GENERAL OBLIGATIONS LAW).

SECTION 6. Counterparts. This Amendment Number Nine may be executed by each of the parties hereto on any number of separate counterparts, each of which shall be an original and all of which taken together shall constitute one and the same instrument.

SECTION 7. Limited Effect. Except as amended hereby, the Agreement shall continue in full force and effect in accordance with its terms. Reference to this Amendment Number Nine need not be made in the Agreement or any other instrument or document executed in connection therewith, or in any certificate, letter or communication issued or made pursuant to, or with respect to, the Agreement, any reference in any of such items to the Agreement being sufficient to refer to the Agreement as amended hereby.

[Signature Page Follows]

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IN WITNESS WHEREOF, Seller, Servicer and Buyer have caused this Amendment Number Nine to be executed and delivered by their duly authorized officers as of the day and year first above written.

PENNYMAC CORP.
(Seller)
By:	/s/	Pamela Marsh
Name:		Pamela Marsh
Title:		Executive Vice President, Treasurer
PENNYMAC LOAN SERVICES, LLC,
(Servicer)
By:	/s/	Pamela Marsh
Name:		Pamela Marsh
Title:		Executive Vice President, Treasurer
CITIBANK, N.A.
(Buyer)
By:	/s/	Peter D. Steinmetz
Name:		Peter D. Steinmetz
Title:		Vice President
		Citibank, N.A.

Amendment Number Nine to Master Repurchase Agreement (PMAC Agency)

EX-10.88

Exhibit 10.88

EXECUTION

AMENDMENT NUMBER TEN

to the

MASTER REPURCHASE AGREEMENT

Dated as of May 24, 2012,

among

PENNYMAC CORP.,

PENNYMAC LOAN SERVICES, LLC

and

CITIBANK, N.A.

This AMENDMENT NUMBER TEN (this “Amendment Number Ten”) is made this 8^th day of September, 2014 (the “Effective Date”), among PENNYMAC CORP. (“Seller”), PENNYMAC LOAN SERVICES, LLC (“Servicer”) and CITIBANK, N.A. (“Buyer”), to the Master Repurchase Agreement, dated as of May 24, 2012, among Seller, Servicer and Buyer, as such agreement may be amended from time to time (the “Agreement”). Capitalized terms used but not otherwise defined herein shall have the meanings assigned to such terms in the Agreement.

RECITALS

WHEREAS, Seller and Buyer have agreed to renew the term of the facility and to make certain additional modifications thereunder, as more specifically set forth herein; and

WHEREAS, as of the date hereof, Seller represents to Buyer that the Seller Parties are in full compliance with all of the terms and conditions of the Agreement and each other Program Document and no Default or Event of Default has occurred and is continuing under the Agreement or any other Program Document.

NOW THEREFORE, for good and valuable consideration, the receipt and sufficiency of which are hereby acknowledged, and for the mutual covenants herein contained, the parties hereto hereby agree as follows:

SECTION 1. Amendment. Effective as the Effective Date, the Agreement is hereby amended as follows:

(a) The reference to Exhibit J in the Table of Contents is hereby deleted in its entirety and replaced with the following:

“EXHIBIT J Form of Power of Attorney”

(b) Section 2 of the Agreement is hereby amended by deleting the definitions of “2013 Additional Commitment Fee”, “2013 First Extension Commitment Fee” and “2014 First Extension Fee.

(c) Section 2 of the Agreement is hereby amended by adding the new definitions of “Ability to Repay Rule”, Basel III”, “Dodd-Frank Act”, “Jumbo Cash-Out Refinanced Loan”, “Official Body”, “QM Rule”, “Qualified Mortgage”, “Refi Mortgage Loan”, “Safe Harbor Qualified Mortgage”, as follows in the appropriate alphabetical order:

“Ability to Repay Rule” shall mean 12 CFR 1026.43(c), including all applicable official staff commentary.

“Basel III” means “A Global Regulatory Framework for More Resilient Banks and Banking Systems” developed by the Basel Committee on Banking Supervision (or any successor or similar authority), initially published in December 2010.

“Dodd-Frank Act” means the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010, Pub. L. No. 111-203 and any successor statute.

“Jumbo Cash-Out Refinanced Loan” A Jumbo Loan, the proceeds of which were in excess of the principal balance of any existing first and/or subordinate mortgages on the related Mortgaged Property and related closing costs, and were used to pay any such existing first and/or subordinate mortgages and the related closing costs on the related Mortgaged Property.

“Official Body” means any central bank or any accounting board or authority (whether or not part of a government) which is responsible for the establishment or interpretation of national or international accounting principles, in each case whether foreign or domestic.

“QM Rule” shall mean 12 CFR 1026.43(e), including all applicable official staff commentary.

“Qualified Mortgage” shall mean a Loan that satisfies the criteria for a “qualified mortgage” as set forth in 12 CFR 1026.43(e)(4) as further limited by 12 CFR 1026.43(e)(1)(i).

“Refi Mortgage Loan” shall mean a Loan as to which a “refinancing” has occurred, as defined in 12 CFR 1026.20(a).

“Safe Harbor Qualified Mortgage” shall mean a Qualified Mortgage with an annual percentage rate that does not exceed the average prime offer rate for a comparable mortgage loan as of the date the interest rate is set by 1.5 or more percentage points for a first-lien Loan or by 3.5 or more percentage points for a subordinate-lien Loan.

(d) Section 2 of the Agreement is hereby amended by deleting the definition of “Termination Date” in its entirety and replacing it with the following:

“Termination Date” shall mean September 7, 2015 or such earlier date on which this Agreement shall terminate in accordance with the provisions hereof or by operation of law.

(e) Section 3(i) of the Agreement is hereby amended by deleting the last paragraph therein in its entirety and replacing it with the following:

“If Buyer shall have determined that either (i) the adoption of or any change in any Requirement of Law (other than with respect to any amendment made to Buyer’s certificate of incorporation and by-laws or other organizational or governing documents) regarding capital adequacy or in the interpretation or application thereof or compliance by Buyer or any corporation controlling Buyer with any request or directive regarding capital adequacy (whether or not having the force of law) from any Governmental Authority or Official Body made subsequent to the date hereof; or (ii) compliance by Buyer or any corporation controlling Buyer with: (x) any directive or request from any Governing Authority or Official Body imposed after the date hereof or (y) the requirements of, whether such compliance is commenced prior to or after the date hereof,

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any of (a) Basel III or (b) the Dodd-Frank Act, or any existing rules, regulations, guidance, interpretations or directives from the United States bank regulatory agencies relating to Basel III or the Dodd-Frank Act; shall have the effect of reducing the rate of return on Buyer’s or such corporation’s capital (taking into consideration Buyer’s or such corporation’s policies with respect to capital adequacy) by an amount deemed by Buyer to be material and to the extent Buyer determines such reduced rate of return to be attributable to the existence of the obligations or agreements of Buyer hereunder, then from time to time, Seller shall promptly pay to Buyer such additional amount or amounts as will thereafter compensate Buyer for such reduction.”

(f) Section 9(b) of the Agreement is hereby amended by adding new clause (xvi) thereto as follows:

“(xvi) The Seller shall have delivered a power of attorney with respect to the powers described in Section 8(d) substantially in the form attached hereto as Exhibit J.”

(g) Section 12(b) of the Agreement is hereby amended by deleting and replacing each reference to “2011” therein with “2013”.

(h) Section 13(a)(vi) of the Agreement is hereby amended by deleting the clause in its entirety and replacing it with the following:

“From time to time (1) such other information regarding the financial condition, operations, well being or business of any Seller Party as Buyer may reasonably request, within two (2) Business Days of such request and (2) if such Loan was consummated on or after January 10, 2014, copies of all documentation in connection with the underwriting and origination of any Purchased Loan that evidences compliance with the Ability to Repay Rule and the QM Rule, as Buyer may reasonably request, as soon as possible but in any event no later than three (3) Business Days following such request;”

(i) Section 13(q)(iii) of the Agreement is hereby amended by deleting the clause in its entirety and replacing it with the following:

“(iii) Financial Covenants of Guarantor. (A) Guarantor’s Adjusted Tangible Net Worth is greater than or equal to $750,000,000; (B) the combined amount of unrestricted cash of Guarantor and its Subsidiaries is greater than or equal to $40,000,000; (C) the ratio of Guarantor’s Total Indebtedness to Adjusted Tangible Net Worth is not greater than 5:1; and (D) Guarantor’s consolidated net income has been equal to or greater than $1.00 for at least one (1) of the previous two (2) consecutive fiscal quarters, as of the end of the last fiscal quarter.”

(j) Section 18(q) is hereby amended by deleting the section in its entirety and replacing it with the following:

“(q) Any Seller Party or any Affiliate of a Seller Party shall default under, or fail to perform as required under, or shall otherwise breach the terms of any repurchase agreement, loan and security agreement, MSFTA/derivatives agreement, or similar credit facility or agreement for borrowed funds between any Seller Party or such other entity, on the one hand, and Buyer or any of Buyer’s Affiliates on the other; or a Seller Party shall default under, or fail to perform as

3

required under, the terms of any repurchase agreement, loan and security agreement or similar credit facility or agreement for borrowed funds with outstanding amount at least $10,000,000 entered into by such Seller Party, which default or failure entitles any party to cause acceleration or require prepayment of any indebtedness thereunder; or”

(k) Schedule 1 of the Agreement is hereby amended by deleting clause (aaa) in its entirety and replacing it with the following:

(aaa) FHA Loans. With respect to each FHA Loan, the Seller has provided the Buyer with all loan-level details available to Seller, including without limitation the related FHA case number and Mortgage Insurance Certificate number for such Loan and evidence of the payment (where available) of all FHA insurance fees. To the extent requested by Buyer, the Seller has provided the Buyer with a copy (in either physical or electronic format) of the related Mortgage Insurance Certificate, if such Mortgage Insurance Certificate is available.

(l) Schedule 1 of the Agreement is hereby amended by adding new clauses (xxx) and (yyy) as follows:

“(xxx) Qualified Mortgage. If the Loan is consummated on or after January 10, 2014 (including a Refi Mortgage Loan), such Loan satisfies the following criteria:

(i) Such Loan is a Qualified Mortgage;

(ii) Each Jumbo Loan is a Safe Harbor Qualified Mortgage and such Loan is accurately identified as a Safe Harbor Qualified Mortgage on the Loan Schedule;

(iii) Prior to the origination of such Loan, the related originator made a reasonable and good faith determination that the related Mortgagor would have a reasonable ability to repay such Loan according to its terms, in accordance with, at a minimum, the eight underwriting factors set forth in 12 CFR 1026.43(c)(2); and

(iv) Such Loan is supported by documentation that evidences compliance with 12 CFR 1026.43 (e) and 12 CFR 1026.43 (c)(2).

(yyy) Ability to Repay Rule; QM Rule. There are no actions, suits, arbitrations, investigations or proceedings pending or, to its knowledge, threatened against Seller that questions or challenges the compliance of the Loan with the Ability to Repay Rule or the QM Rule.”

(m) Exhibit J of the Agreement is hereby amended by deleting the exhibit in its entirety and replacing it with Exhibit A attached hereto.

SECTION 2. Fees and Expenses. Seller agrees to pay to Buyer all reasonable out of pocket costs and expenses incurred by Buyer in connection with this Amendment Number Ten (including any Commitment Fee due an payable, all reasonable fees and out of pocket costs and expenses of the Buyer’s legal counsel) in accordance with Sections 23 and 25 of the Agreement.

SECTION 3. Representations. Seller hereby represents to Buyer that as of the date hereof, Seller is in full compliance with all of the terms and conditions of the Agreement and each other

4

Program Document and no Default or Event of Default has occurred and is continuing under the Agreement or any other Program Document.

SECTION 4. Binding Effect; Governing Law. This Amendment Number Ten shall be binding and inure to the benefit of the parties hereto and their respective successors and permitted assigns. THIS AMENDMENT NUMBER TEN SHALL BE CONSTRUED IN ACCORDANCE WITH, AND GOVERNED BY, THE LAWS OF THE STATE OF NEW YORK, WITHOUT GIVING EFFECT TO THE CONFLICT OF LAWS PRINCIPLES THEREOF (EXCEPT FOR SECTION 5-1401 OF THE NEW YORK GENERAL OBLIGATIONS LAW).

SECTION 5. Counterparts. This Amendment Number Ten may be executed by each of the parties hereto on any number of separate counterparts, each of which shall be an original and all of which taken together shall constitute one and the same instrument.

SECTION 6. Limited Effect. Except as amended hereby, the Agreement shall continue in full force and effect in accordance with its terms. Reference to this Amendment Number Ten need not be made in the Agreement or any other instrument or document executed in connection therewith, or in any certificate, letter or communication issued or made pursuant to, or with respect to, the Agreement, any reference in any of such items to the Agreement being sufficient to refer to the Agreement as amended hereby.

[Signature Page Follows]

5

IN WITNESS WHEREOF, Seller, Servicer and Buyer have caused this Amendment Number Ten to be executed and delivered by their duly authorized officers as of the day and year first above written.

PENNYMAC CORP.
(Seller)
By:	/s/	Pamela Marsh
Name:		Pamela Marsh
Title:		Executive Vice President, Treasurer
PENNYMAC LOAN SERVICES, LLC,
(Servicer)
By:	/s/	Pamela Marsh
Name:		Pamela Marsh
Title:		Executive Vice President, Treasurer
CITIBANK, N.A.
(Buyer)
By:	/s/	Susan Mills
Name:		Susan Mills
Title:		Vice President
		Citibank, N.A.

Amendment Number Ten to Master Repurchase Agreement (PMAC Agency)

EXHIBIT A TO AMENDMENT NUMBER TEN

EXHIBIT J

FORM OF POWER OF ATTORNEY

KNOW ALL MEN BY THESE PRESENTS:

WHEREAS, CITIBANK, N.A. (the “Buyer”) and PENNYMAC CORP. (“Seller”) have entered into the Master Repurchase Agreement dated as of May 24, 2012 (as amended, restated, supplemented or otherwise modified, the “Repurchase Agreement”) pursuant to which Buyer has agreed to provide financing from time to time with respect to certain mortgage loans (the “Assets”) subject to the terms therein; and

WHEREAS, Seller has agreed to give to Buyer a power of attorney on the terms and conditions contained herein in order for Buyer to take any action that Buyer may deem necessary or advisable to accomplish the purposes of the Repurchase Agreement.

NOW THEREFORE, Seller hereby irrevocably constitutes and appoints Buyer and any officer or agent thereof, with full power of substitution, as its true and lawful attorney-in-fact with full irrevocable power and authority in the place and stead of Seller and in the name of Seller or in its own name, from time to time in Buyer’s discretion:

(i) in the name of Seller, or in its own name, or otherwise, to take possession of and endorse and collect any checks, drafts, notes, acceptances or other instruments for the payment of moneys due with respect to any Assets and to file any claim or to take any other action or proceeding in any court of law or equity or otherwise deemed appropriate by Buyer for the purpose of collecting any and all such moneys due with respect to any Assets whenever payable;

(ii) to pay or discharge taxes and liens levied or placed on or threatened against the Assets;

(iii) (A) to direct any party liable for any payment under any Assets to make payment of any and all moneys due or to become due thereunder directly to Buyer or as Buyer shall direct, including, without limitation, to send “goodbye” letters and Section 404 Notices on behalf of Seller and any applicable Servicer; (B) to ask or demand for, collect, receive payment of and receipt for, any and all moneys, claims and other amounts due or to become due at any time in respect of or arising out of any Assets; (C) to sign and endorse any invoices, assignments, verifications, notices and other documents in connection with any Assets; (D) to commence and prosecute any suits, actions or proceedings at law or in equity in any court of competent jurisdiction to collect the Purchased Items or any proceeds thereof and to enforce any other right in respect of any Assets; (E) to defend any suit, action or proceeding brought against Seller with respect to any Assets; (F) to settle, compromise or adjust any suit, action or proceeding described in clause (E) above and, in connection therewith, to give

Amendment Number Ten to Master Repurchase Agreement (PMAC Agency)

such discharges or releases as Buyer may deem appropriate; and (G) generally, to sell, transfer, pledge and make any agreement with respect to or otherwise deal with any Assets as fully and completely as though Buyer were the absolute owner thereof for all purposes, and to do, at Buyer’s option and Seller’s expense, at any time, and from time to time, all acts and things which Buyer deems necessary to protect, preserve or realize upon the Assets and Buyer’s Liens thereon and to effect the intent of the Repurchase Agreement, all as fully and effectively as Seller might do;

(iv) for the purpose of effecting the transfer of servicing with respect to the Assets from Seller and any applicable Servicer to a successor servicer appointed by Buyer in its sole discretion and to take any and all appropriate action and to execute any and all documents and instruments which may be necessary or desirable to accomplish such transfer of servicing, and, without limiting the generality of the foregoing, Seller hereby gives Buyer the power and right, on behalf of Seller, without assent by Seller, to, in the name of Seller or its own name, or otherwise, prepare and send or cause to be sent “good-bye” letters and Section 404 Notices on behalf of Seller and any applicable Servicer in connection with such transfer of servicing; and

(v) for the purpose of delivering any notices of sale to mortgagors or other third parties, including without limitation, those required by law.

Seller hereby ratifies all that said attorneys shall lawfully do or cause to be done by virtue hereof. This power of attorney is a power coupled with an interest and shall be irrevocable.

Seller also authorizes Buyer, from time to time, to execute, in connection with any sale, any endorsements, assignments or other instruments of conveyance or transfer with respect to the Assets.

The powers conferred on Buyer hereunder are solely to protect Buyer’s interests in the Assets and shall not impose any duty upon it to exercise any such powers. Buyer shall be accountable only for amounts that it actually receives as a result of the exercise of such powers, and neither it nor any of its officers, directors, employees or agents shall be responsible to Seller for any act or failure to act hereunder, except for its or their own gross negligence or willful misconduct.

IN ORDER TO INDUCE ANY THIRD PARTY TO ACT HEREUNDER, SELLER HEREBY AGREES THAT ANY THIRD PARTY RECEIVING A DULY EXECUTED COPY OR FACSIMILE OF THIS INSTRUMENT MAY ACT HEREUNDER, AND THAT REVOCATION OR TERMINATION HEREOF SHALL BE INEFFECTIVE AS TO SUCH THIRD PARTY UNLESS AND UNTIL ACTUAL NOTICE OR KNOWLEDGE OF SUCH REVOCATION OR TERMINATION SHALL HAVE BEEN RECEIVED BY SUCH THIRD PARTY, AND Seller ON ITS OWN BEHALF AND ON BEHALF OF SELLER’S ASSIGNS, HEREBY AGREES TO INDEMNIFY AND HOLD HARMLESS ANY SUCH THIRD PARTY FROM AND AGAINST ANY AND ALL CLAIMS THAT MAY ARISE AGAINST SUCH THIRD PARTY BY REASON OF SUCH THIRD PARTY HAVING RELIED ON THE PROVISIONS OF THIS INSTRUMENT.

[REMAINDER OF PAGE INTENTIONALLY BLANK. SIGNATURES FOLLOW.]

Amendment Number Ten to Master Repurchase Agreement (PMAC Agency)

IN WITNESS WHEREOF Seller has caused this Power of Attorney to be duly executed and Seller’s seal to be affixed this      day of                     , 2014.

PENNYMAC CORP.

as Seller

By:

Name:

Title:

STATE OF	)
	)	ss.:
COUNTY OF	)

On the      day of                     , 20    , before me, the undersigned, a Notary Public in and for said state, personally appeared                                          , personally known to me or proved to me on the basis of satisfactory evidence to be the person whose name is subscribed to the foregoing instrument, and acknowledged to me that                      executed the same in                      capacity as the Principal, that, by                      signature on the foregoing instrument,                      executed the same, and that                      executed the same in the City of                     , County of                      and State of                     .

Notary Public

(SEAL)

Amendment Number Ten to Master Repurchase Agreement (PMAC Agency)

EX-10.97

Exhibit 10.97

POP REWAREHOUSE TPO FACILITY EXECUTION

AMENDMENT NO. 4

TO MASTER REPURCHASE AGREEMENT

Amendment No. 4 to Master Repurchase Agreement, dated as of October 31, 2014 (this “Amendment”), among Credit Suisse First Boston Mortgage Capital LLC (the “Buyer”), PennyMac Operating Partnership, L.P. (the “Seller”) and PennyMac Mortgage Investment Trust (the “Guarantor”).

RECITALS

The Buyer, the Seller and the Guarantor are parties to that certain Master Repurchase Agreement, dated as of September 28, 2012 (as amended by Amendment No. 1, dated as of May 8, 2013, Amendment No. 2, dated as of December 31, 2013, and Amendment No. 3, dated as of January 10, 2014, the “Existing Repurchase Agreement”; and as further amended by this Amendment, the “Repurchase Agreement”) and the related Pricing Side Letter, dated as of September 28, 2012 (as amended, restated, supplemented or otherwise modified from time to time, the “Pricing Side Letter”). The Guarantor is a party to that certain Guaranty (as amended, restated, supplemented or otherwise modified from time to time, the “Guaranty”), dated as of September 28, 2012, by the Guarantor in favor of Buyer. Capitalized terms used but not otherwise defined herein shall have the meanings given to them in the Existing Repurchase Agreement and Guaranty, as applicable.

The Buyer, the Seller and the Guarantor have agreed, subject to the terms and conditions of this Amendment, that the Existing Repurchase Agreement be amended to reflect certain agreed upon revisions to the terms of the Existing Repurchase Agreement. As a condition precedent to amending the Existing Repurchase Agreement, the Buyer has required the Guarantor to ratify and affirm the Guaranty on the date hereof.

Accordingly, the Buyer, the Seller and the Guarantor hereby agree, in consideration of the mutual promises and mutual obligations set forth herein, that the Existing Repurchase Agreement is hereby amended as follows:

SECTION 1. Applicability. Section 1 of the Existing Repurchase Agreement is hereby amended by deleting such section in its entirety and replacing it with the following:

1. Applicability

From time to time the parties hereto may enter into transactions in which Seller agrees to transfer to Buyer Mortgage Loans (as hereinafter defined) on a servicing released basis against the transfer of funds by Buyer, with a simultaneous agreement by Buyer to transfer to Seller such Mortgage Loans on a servicing released basis at a date certain or on demand, against the transfer of funds by Seller. This Agreement is a commitment by Buyer to engage in the Transactions as set forth herein up to the Maximum Committed Purchase Price; provided, that Buyer shall have no commitment to enter into any Transaction requested that would result in the aggregate Purchase Price of then-outstanding Transactions exceeding the Maximum Committed Purchase Price, and in no event shall the aggregate Purchase Price of outstanding Transactions exceed the Maximum Purchase Price at any time. Each such transaction shall be referred to herein

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as a “Transaction” and, unless otherwise agreed in writing, shall be governed by this Agreement, including any supplemental terms or conditions contained in any annexes identified herein, as applicable hereunder.

SECTION 2. Definitions. Section 2 of the Existing Repurchase Agreement is hereby amended by:

2.1 deleting the definition of “Termination Date” in its entirety and replacing it with the following:

“Termination Date” means the earliest of (a) October 30, 2015, and (b) the date of the occurrence of an Event of Default.

2.2 adding the following definition in its proper alphabetical order:

“Maximum Committed Purchase Price” has the meaning assigned to such term in the Pricing Side Letter.

SECTION 3. Program; Initiation of Transactions. Section 3 of the Existing Repurchase Agreement is hereby amended by deleting subsection (a) in its entirety and replacing it with the following:

a. From time to time, Buyer will purchase from Seller certain Mortgage Loans that have been originated or acquired by Seller from an Underlying Repurchase Counterparty pursuant to an Underlying Repurchase Transaction. This Agreement is a commitment by Buyer to enter into Transactions with Seller up to an aggregate amount equal to the Maximum Committed Purchase Price. This Agreement is not a commitment by Buyer to enter into Transactions with Seller for amounts exceeding the Maximum Committed Purchase Price, but rather, sets forth the procedures to be used in connection with periodic requests for Buyer to enter into Transactions with Seller. Seller hereby acknowledges that, beyond the Maximum Committed Purchase Price, Buyer is under no obligation to agree to enter into, or to enter into, any Transaction pursuant to this Agreement. All Purchased Mortgage Loans shall exceed or meet the Underwriting Guidelines, and shall be serviced by a Servicer. The aggregate Purchase Price of Purchased Mortgage Loans subject to outstanding Transactions shall not exceed the Maximum Purchase Price.

SECTION 4. Representations and Warranties. Section 13 of the Existing Repurchase Agreement is hereby amended by deleting subsection (11) in its entirety and replacing it with the following:

(11) Litigation. Except as set forth on Exhibit E, there is no action, proceeding or investigation pending with respect to which either Seller or Guarantor has received service of process or, to the best of Seller’s or Guarantor’s knowledge threatened against it before any court, administrative agency or other tribunal (A) asserting the invalidity of any Program Agreement, (B) seeking to prevent the consummation of any of the transactions contemplated any Program Agreement, (C) making a claim individually or in the aggregate in an amount greater than $10,000,000, (D) which requires filing with the

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Securities and Exchange Commission in accordance with the 1934 Act or any rules thereunder or (E) which might materially and adversely affect the validity of the Mortgage Loans or the performance by it of its obligations under, or the validity or enforceability of any Program Agreement.

SECTION 5. Covenants. Section 14 of the Existing Repurchase Agreement is hereby amended by deleting subsection (a) in its entirety and replacing it with the following:

a. Litigation. Seller and Guarantor, as applicable, will promptly, and in any event within ten (10) days after service of process on any of the following, give to Buyer notice of all litigation, actions, suits, arbitrations, investigations (including, without limitation, any of the foregoing which are threatened or pending) or other legal or arbitrable proceedings affecting Seller, Guarantor or any of their Subsidiaries or affecting any of the Property of any of them before any Governmental Authority that (i) questions or challenges the validity or enforceability of any of the Program Agreements or any action to be taken in connection with the transactions contemplated hereby, (ii) makes a claim individually or in the aggregate in an amount greater than $10,000,000, or (iii) which, individually or in the aggregate, if adversely determined, could be reasonably likely to have a Material Adverse Effect with respect to Seller or Guarantor. Seller and Guarantor, as applicable, will promptly provide notice of any judgment, which with the passage of time, could cause an Event of Default hereunder.

SECTION 6. Events of Default. Section 15 of the Existing Repurchase Agreement is hereby amended by deleting subsection (k) in its entirety and replacing it with the following:

k. Judgment. A final judgment or judgments for the payment of money in excess of $10,000,000 in the aggregate shall be rendered against the Seller or any of its Affiliates by one or more courts, administrative tribunals or other bodies having jurisdiction and the same shall not be satisfied, discharged (or provision shall not be made for such discharge) or bonded, or a stay of execution thereof shall not be procured, within 30 days from the date of entry thereof.

SECTION 7. Represenations and Warranties. Part 2 of Schedule 1 of the Existing Repurchase Agreement is hereby amended by deleting paragraph (ff) in its entirety and replacing it with the following:

(ff) Litigation. There is no action, proceeding or investigation pending with respect to which the Underlying Repurchase Counterparty has received service of process or, to the best of such Underlying Repurchase Counterparty’s knowledge threatened against it before any court, administrative agency or other tribunal (A) asserting the invalidity of any Underlying Repurchase Document, (B) seeking to prevent the consummation of any of the transactions contemplated any Underlying Repurchase Document, (C) making a claim individually or in the aggregate in an amount greater than $10,000,000, (D) which requires filing with the Securities and Exchange Commission in accordance with the 1934 Act or any rules thereunder or (E) which might materially and adversely affect the validity of the Mortgage Loans or the performance by it of its

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obligations under, or the validity or enforceability of any Underlying Repurchase Document.

SECTION 8. Conditions Precedent. This Amendment shall become effective as of the date hereof (the “Amendment Effective Date”), subject to the satisfaction of the following conditions precedent:

8.1 Delivered Documents. On the Amendment Effective Date, the Buyer shall have received the following documents, each of which shall be satisfactory to the Buyer in form and substance:

(a) this Amendment, executed and delivered by duly authorized officers of the Buyer, the Seller and the Guarantor;

(b) Amendment No. 7 to that certain Pricing Side Letter, dated as of the date hereof, executed and delivered by duly authorized officers of the Buyer, the Seller and the Guarantor; and

(c) such other documents as the Buyer or counsel to the Buyer may reasonably request.

SECTION 9. Representations and Warranties. Seller hereby represents and warrants to the Buyer that it is in compliance with all the terms and provisions set forth in the Repurchase Agreement on its part to be observed or performed, and that no Event of Default has occurred and is continuing, and hereby confirms and reaffirms the representations and warranties contained in Section 13 of the Repurchase Agreement.

SECTION 10. Limited Effect. Except as expressly amended and modified by this Amendment, the Existing Repurchase Agreement shall continue to be, and shall remain, in full force and effect in accordance with its terms.

SECTION 11. Counterparts. This Amendment may be executed by each of the parties hereto on any number of separate counterparts (including by facsimile or .pdf), each of which shall be an original and all of which taken together shall constitute one and the same instrument.

SECTION 12. Severability. Any provision of this Amendment which is prohibited or unenforceable in any jurisdiction shall, as to such jurisdiction, be ineffective to the extent of such prohibition or unenforceability without invalidating the remaining provisions hereof, and any such prohibition or unenforceability in any jurisdiction shall not invalidate or render unenforceable such provision in any other jurisdiction.

SECTION 13. GOVERNING LAW. THIS AMENDMENT SHALL BE GOVERNED BY, AND CONSTRUED IN ACCORDANCE WITH, THE LAWS OF THE STATE OF NEW YORK WITHOUT REFERENCE TO THE CHOICE OF LAW PROVISIONS THEREOF.

SECTION 14. Reaffirmation of Guaranty. The Guarantor hereby ratifies and affirms all of the terms, covenants, conditions and obligations of the Guaranty and acknowledge and agree

-4-

that the term “Obligations” as used in the Guaranty shall apply to all of the Obligations of Seller to Buyer under the Pricing Side Letter and the Repurchase Agreement, as amended hereby.

[Remainder of page intentionally left blank]

-5-

IN WITNESS WHEREOF, the parties have caused their names to be signed hereto by their respective officers thereunto duly authorized as of the day and year first above written.

Credit Suisse First Boston Mortgage Capital LLC, as Buyer
By:	/s/ Adam Loskove
	Name: Adam Loskove
	Title:   Vice President
PennyMac Operating Partnership, L.P., as Seller
By:	/s/ Pamela Marsh
	Name: Pamela Marsh
	Title:   Executive Vice President, Treasurer
PennyMac Mortgage Investment Trust, as Guarantor
By:	/s/ Pamela Marsh
	Name: Pamela Marsh
	Title:   Executive Vice President, Treasurer

Signature Page to Amendment No. 4 to Master Repurchase Agreement

EX-31.1

Exhibit 31.1

CERTIFICATION

I, Stanford L. Kurland, certify that:

1. I have reviewed this Quarterly Report on Form 10-Q of PennyMac Mortgage Investment Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13(a)-15(e) and 15(d)-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13(a)-15(f) and 15(d)-15(f)) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s Board of Trustees (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 7, 2014

/S/ STANFORD L. KURLAND

Stanford L. Kurland

Chairman of the Board and Chief Executive Officer

EX-31.2

Exhibit 31.2

CERTIFICATION

I, Anne D. McCallion, certify that:

1. I have reviewed this Quarterly Report on Form 10-Q of PennyMac Mortgage Investment Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13(a)-15(e) and 15(d)-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13(a)-15(f) and 15(d)-15(f)) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s Board of Trustees (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 7, 2014

/S/ ANNE D. MCCALLION

Anne D. McCallion

Chief Financial Officer

EX-32.1

Exhibit 32.1

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report on Form 10-Q of PennyMac Mortgage Investment Trust (the “Company”) for the quarter ended September 30, 2014 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Stanford L. Kurland, Chairman of the Board and Chief Executive Officer of the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

1. The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

/S/ STANFORD L. KURLAND

Stanford L. Kurland

Chairman of the Board and Chief Executive Officer

November 7, 2014

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to PennyMac Mortgage Investment Trust and will be retained by PennyMac Mortgage Investment Trust and furnished to the Securities and Exchange Commission or its staff upon request.

EX-32.2

Exhibit 32.2

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report on Form 10-Q of PennyMac Mortgage Investment Trust (the “Company”) for the quarter ended September 30, 2014 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Anne D. McCallion, Chief Financial Officer of the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

1. The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

/S/ ANNE D. MCCALLION

Anne D. McCallion

Chief Financial Officer

November 7, 2014

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to PennyMac Mortgage Investment Trust and will be retained by PennyMac Mortgage Investment Trust and furnished to the Securities and Exchange Commission or its staff upon request.

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Recently Issued Accounting Pronouncements

9 Months Ended

Sep. 30, 2014

Accounting Changes and Error Corrections [Abstract]

Recently Issued Accounting Pronouncements

Note 32—Recently Issued Accounting Pronouncements

In January of 2014, the FASB issued Accounting Standard Update (“ASU”) No 2014-04, Receivables: Troubled Debt Restructuring by Creditors Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure (“ASU 2014-04”) to the Troubled Debt Restructuring subtopic of the Receivables topic of the ASC

ASU 2014-04 clarifies when a creditor should be considered to have received physical possession of residential real estate collateralizing a mortgage loan and the mortgage loan derecognized in the receivable and recognized as real estate property. ASU 2014-04 specifies that an in substance repossession occurs when either the creditor has obtained the legal title to the property after a foreclosure or the borrower has transferred all interest in the property to the creditor through a deed in lieu of foreclosure or similar legal agreement so that at that time the asset should be reclassified from Mortgage loans at fair value to Real estate acquired in settlement of loans.

ASU 2014-04 also provides that a disclosure of the amount of Real estate acquired in settlement of loans and the recorded investment in Mortgage loans at fair value that are in the process of foreclosure must be included in both interim and annual financial statements.

ASU 2014-04 is effective for all year-end and interim periods beginning after December 15, 2014. The adoption of ASU 2014-04 is not expected to have a material effect on the Company’s consolidated financial statements.

In May of 2014, the FASB issued ASU No 2014-09, Revenue from Contracts with Customers (“ASU 2014-09”) to the Revenue from Contracts with Customers topic of the ASC. ASU 2014-09 was issued to standardize revenue recognition between public and private companies as well as across industries in an effort to more closely align U.S. GAAP revenue recognition with international standards to provide a more comparable revenue number for the users of the financial statements.

ASU 2014-09 specifies that for all contracts, revenue should be recognized when or as the entity satisfies a performance obligation. Revenue is recognized either over a period or at one point in time in accordance with how the control of the service or good is transferred.

ASU 2014-09 is effective for all year-end and interim periods beginning after December 15, 2016 and early application is not permitted. The Company is evaluating the adoption of ASU 2014-09 and the effect that ASU 2014-09 will have on its consolidated financial statements.

In June of 2014, the FASB issued ASU No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (“ASU 2014-11”) to the Transfers and Servicing topic of the ASC. The amendments in ASU 2014-11 require two accounting changes. First, the amendments in ASU 2014-11 change the accounting for repurchase-to-maturity transactions to secured borrowing accounting. Second, for repurchase financing arrangements, the amendments require separate accounting for a transfer of a financial asset executed contemporaneously with a repurchase agreement with the same counterparty, which will result in secured borrowing accounting for the repurchase agreement.

ASU 2014-11 requires disclosures for certain transactions comprising (1) a transfer of a financial asset accounted for as a sale and (2) an agreement with the same transferee entered into in contemplation of the initial transfer that results in the transferor retaining substantially all of the exposure to the economic return on the transferred financial asset throughout the term of the transaction. ASU 2014-11 also specifies certain disclosure requirements for those transactions outstanding at the reporting date and for repurchase agreements, securities lending transactions and repurchase-to-maturity transactions, the transferor is required to make certain disclosures by type of transaction.

ASU 2014-11 is effective for the annual periods, and interim periods within those annual periods, beginning after December 15, 2014. The adoption of ASU 2014-11 is not expected to have a material effect on the Company’s consolidated financial statements.

In August of 2014, FASB issued ASU 2014-15, Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern (“ASU 2014-15”) to the Going Concern subtopic of the Presentation of Financial Statements topic of the ASC. ASU 2014-15 requires that when management identifies conditions or events that raise substantial doubt about an entity’s ability to continue as a going concern, management should consider whether its plans that are intended to mitigate those relevant conditions or events will alleviate the substantial doubt.

ASU 2014-15 requires that if conditions or events raise substantial doubt about an entity’s ability to continue as a going concern, but the substantial doubt is alleviated as a result of consideration of management’s plans, the entity should include a statement in the notes to its financial statements that enables users of the financial statements to understand all of the following:

a. Principal conditions or events that raised substantial doubt about the entity’s ability to continue as a going concern (before consideration of management’s plans)

b. Management’s evaluation of the significance of those conditions or events in relation to the entity’s ability to meet its obligations

c. Management’s plans that alleviated substantial doubt about the entity’s ability to continue as a going concern.

If conditions or events raise substantial doubt about an entity’s ability to continue as a going concern, and substantial doubt is not alleviated after consideration of management’s plans, an entity should include a statement in the notes to its financial statements indicating that there is substantial doubt about the entity’s ability to continue as a going concern within one year after the date that the financial statements are issued (or available to be issued). The entity should disclose information that enables users of the financial statements to understand all of the following:

a. Principal conditions or events that raise substantial doubt about the entity’s ability to continue as a going concern

b. Management’s evaluation of the significance of those conditions or events in relation to the entity’s ability to meet its obligations

c. Management’s plans that are intended to mitigate the conditions or events that raise substantial doubt about the entity’s ability to continue as a going concern.

ASU 2014-15 is effective for the annual period ending after December 15, 2016, and for annual periods and interim periods thereafter. Early application is permitted. The adoption of ASU 2014-15 is not expected to have a material effect on the Company’s consolidated financial statements.

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Mortgage Servicing Rights - Summary of MSRs Carried at Lower of Amortized Cost or Fair Value (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013	Dec. 31, 2013
Servicing Asset at Amortized Cost, Balance [Roll Forward]
Balance at beginning of period	$ 274,110	$ 228,912	$ 266,697	$ 132,977
MSRs resulting from loan sales	26,802	41,018	49,276	148,186
Amortization	(8,109)	(7,201)	(23,170)	(18,433)
Application of valuation allowance to write down MSRs with other-than temporary impairment	0	0	0	0
Balance at end of period	292,803	262,730	292,803	262,730
Balance at beginning of period	(5,428)	(3,839)	(2,577)	(7,547)
Reversals (additions)	602	(212)	(2,249)	3,495
Application of valuation allowance to write down MSRs with other-than temporary impairment	0	0	0	0
Balance at end of period	(4,826)	(4,052)	(4,826)	(4,052)
MSRs, net	287,977	258,678	287,977	258,678	264,120
Estimated fair value at end of period	$ 312,196	$ 277,711	$ 312,196	$ 277,711

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Mortgage Servicing Rights (Tables)

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Summary of MSRs Carried at Fair Value

Following is a summary of MSRs carried at fair value:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Balance at beginning of period	$	46,802		$	1,827		$	26,452		$	1,346
Additions:
Purchases		—			1,696			—			1,881
MSRs resulting from loan sales		12,812			7,939			39,954			8,043
Total additions		12,812			9,635			39,954			9,924
Change in fair value:
Due to changes in valuation inputs or assumptions used in valuation model (1)		(106	)		(366	)		(4,974	)		(64	)
Other changes in fair value (2)		(1,500	)		(99	)		(3,424	)		(209	)
		(1,606	)		(465	)		(8,398	)		(273	)
Sales		(137	)		—			(137	)		—
Balance at end of period	$	57,871		$	10,997		$	57,871		$	10,997

(1) Principally reflects changes in pricing spread (discount rate) and prepayment speed inputs, primarily due to changes in interest rates.

(2) Represents changes due to realization of expected cash flows.

Summary of MSRs Carried at Lower of Amortized Cost or Fair Value

Following is a summary of MSRs carried at lower of amortized cost or fair value:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Amortized Cost:
Balance at beginning of period	$	274,110		$	228,912		$	266,697		$	132,977
MSRs resulting from loan sales		26,802			41,018			49,276			148,186
Amortization		(8,109	)		(7,200	)		(23,170	)		(18,433	)
Application of valuation allowance to write down MSRs with other-than temporary impairment		—			—			—			—
Balance at end of period		292,803			262,730			292,803			262,730
Valuation Allowance:
Balance at beginning of period		(5,428	)		(3,839	)		(2,577	)		(7,547	)
Reversals (additions)		602			(213	)		(2,249	)		3,495
Application of valuation allowance to write down MSRs with other-than-temporary impairment		—			—			—			—
Balance at end of period		(4,826	)		(4,052	)		(4,826	)		(4,052	)
MSRs, net	$	287,977		$	258,678		$	287,977		$	258,678
Estimated fair value at end of period	$	312,196		$	277,711

Summary of Company's Estimate of Amortization of Existing MSRs Carried at Amortized Cost

The following table summarizes the Company’s estimate of amortization of its existing MSRs carried at amortized cost. This projection was developed using the assumptions made by management in its September 30, 2014 valuation of MSRs. The assumptions underlying the following estimate will change as market conditions and portfolio composition and behavior change, causing both actual and projected amortization levels to change over time. Therefore, the following estimates will change in a manner and amount not presently determinable by management.

12 months ending September 30,	Estimated MSR amortization
	(in thousands)
2015	$	29,606
2016		29,570
2017		28,092
2018		25,972
2019		23,490
Thereafter		156,073
Total	$	292,803

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Mortgage Loans Acquired for Sale at Fair Value (Tables)

9 Months Ended

Sep. 30, 2014

Mortgage Loans on Real Estate [Abstract]

Summary of Distribution of Company's Mortgage Loans Acquired for Sale at Fair Value

Following is a summary of the distribution of the Company’s mortgage loans acquired for sale at fair value:

	September 30, 2014				December 31, 2013
	Fair value		Unpaid principal balance		Fair value		Unpaid principal balance
Loan type	(in thousands)
Conventional:
Agency-eligible	$	451,288	$	434,584	$	311,162	$	304,749
Jumbo		177,843		173,174		34,615		35,050
Government-insured or guaranteed		59,719		56,782		112,360		107,587
	$	688,850	$	664,540	$	458,137	$	447,386
Loans pledged to secure assets sold under agreements to repurchase	$	675,659			$	454,210

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Exchangeable Senior Notes - Additional Information (Detail) (Exchange Senior Notes due 2020 [Member], USD $)	9 Months Ended
	Sep. 30, 2014
Debt Instrument [Line Items]
Issuance of debt through private offering	$ 250,000,000
Percentage of interest on debt	5.375%
Number of shares exchanged per notes	33.6041
Principal amount of the notes	$ 1,000
Maturity date of debt instrument	May 01, 2020
Increased in cash dividend	$ 0.57
Initial exchangeable rate [Member]
Debt Instrument [Line Items]
Number of shares exchanged per notes	33.5149

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Concentration of Risks - Consolidated Statements of Income and Cash Flows (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Statements of income:
Interest income	$ 0	$ 1,197	$ 3,584	$ 1,457
Interest expense	0	1,763	2,364	2,013
Net gain on investments	0	8,378	803	7,688
Net loan servicing fees	0	0	517	0
Results of REO	0	(41)	(473)	(41)
Statements of cash flows:
Repayments of mortgage loans	0	8,000	6,413	8,000
Sales of REO	0	65	5,365	65
Repayments of borrowings under forward purchase agreements	$ 0	$ (18,618)	$ (227,866)	$ (18,618)

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Borrowings under Forward Purchase Agreements - Summary of Financial Information Relating to Borrowings under Forward Purchase Agreements (Detail) (Borrowings under forward purchase agreement [Member], USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Borrowings under forward purchase agreement [Member]
Period end:
Balance	$ 0	$ 229,841	$ 0	$ 229,841
Interest rate	0.00%	3.03%
Fair value of underlying loans and REO	0	231,595
During the period:
Weighted-average effective interest rate	0.00%	2.96%	2.84%	2.97%
Weighted-average balance	0	232,722	109,708	89,459
Interest expense	0	1,762	2,364	2,013
Maximum daily amount outstanding	$ 0	$ 242,394	$ 226,847	$ 244,047

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Net Loan Servicing Fees (Tables)

9 Months Ended

Sep. 30, 2014

Summary of Net Loan Servicing Fees

Net loan servicing fees are summarized below:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Servicing fees (1)	$	20,300		$	14,451		$	56,988		$	37,175
MSR recapture fee receivable from PFSI		—			86			9			586
Effect of MSRs:
Carried at lower of amortized cost or fair value
Amortization		(8,109	)		(7,201	)		(23,171	)		(18,433	)
(Provision for) reversal of impairment		602			(212	)		(2,248	)		3,495
Carried at fair value - change in fair value		(1,606	)		(465	)		(8,398	)		(273	)
Gains (losses) on hedging derivatives		(654	)		—			3,532			(1,988	)
		(9,767	)		(7,878	)		(30,285	)		(17,199	)
Net loan servicing fees	$	10,533		$	6,659		$	26,712		$	20,562
Average servicing portfolio	$	30,701,324		$	21,784,126		$	29,531,733		$	20,070,127

(1) Includes contractually specified servicing and ancillary fees.

Mortgage service rights [Member]

Summary of Net Loan Servicing Fees

Servicing fees relating to MSRs are recorded in Net loan servicing fees on the consolidated statements of income and are summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Contractually-specified servicing fees	$	19,345	$	13,687	$	54,396	$	34,158

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Transactions with Related Parties - Summary of Amounts Due to Affiliates (Detail) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Related Party Transactions [Abstract]
Management fees	$ 9,623	$ 8,924
Servicing fees	6,942	5,915
Allocated expenses	3,360	2,009
Contingent underwriting fees	1,495	1,788
Total expense due to affiliate	$ 21,420	$ 18,636

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Mortgage Loans at Fair Value - Summary of Certain Concentrations of Credit Risk in Portfolio of Mortgage Loans at Fair Value, Excluding VIE Securing Asset-Backed Financing (Detail)	9 Months Ended	12 Months Ended
	Sep. 30, 2014	Dec. 31, 2013
Concentration Risk [Line Items]
Portion of mortgage loans originated between 2005 and 2007	72.00%	72.00%
Percentage of fair value of mortgage loans with unpaid-principal-balance-to-current-property-value in excess of 100%	55.00%	61.00%
Additional states contributing 5% or more of mortgage loans	New York Florida New Jersey	New York Florida New Jersey
California real estate [Member]
Concentration Risk [Line Items]
Percentage of mortgage loans secured by California real estate	21.00%	24.00%

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Netting of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Summary of Offsetting of Derivative Assets

Offsetting of Derivative Assets

Following is a summary of net derivative assets. As discussed above, all derivatives with the exception of IRLCs are subject to master netting arrangements.

	September 30, 2014								December 31, 2013
	Gross amounts of recognized assets		Gross amounts offset in the consolidated balance sheet			Net amounts of assets presented in the consolidated balance sheet			Gross amounts of recognized assets		Gross amounts offset in the consolidated balance sheet			Net amounts of assets presented in the consolidated balance sheet
	(in thousands)
Derivatives subject to master netting arrangements:
MBS put options	$	830	$	—		$	830		$	272	$	—		$	272
MBS call options		239		—			239			—		—			—
Forward purchase contracts		4,614		—			4,614			1,229		—			1,229
Forward sale contracts		1,142		—			1,142			16,385		—			16,385
Treasury future sale contracts		857		—			857			—		—			—
Put options on Eurodollar futures		422		—			422			566		—			566
Call options on Eurodollar futures		666		—			666			—		—			—
Netting		—		(3,938	)		(3,938	)		—		(12,986	)		(12,986	)
		8,770		(3,938	)		4,832			18,452		(12,986	)		5,466
Derivatives not subject to master netting arrangements:
Interest rate lock commitments		5,512		—			5,512			2,510		—			2,510
	$	14,282	$	(3,938	)	$	10,344		$	20,962	$	(12,986	)	$	7,976

Summary of Derivative Assets and Collateral Held by Counterparty

Derivative Assets and Collateral Held by Counterparty

The following table summarizes by significant counterparty the amount of derivative asset positions after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance to qualify for netting.

	September 30, 2014								December 31, 2013
			Gross amounts not offset in the consolidated balance sheet								Gross amounts not offset in the consolidated balance sheet
	Net amount of assets presented in the consolidated balance sheet		Financial instruments		Cash collateral received		Net amount		Net amount of assets presented in the consolidated balance sheet		Financial instruments		Cash collateral received		Net amount
	(in thousands)
Interest rate lock commitments	$	5,512	$	—	$	—	$	5,512	$	2,510	$	—	$	—	$	2,510
RJ O’Brien		1,664		—		—		1,664		566		—		—		566
Bank of America, N.A.		1,170		—		—		1,170		1,024		—		—		1,024
JP Morgan		617		—		—		617		—						—
Credit Suisse First Boston Mortgage Capital LLC		370		—		—		370		196		—		—		196
Nomura		266		—		—		266		273						273
Other		745		—		—		745		3,407		—		—		3,407
Total	$	10,344	$	—	$	—	$	10,344	$	7,976	$	—	$	—	$	7,976

Schedule of Offsetting of Derivative Liabilities and Financial Liabilities

Offsetting of Derivative Liabilities and Financial Liabilities

Following is a summary of net derivative liabilities and assets sold under agreements to repurchase. As discussed above, all derivatives with the exception of IRLCs are subject to master netting arrangements. Assets sold under agreements to repurchase do not qualify for netting.

	September 30, 2014								December 31, 2013
	Gross amounts of recognized liabilities		Gross amounts offset in the consolidated balance sheet			Net amounts of liabilities presented in the consolidated balance sheet			Gross amounts of recognized liabilities		Gross amounts offset in the consolidated balance sheet			Net amounts of liabilities presented in the consolidated balance sheet
	(in thousands)
Derivatives subject to master netting arrangements:
Forward purchase contracts	$	478	$	—		$	478		$	7,420	$	—		$	7,420
Forward sales contracts		5,272		—			5,272			1,295		—			1,295
Netting		—		(3,982	)		(3,982	)		—		(8,015	)		(8,015	)
		5,750		(3,982	)		1,768			8,715		(8,015	)		700
Derivatives not subject to master netting arrangements:
Interest rate lock commitments		121		—			121			1,261		—			1,261
		5,871		(3,982	)		1,889			9,976		(8,015	)		1,961
Assets sold under agreements to repurchase		2,416,686		—			2,416,686			2,039,605		—			2,039,605
	$	2,422,557	$	(3,982	)	$	2,418,575		$	2,049,581	$	(8,015	)	$	2,041,566

Summary of Derivative Liabilities, Financial Liabilities and Collateral Held by Counterparty

Derivative Liabilities, Financial Liabilities and Collateral Held by Counterparty

The following table summarizes by significant counterparty the amount of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance to qualify for netting. All assets sold under agreements to repurchase represent sufficient collateral or exceed the liability amount recorded on the consolidated balance sheet.

	September 30, 2014									December 31, 2013
			Gross amounts not offset in the consolidated balance sheet									Gross amounts not offset in the consolidated balance sheet
	Net amount of liabilities presented in the consolidated balance sheet		Financial instruments			Cash collateral pledged		Net amount		Net amount of liabilities presented in the consolidated balance sheet		Financial instruments			Cash collateral pledged		Net amount
	(in thousands)
Interest rate lock commitments	$	121	$	—		$	—	$	121	$	1,261	$	—		$	—	$	1,261
Morgan Stanley Bank, N.A.		156,702		(156,157	)		—		545		30,226		(30,226	)		—		—
Bank of Oklahoma		244		—			—		244		—		—			—		—
Daiwa Capital Markets		129,887		(129,682	)		—		205		132,525		(132,525	)		—		—
Fannie Mae Capital Markets		196		—					196		—		—					—
Citibank		766,578		(766,476	)		—		102		945,015		(944,856	)		—		159
Credit Suisse First Boston Mortgage Capital LLC		685,521		(685,521	)		—		—		523,546		(523,546	)		—		—
Bank of America, N.A.		459,728		(459,728	)		—		—		408,452		(408,452	)		—		—
RBS Securities Inc.		219,122		(219,122	)		—		—		—		—			—		—
Other		476		—			—		476		541		—			—		541
Total	$	2,418,575	$	(2,416,686	)	$	—	$	1,889	$	2,041,566	$	(2,039,605	)	$	—	$	1,961

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Share-Based Compensation Plans

9 Months Ended

Sep. 30, 2014

Disclosure of Compensation Related Costs, Share-based Payments [Abstract]

Share-Based Compensation Plans

Note 26—Share-Based Compensation Plans

On September 30, 2014 and 2013, the Company had one share-based compensation plan. The Company recognized compensation expense of $1.6 million and $5.7 million for the quarter and nine months ended September 30, 2014, respectively, and $2.0 million and $5.0 million, for the quarter and nine months ended September 30, 2013, respectively. The Company issued 300,131 and 250,948 restricted share units with a grant date fair value of $6.0 million and $5.2 million for the nine months ended September 30, 2014 and 2013, respectively, and had vestings of 500 and 75,830 units during the quarters ended September 30, 2014 and 2013, respectively, and 230,716 and 248,753 units during the nine months ended September 30, 2014 and 2013, respectively.

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Earnings Per Share - Summary of Basic and Diluted Earnings per Share (Detail) (USD $) In Thousands, except Per Share data, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Basic earnings per share:
Net income	$ 54,949	$ 39,701	$ 168,033	$ 147,494
Effect of participating securities-share-based compensation awards	(305)	(374)	(1,360)	(1,656)
Net income attributable to common shareholders	54,644	39,327	166,673	145,838
Weighted-average shares outstanding	74,140	64,405	73,254	60,809
Basic earnings per share	$ 0.74	$ 0.61	$ 2.28	$ 2.40
Diluted earnings per share:
Net income	54,949	39,701	168,033	147,494
Interest on Notes, net of income taxes	2,081	2,075	6,237	3,457
Net income attributable to diluted shareholders	$ 57,030	$ 41,776	$ 174,270	$ 150,951
Weighted-average shares outstanding	74,140	64,405	73,254	60,809
Potentially dilutive securities:
Shares issuable pursuant exchange of the Notes	8,401	8,379	8,401	4,726
Shares issuable under share-based compensation plan	291	337	323	363
Diluted weighted-average number of shares outstanding	82,832	73,121	81,978	65,898
Diluted earnings per share	$ 0.69	$ 0.57	$ 2.13	$ 2.29

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Assets Sold Under Agreements to Repurchase - Summary of Assets Sold under Agreements to Repurchase by Counterparty (Detail) (USD $) In Thousands, unless otherwise specified	9 Months Ended
	Sep. 30, 2014
Credit Suisse First Boston Mortgage Capital LLC [Member] | Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 188,099
Mortgage acquired for sale Weighted-average repurchase agreement maturity	Feb. 12, 2015
Facility maturity	Oct. 31, 2014
Bank of America, N.A. [Member] | Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	42,719
Mortgage acquired for sale Weighted-average repurchase agreement maturity	Dec. 29, 2014
Facility maturity	Jan. 30, 2015
Morgan Stanley Bank, N.A. [Member] | Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	10,063
Mortgage acquired for sale Weighted-average repurchase agreement maturity	Nov. 19, 2014
Facility maturity	Dec. 18, 2014
The Royal Bank of Scotland Group [Member] | Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	94,810
Facility maturity	Feb. 17, 2015
Citibank, N.A. [Member] | Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	523,389
Facility maturity	Sep. 07, 2015
Securities sold under agreements to repurchase at fair value [Member] | Daiwa Capital Markets [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	7,048
Facility maturity	Nov. 02, 2014
Securities sold under agreements to repurchase at fair value [Member] | Credit Suisse First Boston Mortgage Capital LLC [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	11,936
Facility maturity	Oct. 19, 2014
Securities sold under agreements to repurchase at fair value [Member] | Bank of America, N.A. [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 4,397
Facility maturity	Oct. 14, 2014

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Commitments and Contingencies - Company's Outstanding Contractual Loan Commitments (Detail) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014
Commitments to purchase mortgage loans:
Correspondent production	$ 838,948

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Share-Based Compensation Plans - Additional Information (Detail) (USD $) In Millions, except Share data, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Disclosure of Compensation Related Costs, Share-based Payments [Abstract]
Share-based share compensation plan, and compensation expense	$ 1.6	$ 2.0	$ 5.7	$ 5.0
Restricted share units issued			300,131	250,948
Restricted share units, grant date fair value			$ 6.0	$ 5.2
Units vested	500	75,830	230,716	248,753

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Transactions with Related Parties - Summary of Management Fee Expense and Related Liability (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Management fee:
Base	$ 6,033	$ 5,104	$ 17,392	$ 14,043
Performance incentive	3,590	3,435	9,217	9,443
Total management fee incurred during the year	$ 9,623	$ 8,539	$ 26,609	$ 23,486

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Fair Value - Fair Values and Related Principal Amounts Due upon Maturity of Mortgage Loans Accounted for Under Fair Value Option (Detail) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent
Fair value option loans held as assets, Total		$ 3,276,582
Mortgage loans at fair value	2,561,911	2,600,317
Mortgage loans on real estate principal amount of delinquent loans
Unpaid principal balance	3,570,768	3,857,739
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference
Unpaid principal balance of loans outstanding at period-end		4,637,608
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total	(984,546)	(1,361,026)
Nonperforming loans [Member]
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent
Mortgage loans at fair value	1,439,520	1,469,686
Mortgage loans on real estate principal amount of delinquent loans
Unpaid principal balance	2,199,371	2,415,446
Mortgage loans acquired for sale [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair value option loans held as assets ninety days or less past due	688,850	457,968
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent
Not in foreclosure	0	169
In foreclosure	0	0
Fair value option loans held as assets, Total	0	169
Mortgage loans at fair value	688,850	458,137
Mortgage loans on real estate principal amount of delinquent loans less than ninety days	664,540	447,224
Mortgage loans on real estate principal amount of delinquent loans
Not in foreclosure	0	162
In foreclosure	0	0
Fair value option loans held as assets ninety days or less past due aggregate difference	24,310	10,744
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference
Not in foreclosure	0	7
In foreclosure	0	0
Unpaid principal balance of loans outstanding at period-end	664,540	447,386
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total	24,310	10,751
Mortgage loans acquired for sale [Member] | Nonperforming loans [Member]
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference
Unpaid principal balance of loans outstanding at period-end	0	162
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total	0	7
Mortgage loans and mortgage loans under forward purchase agreements at fair value [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair value option loans held as assets ninety days or less past due	1,122,391	1,170,918
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent
Not in foreclosure	558,095	738,043
In foreclosure	881,425	909,484
Mortgage loans at fair value	2,561,911	2,818,445
Fair value option loans held as assets, Total	3,250,761
Mortgage loans on real estate principal amount of delinquent loans less than ninety days	1,371,396	1,506,175
Mortgage loans on real estate principal amount of delinquent loans
Not in foreclosure	860,281	1,190,403
In foreclosure	1,339,090	1,493,644
Fair value option loans held as assets ninety days or less past due aggregate difference	(249,005)	(335,257)
Unpaid principal balance	3,570,767	4,190,222
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference
Not in foreclosure	(302,186)	(452,360)
In foreclosure	(457,665)	(584,160)
Unpaid principal balance of loans outstanding at period-end	4,235,307
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total	(1,008,856)	(1,371,777)
Mortgage loans and mortgage loans under forward purchase agreements at fair value [Member] | Nonperforming loans [Member]
Mortgage loans on real estate principal amount of delinquent loans
Unpaid principal balance	2,199,371	2,684,047
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total	(759,851)	(1,036,520)
Mortgage loans and mortgage loans under forward purchase agreements at fair value [Member] | Nonperforming loans [Member]
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent
Mortgage loans at fair value	$ 1,439,520	$ 1,647,527

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Asset-Backed Secured Financing of the Variable Interest Entity at Fair Value (Tables)

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Summary of Financial Information Relating to Asset-Backed Secured Financing of the VIE

Following is a summary of financial information relating to the asset-backed secured financing of the VIE:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(dollars in thousands)
Period end:
Fair Value	$	166,841		$	170,008
Interest rate		3.50	%		3.50	%
During the period:
Weighted-average fair value	$	168,923		$	1,853		$	168,186		$	625
Interest expense	$	1,584		$	—		$	4,762		$	—
Weighted-average effective interest rate		3.67	%		—			3.73	%		—

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Real Estate Acquired in Settlement of Loans - Summary of Financial Information Relating to REO (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Real Estate [Abstract]
Balance at beginning of period	$ 240,471	$ 88,682	$ 138,942	$ 88,078
Purchases	0	82	3,049	82
Transfers from mortgage loans at fair value and advances	94,530	48,154	268,677	116,957
Transfers from REO under forward purchase agreements	0	114	12,737	114
Results of REO:
Valuation adjustments, net	(15,639)	(5,012)	(32,912)	(16,079)
Gain on sale, net	3,713	2,759	9,485	8,644
Total gain	(11,926)	(2,253)	(23,427)	(7,435)
Proceeds from sales	(47,891)	(35,086)	(124,794)	(98,103)
Balance at end of period	275,185	99,693	275,185	99,693
At period end:
REO pledged to secure assets sold under agreements to repurchase	56,702	17,074	56,702	17,074
REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties	$ 19,858	$ 50,796	$ 19,858	$ 50,796

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Other Expenses - Summary of Other Expenses (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Other Non operating Income Expense [Line Items]
Total other expenses	$ 7,384	$ 7,955	$ 18,604	$ 18,472
Common overhead allocation from PFSI [Member]
Other Non operating Income Expense [Line Items]
Total other expenses	2,802	2,527	8,018	7,793
Servicing and collection costs [Member]
Other Non operating Income Expense [Line Items]
Total other expenses	2,064	1,393	5,809	1,726
Loan origination [Member]
Other Non operating Income Expense [Line Items]
Total other expenses	1,202	1,322	1,637	3,768
Insurance [Member]
Other Non operating Income Expense [Line Items]
Total other expenses	247	219	738	648
Technology [Member]
Other Non operating Income Expense [Line Items]
Total other expenses	246	234	720	588
Securitization [Member]
Other Non operating Income Expense [Line Items]
Total other expenses	0	1,887	0	1,887
Other expenses [Member]
Other Non operating Income Expense [Line Items]
Total other expenses	$ 823	$ 373	$ 1,682	$ 2,062

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Transactions with Related Parties - Other Transactions - Additional Information (Detail) (USD $)	9 Months Ended			3 Months Ended	9 Months Ended		3 Months Ended	9 Months Ended
	Sep. 30, 2014	Dec. 31, 2013	Aug. 04, 2009	Sep. 30, 2014 Management [Member]	Sep. 30, 2014 Management [Member]	Feb. 01, 2013 Management [Member] Maximum [Member]	Sep. 30, 2014 IPO underwriters [Member]	Sep. 30, 2014 IPO underwriters [Member]	Feb. 01, 2013 IPO underwriters [Member] Maximum [Member]
Mortgage Loans on Real Estate [Line Items]
PMT agreed to reimburse PCM for a payment			$ 2,900,000
Rate during reimbursement period					At a rate of $10 in reimbursement for every $100 of performance incentive fees earned.			At a rate of $20 of payments for every $100 of performance incentive fees earned by PCM.
Reimbursement amount for a year						1,000,000			2,000,000
Reimbursement amount						2,900,000			5,900,000
Performance incentive fees payable					10		20
Amount of performance incentive fees for every targeted performance earned	100						100
Payments of contingent underwriting fee to manager				256,000	292,000
Payments of contingent underwriting fees to underwriters							615,000	1,000,000
Reimbursement agreement expiration date								Feb. 01, 2019
Amounts due from PESI	$ 4,300,000	$ 6,000,000
Number of common shares held by affiliate	75,000	75,000

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Fair Value - Additional Information (Detail) (USD $) In Millions, unless otherwise specified	9 Months Ended
	Sep. 30, 2014	Dec. 31, 2013
Mortgage Loans on Real Estate [Line Items]
Initial interest rates	More than 4.5%
Interest rate	4.50%
Mortgage loans description	Pools with 50 basis point interest rate
Basis point for mortgage loan	0.50%
Fair value of notes	$ 244.0	$ 238.4
Minimum [Member]
Mortgage Loans on Real Estate [Line Items]
Fixed-rate mortgage loans	3.00%
Maximum [Member]
Mortgage Loans on Real Estate [Line Items]
Fixed-rate mortgage loans	4.50%

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Loan Sales and Variable Interest Entities - Additional Information (Detail) (USD $) In Millions, unless otherwise specified	0 Months Ended
	Sep. 30, 2013	Sep. 30, 2013
Statement of Financial Position [Abstract]
Certificates issued	$ 537.0
Weighted yield		3.90%
Certificates retained		$ 366.8

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Fair Value - Summary of Financial Statement Items Measured at Fair Value on Recurring Basis (Detail) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Jun. 30, 2014	Dec. 31, 2013	Sep. 30, 2013	Jun. 30, 2013	Dec. 31, 2012
Liabilities:
Asset-backed secured financing of the variable interest entity at fair value	$ 166,841		$ 165,415
Derivative liabilities:
Total derivative liabilities after netting	5,871		9,976
Derivative liabilities, Netting	(3,982)		(8,015)
Gross derivative liability	1,889		1,961
Assets:
Short-term investments	37,452		92,398
Mortgage-backed securities at fair value	267,885		197,401
Mortgage loans acquired for sale at fair value	688,850		458,137
Mortgage loans under forward purchase agreements at fair value	0		218,128
Derivative assets:
Total derivative assets before netting	14,282		20,962
Derivative assets, Netting	(3,938)		(12,986)
Gross derivative asset	10,344		7,976
Mortgage servicing rights at fair value	57,871	46,802	26,452	10,997	1,827	1,346
Recurring [Member]
Liabilities:
Asset-backed secured financing of the variable interest entity at fair value	166,841		165,415
Derivative liabilities:
Total derivative liabilities after netting	5,871		9,976
Derivative liabilities, Netting	(3,982)		(8,015)
Gross derivative liability	1,889		1,961
Total liabilities	168,730		167,376
Assets:
Total Assets	3,811,681		3,739,532
Short-term investments	37,452		92,398
Mortgage-backed securities at fair value	267,885		197,401
Mortgage loans acquired for sale at fair value	688,850		458,137
Mortgage loans at fair value	2,561,911		2,600,317
Mortgage loans under forward purchase agreements at fair value			218,128
Excess servicing spread purchased from PFSI	187,368		138,723
Derivative assets:
Total derivative assets before netting	14,282		20,962
Derivative assets, Netting	(3,938)		(12,986)
Gross derivative asset	10,344		7,976
Mortgage servicing rights at fair value	57,871		26,452
Recurring [Member] | Interest rate lock commitments [Member]
Derivative liabilities:
Gross derivative liability	121		1,261
Derivative assets:
Gross derivative asset	5,512		2,510
Recurring [Member] | MBS put options one [Member]
Derivative assets:
Gross derivative asset	830
Recurring [Member] | MBS put options two [Member]
Derivative assets:
Gross derivative asset	239
Recurring [Member] | Forward purchase contracts [Member]
Derivative liabilities:
Gross derivative liability	478		7,420
Derivative assets:
Gross derivative asset	4,614		1,229
Recurring [Member] | Forward sales contracts [Member]
Derivative liabilities:
Gross derivative liability	5,272		1,295
Derivative assets:
Gross derivative asset	1,142		16,385
Recurring [Member] | Treasury future sale contracts [Member]
Derivative assets:
Gross derivative asset	857
Recurring [Member] | Put options on Eurodollar futures [Member]
Derivative assets:
Gross derivative asset	422		566
Recurring [Member] | Call options on Eurodollar futures [Member]
Derivative assets:
Gross derivative asset	666
Recurring [Member] | MBS put options [Member]
Derivative assets:
Gross derivative asset			272
Recurring [Member] | Level 1 [Member]
Liabilities:
Asset-backed secured financing of the variable interest entity at fair value	0		0
Derivative liabilities:
Total derivative liabilities after netting	0		0
Derivative liabilities, Netting	0		0
Gross derivative liability	0		0
Total liabilities	0		0
Assets:
Total Assets	37,452		92,398
Short-term investments	37,452		92,398
Mortgage-backed securities at fair value	0		0
Mortgage loans acquired for sale at fair value	0		0
Mortgage loans at fair value	0		0
Mortgage loans under forward purchase agreements at fair value			0
Excess servicing spread purchased from PFSI	0		0
Derivative assets:
Total derivative assets before netting	0		0
Derivative assets, Netting	0		0
Gross derivative asset	0		0
Mortgage servicing rights at fair value	0		0
Recurring [Member] | Level 1 [Member] | Interest rate lock commitments [Member]
Derivative liabilities:
Gross derivative liability	0		0
Derivative assets:
Gross derivative asset	0		0
Recurring [Member] | Level 1 [Member] | MBS put options one [Member]
Derivative assets:
Gross derivative asset	0
Recurring [Member] | Level 1 [Member] | MBS put options two [Member]
Derivative assets:
Gross derivative asset	0
Recurring [Member] | Level 1 [Member] | Forward purchase contracts [Member]
Derivative liabilities:
Gross derivative liability	0		0
Derivative assets:
Gross derivative asset	0		0
Recurring [Member] | Level 1 [Member] | Forward sales contracts [Member]
Derivative liabilities:
Gross derivative liability	0		0
Derivative assets:
Gross derivative asset	0		0
Recurring [Member] | Level 1 [Member] | Treasury future sale contracts [Member]
Derivative assets:
Gross derivative asset	0
Recurring [Member] | Level 1 [Member] | Put options on Eurodollar futures [Member]
Derivative assets:
Gross derivative asset	0		0
Recurring [Member] | Level 1 [Member] | Call options on Eurodollar futures [Member]
Derivative assets:
Gross derivative asset	0
Recurring [Member] | Level 1 [Member] | MBS put options [Member]
Derivative assets:
Gross derivative asset			0
Recurring [Member] | Level 2 [Member]
Liabilities:
Asset-backed secured financing of the variable interest entity at fair value	166,841		165,415
Derivative liabilities:
Total derivative liabilities after netting	5,750		8,715
Derivative liabilities, Netting	(3,982)		(8,015)
Gross derivative liability	1,768		700
Total liabilities	168,609		166,115
Assets:
Total Assets	1,492,376		1,184,656
Short-term investments	0		0
Mortgage-backed securities at fair value	267,885		197,401
Mortgage loans acquired for sale at fair value	688,850		458,137
Mortgage loans at fair value	530,809		523,652
Mortgage loans under forward purchase agreements at fair value			0
Excess servicing spread purchased from PFSI	0		0
Derivative assets:
Total derivative assets before netting	8,770		18,452
Derivative assets, Netting	(3,938)		(12,986)
Gross derivative asset	4,832		5,466
Mortgage servicing rights at fair value	0		0
Recurring [Member] | Level 2 [Member] | Interest rate lock commitments [Member]
Derivative liabilities:
Gross derivative liability	0		0
Derivative assets:
Gross derivative asset	0		0
Recurring [Member] | Level 2 [Member] | MBS put options one [Member]
Derivative assets:
Gross derivative asset	830
Recurring [Member] | Level 2 [Member] | MBS put options two [Member]
Derivative assets:
Gross derivative asset	239
Recurring [Member] | Level 2 [Member] | Forward purchase contracts [Member]
Derivative liabilities:
Gross derivative liability	478		7,420
Derivative assets:
Gross derivative asset	4,614		1,229
Recurring [Member] | Level 2 [Member] | Forward sales contracts [Member]
Derivative liabilities:
Gross derivative liability	5,272		1,295
Derivative assets:
Gross derivative asset	1,142		16,385
Recurring [Member] | Level 2 [Member] | Treasury future sale contracts [Member]
Derivative assets:
Gross derivative asset	857
Recurring [Member] | Level 2 [Member] | Put options on Eurodollar futures [Member]
Derivative assets:
Gross derivative asset	422		566
Recurring [Member] | Level 2 [Member] | Call options on Eurodollar futures [Member]
Derivative assets:
Gross derivative asset	666
Recurring [Member] | Level 2 [Member] | MBS put options [Member]
Derivative assets:
Gross derivative asset			272
Recurring [Member] | Level 3 [Member]
Liabilities:
Asset-backed secured financing of the variable interest entity at fair value	0		0
Derivative liabilities:
Total derivative liabilities after netting	121		1,261
Derivative liabilities, Netting	0		0
Gross derivative liability	121		1,261
Total liabilities	121		1,261
Assets:
Total Assets	2,281,853		2,462,478
Short-term investments	0		0
Mortgage-backed securities at fair value	0		0
Mortgage loans acquired for sale at fair value	0		0
Mortgage loans at fair value	2,031,102		2,076,665
Mortgage loans under forward purchase agreements at fair value			218,128
Excess servicing spread purchased from PFSI	187,368		138,723
Derivative assets:
Total derivative assets before netting	5,512		2,510
Derivative assets, Netting	0		0
Gross derivative asset	5,512		2,510
Mortgage servicing rights at fair value	57,871		26,452
Recurring [Member] | Level 3 [Member] | Interest rate lock commitments [Member]
Derivative liabilities:
Gross derivative liability	121		1,261
Derivative assets:
Gross derivative asset	5,512		2,510
Recurring [Member] | Level 3 [Member] | MBS put options one [Member]
Derivative assets:
Gross derivative asset	0
Recurring [Member] | Level 3 [Member] | MBS put options two [Member]
Derivative assets:
Gross derivative asset	0
Recurring [Member] | Level 3 [Member] | Forward purchase contracts [Member]
Derivative liabilities:
Gross derivative liability	0		0
Derivative assets:
Gross derivative asset	0		0
Recurring [Member] | Level 3 [Member] | Forward sales contracts [Member]
Derivative liabilities:
Gross derivative liability	0		0
Derivative assets:
Gross derivative asset	0		0
Recurring [Member] | Level 3 [Member] | Treasury future sale contracts [Member]
Derivative assets:
Gross derivative asset	0
Recurring [Member] | Level 3 [Member] | Put options on Eurodollar futures [Member]
Derivative assets:
Gross derivative asset	0		0
Recurring [Member] | Level 3 [Member] | Call options on Eurodollar futures [Member]
Derivative assets:
Gross derivative asset	0
Recurring [Member] | Level 3 [Member] | MBS put options [Member]
Derivative assets:
Gross derivative asset			$ 0

XML

Transactions with Related Parties - Summary of Expenses (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Related Party Transactions [Abstract]
Reimbursement of common overhead incurred by PFSI	$ 2,912	$ 2,552	$ 8,181	$ 8,359
Reimbursement of expenses incurred on the Company's behalf	122	1,934	671	3,767
Total expenses incurred in transaction with affiliates	3,034	4,486	8,852	12,126
Payments and settlements during the period	$ 31,621	$ 29,315	$ 72,975	$ 94,606

XML

Transactions with Related Parties - Summary of Corresponding Production Activity (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013	Dec. 31, 2013
Related Party Transaction [Line Items]
Loan fulfillment fees payable to PFSI	$ 15,497	$ 18,327	$ 36,832	$ 68,625
Unpaid principal balance of loans fulfilled by PFSI	3,677,613	3,681,771	8,588,955	12,792,482
Sourcing fees received from PFSI	1,384	1,204	3,401	3,563
Fair value of loans sold to PFSI	4,861,392	4,147,535	11,947,251	12,429,698
At period end:
Mortgage loans included in mortgage loans acquired for sale pending sale to PFSI	688,850		688,850		458,137
PFSI [Member]
At period end:
Mortgage loans included in mortgage loans acquired for sale pending sale to PFSI	$ 59,719	$ 273,007	$ 59,719	$ 273,007

XML

Borrowings under Forward Purchase Agreements

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Borrowings under Forward Purchase Agreements

Note 18—Borrowings under Forward Purchase Agreements

Following is a summary of financial information relating to borrowings under forward purchase agreements:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(dollars in thousands)
Period end:
Balance	$	—		$	229,841
Interest rate		0.00	%		3.03	%
Fair value of underlying loans and REO	$	—		$	231,595
During the period:
Weighted-average effective interest rate		0.00	%		2.96	%		2.84	%		2.97	%
Weighted-average balance	$	—		$	232,722		$	109,708		$	89,459
Interest expense	$	—		$	1,762		$	2,364		$	2,013
Maximum daily amount outstanding	$	—		$	242,394		$	226,847		$	244,047

XML

Mortgage Loans at Fair Value (Tables)

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Summary of Distribution of Company's Mortgage Loans at Fair Value

Following is a summary of the distribution of the Company’s mortgage loans at fair value:

	September 30, 2014				December 31, 2013
Loan type	Fair value		Unpaid principal balance		Fair value		Unpaid principal balance
	(in thousands)
Nonperforming loans	$	1,439,520	$	2,199,371	$	1,469,686	$	2,415,446
Performing loans:
Fixed interest rate		303,569		432,358		310,607		475,568
Adjustable-rate mortgage (“ARM”)/hybrid		104,594		134,861		165,327		207,553
Interest rate step-up		183,263		279,244		130,906		215,702
Balloon		156		209		139		213
		591,582		846,672		606,979		899,036
Mortgage loans held in a VIE securing asset-backed financing
Fixed interest rate jumbo		530,809		524,725		523,652		543,257
	$	2,561,911	$	3,570,768	$	2,600,317	$	3,857,739
Mortgage loans at fair value pledged to secure borrowings at period end:
Assets sold under agreements to repurchase	$	2,272,089			$	2,314,324
Mortgage loans held in a consolidated subsidiary whose stock is pledged to secure financings of such loans	$	1,679			$	989
Mortgage loans held in a VIE securing an asset-backed financing	$	530,809			$	523,652

Summary of Certain Concentrations of Credit Risk in Portfolio of Mortgage Loans at Fair Value, Excluding VIE Securing Asset-Backed Financing

Following is a summary of certain concentrations of credit risk in the portfolio of mortgage loans at fair value, excluding mortgage loans held in a VIE securing asset-backed financing:

Concentration	September 30, 2014			December 31, 2013
Portion of mortgage loans originated between 2005 and 2007		72	%		72	%
Percentage of fair value of mortgage loans with unpaid-principal-balance-to-current-property-value in excess of 100%		55	%		61	%
Percentage of mortgage loans secured by California real estate		21	%		24	%
Additional states contributing 5% or more of mortgage loans		New York Florida New Jersey			New York Florida New Jersey

XML

Concentration of Risks (Tables)

9 Months Ended

Sep. 30, 2014

Risks and Uncertainties [Abstract]

Fair Value of Mortgage Loans and REO Purchased (Including Purchases under Forward Purchase Agreements) Portion Representing Assets Purchased

A substantial portion of the distressed mortgage loans and REO purchased by the Company has been acquired from or through one or more subsidiaries of Citigroup Inc. The following tables present purchases for the Company’s investment portfolio of mortgage loans and REO (including purchases under forward purchase agreements), and the portion thereof representing assets purchased from or through one or more subsidiaries of Citigroup Inc.:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Investment portfolio purchases:
Mortgage loans	$	—	$	580,822	$	284,403	$	1,024,404
REO		—		3,597		3,117		3,686
	$	—	$	584,419	$	287,520	$	1,028,090
Investment portfolio purchases above through one or more subsidiaries of Citigroup Inc.:
Mortgage loans	$	—	$	—	$	26,737	$	443,183
REO		—		3,597		68		3,686
	$	—	$	3,597	$	26,805	$	446,869

Following is a summary of the Company’s holdings of assets purchased through one or more subsidiaries of Citigroup Inc.:

	September 30, 2014		December 31, 2013
	(in thousands)
Mortgage loans at fair value	$	974,402	$	1,138,131
Mortgage loans under forward purchase agreements at fair value		—		218,128
REO		114,195		84,726
REO under forward purchase agreements		—		8,705
	$	1,088,597	$	1,449,690
Total holdings of mortgage loans and REO	$	2,837,096	$	2,966,525

Consolidated Statements of Income and Cash Flows

As a result of recognizing these assets, the Company’s consolidated statements of income and cash flows include the following amounts related to the forward purchase agreements:

	Quarter ended September 30,					Nine months ended September 30,
	2014		2013			2014			2013
	(in thousands)
Statements of income:
Interest income	$	—	$	1,197		$	3,584		$	1,457
Interest expense	$	—	$	1,763		$	2,364		$	2,013
Net gain on investments	$	—	$	8,378		$	803		$	7,688
Net loan servicing fees	$	—	$	—		$	517		$	—
Results of REO	$	—	$	(41	)	$	(473	)	$	(41	)
Statements of cash flows:
Repayments of mortgage loans	$	—	$	8,000		$	6,413		$	8,000
Sales of REO	$	—	$	65		$	5,365		$	65
Repayments of borrowings under forward purchase agreements	$	—	$	(18,618	)	$	(227,866	)	$	(18,618	)

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Transactions with Related Parties - Summary of Investment Activity (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Related Party Transactions [Abstract]
Purchases of excess servicing spread	$ 9,253	$ 2,828	$ 82,646	$ 2,828
Interest income from excess servicing spread	3,577	0	9,578	0
Net (loss) gain on excess servicing spread purchased from PFSI at fair value	(7,396)	29	(17,834)	29
Excess servicing spread recapture recognized	2,143	0	6,558	0
MSR recapture recognized	$ 0	$ 86	$ 9	$ 586

XML

Fair Value - Quantitative Summary of Key Assumptions Used in Valuation of MSRs as of Dates Presented, and Effect on Fair Value from Adverse Changes in Those Assumptions (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013	Dec. 31, 2013	Jun. 30, 2014	Jun. 30, 2013	Dec. 31, 2012
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Carrying value, Amortized cost	$ 287,977	$ 258,678	$ 287,977	$ 258,678	$ 264,120
Unpaid principal balance of underlying mortgage loans, Amortized cost			26,459,404		23,399,612
Weighted-average annual servicing fee rate (in basis points), Amortized cost			0.26%		0.26%
Weighted-average note interest rate, Amortized cost			3.77%		3.68%
Balance at end of period	57,871	10,997	57,871	10,997	26,452	46,802	1,827	1,346
Unpaid principal balance of underlying mortgage loans, Fair Value	5,803,275		5,803,275		2,393,321
Weighted-average annual servicing fee rate (in basis points), Fair value input	0.25%	0.25%	0.25%	0.25%	0.26%
Weighted-average note interest rate, Fair value			4.78%		4.78%
Pricing spread [Member] | Effect on value of 5% adverse change [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized Cost, Annual per-loan cost of servicing	(5,718)		(5,718)		(5,490)
Effect on value of percentage adverse change, Fair value input	(1,024)		(1,024)		(488)
Pricing spread [Member] | Effect on value of 10% adverse change [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized Cost, Annual per-loan cost of servicing	(11,245)		(11,245)		(10,791)
Effect on value of percentage adverse change, Fair value input	(2,013)		(2,013)		(959)
Pricing spread [Member] | Effect on value of 20% adverse change [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized Cost, Annual per-loan cost of servicing	(21,759)		(21,759)		(20,861)
Effect on value of percentage adverse change, Fair value input	(3,897)		(3,897)		(1,855)
Prepayment speed [Member] | Effect on value of 5% adverse change [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized Cost, Annual per-loan cost of servicing	(5,886)		(5,886)		(5,467)
Effect on value of percentage adverse change, Fair value input	(1,396)		(1,396)		(568)
Prepayment speed [Member] | Effect on value of 10% adverse change [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized Cost, Annual per-loan cost of servicing	(11,589)		(11,589)		(10,765)
Effect on value of percentage adverse change, Fair value input	(2,742)		(2,742)		(1,117)
Prepayment speed [Member] | Effect on value of 20% adverse change [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized Cost, Annual per-loan cost of servicing	(22,480)		(22,480)		(20,886)
Effect on value of percentage adverse change, Fair value input	(5,288)		(5,288)		(2,160)
Cost of servicing [Member] | Effect on value of 5% adverse change [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized Cost, Annual per-loan cost of servicing	(1,905)		(1,905)		(1,695)
Effect on value of percentage adverse change, Fair value input	(364)		(364)		(158)
Cost of servicing [Member] | Effect on value of 10% adverse change [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized Cost, Annual per-loan cost of servicing	(3,809)		(3,809)		(3,390)
Effect on value of percentage adverse change, Fair value input	(729)		(729)		(316)
Cost of servicing [Member] | Effect on value of 20% adverse change [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized Cost, Annual per-loan cost of servicing	(7,619)		(7,619)		(6,780)
Effect on value of percentage adverse change, Fair value input	(1,457)		(1,457)		(633)
Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized cost, Pricing spread	6.30%		6.30%		6.30%
Amortized cost, Weighted average life (in years)			1 year 3 months 18 days		1 year 3 months 18 days
Amortized cost, Prepayment speed	7.70%		7.70%		7.70%
Amortized cost, Annual per- loan cost of servicing	68		68		68
Estimated fair value inputs, Pricing spread	7.60%		7.60%		7.30%
Estimated fair value inputs, Prepayment speed	8.00%		8.00%		8.00%
Estimated fair value inputs, Annual per-loan cost of servicing	68		68		68
Minimum [Member] | Mortgage service rights [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Estimated fair value inputs, Weighted average life (in years)			2 years 4 months 24 days		2 years 9 months 18 days
Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized cost, Pricing spread	17.50%		17.50%		17.50%
Amortized cost, Weighted average life (in years)			7 years 2 months 12 days		7 years 3 months 18 days
Amortized cost, Prepayment speed	52.70%		52.70%		51.90%
Amortized cost, Annual per- loan cost of servicing	140		140		140
Estimated fair value inputs, Pricing spread	15.30%		15.30%		15.30%
Estimated fair value inputs, Prepayment speed	32.70%		32.70%		20.00%
Estimated fair value inputs, Annual per-loan cost of servicing	140		140		140
Maximum [Member] | Mortgage service rights [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Estimated fair value inputs, Weighted average life (in years)			7 years 2 months 12 days		7 years 3 months 18 days
Weighted average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized cost, Pricing spread	7.30%		7.30%		6.70%
Amortized cost, Weighted average life (in years)			6 years 4 months 24 days		6 years 8 months 12 days
Amortized cost, Prepayment speed	8.60%		8.60%		8.20%
Amortized cost, Annual per- loan cost of servicing	68		68		68
Estimated fair value inputs, Pricing spread	9.10%		9.10%		8.60%
Estimated fair value inputs, Prepayment speed	10.10%		10.10%		8.90%
Estimated fair value inputs, Annual per-loan cost of servicing	$ 69		$ 69		$ 68
Weighted average [Member] | Mortgage service rights [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Estimated fair value inputs, Weighted average life (in years)			7 years		7 years 2 months 12 days

XML

Supplemental Cash Flow Information

9 Months Ended

Sep. 30, 2014

Supplemental Cash Flow Elements [Abstract]

Supplemental Cash Flow Information

Note 30—Supplemental Cash Flow Information

	Nine months ended September 30,
	2014			2013
	(in thousands)
Cash paid for interest	$	68,443		$	58,290
Income tax refund	$	(6,782	)	$	(6,137	)
Non-cash investing activities:
Transfer of mortgage loans acquired for sale at fair value to mortgage loans at fair value held by variable interest entity	$	—		$	536,776
Transfer of mortgage loans and advances to real estate acquired in settlement of loans	$	268,677		$	116,957
Purchase of mortgage loans financed through forward purchase agreements	$	2,828		$	245,389
Transfer of mortgage loans under forward purchase agreements to mortgage loans at fair value	$	205,902		$	13,018
Transfer of mortgage loans under forward purchase agreements and advances to REO under forward purchase agreements	$	9,369		$	3,604
Receipt of MSRs as proceeds from sales of loans	$	89,230		$	156,229
Purchase of REO financed through forward purchase agreements	$	—		$	3,604
Receipt of ESS pursuant to recapture agreement with PFSI	$	6,093		$	—
Transfer of REO under forward purchase agreements to REO	$	12,737		$	114
Non-cash financing activities:
Purchase of mortgage loans financed through forward purchase agreements	$	2,828		$	245,389
Purchase of REO financed through forward purchase agreements	$	—		$	3,604
Transfer of mortgage loans at fair value financed through agreements to repurchase to REO financed under agreements to repurchase	$	3,491		$	25,141
Dividends payable	$	45,467		$	—

XML

Real Estate Acquired in Settlement of Loans (Tables)

9 Months Ended

Sep. 30, 2014

Banking and Thrift [Abstract]

Summary of Financial Information Relating to REO

Following is a summary of financial information relating to REO:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Balance at beginning of period	$	240,471		$	88,682		$	138,942		$	88,078
Purchases		—			82			3,049			82
Transfers from mortgage loans at fair value and advances		94,530			48,154			268,677			116,957
Transfers from REO under forward purchase agreements		—			114			12,737			114
Results of REO:
Valuation adjustments, net		(15,639	)		(5,012	)		(32,912	)		(16,079	)
Gain on sale, net		3,713			2,759			9,485			8,644
		(11,926	)		(2,253	)		(23,427	)		(7,435	)
Proceeds from sales		(47,891	)		(35,086	)		(124,794	)		(98,103	)
Balance at end of period	$	275,185		$	99,693		$	275,185		$	99,693
At period end:
REO pledged to secure assets sold under agreements to repurchase	$	56,702		$	17,074
REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties	$	19,858		$	50,796

XML

Supplemental Cash Flow Information (Tables)

9 Months Ended

Sep. 30, 2014

Supplemental Cash Flow Elements [Abstract]

Summary of Supplemental Cash Flow Information

	Nine months ended September 30,
	2014			2013
	(in thousands)
Cash paid for interest	$	68,443		$	58,290
Income tax refund	$	(6,782	)	$	(6,137	)
Non-cash investing activities:
Transfer of mortgage loans acquired for sale at fair value to mortgage loans at fair value held by variable interest entity	$	—		$	536,776
Transfer of mortgage loans and advances to real estate acquired in settlement of loans	$	268,677		$	116,957
Purchase of mortgage loans financed through forward purchase agreements	$	2,828		$	245,389
Transfer of mortgage loans under forward purchase agreements to mortgage loans at fair value	$	205,902		$	13,018
Transfer of mortgage loans under forward purchase agreements and advances to REO under forward purchase agreements	$	9,369		$	3,604
Receipt of MSRs as proceeds from sales of loans	$	89,230		$	156,229
Purchase of REO financed through forward purchase agreements	$	—		$	3,604
Receipt of ESS pursuant to recapture agreement with PFSI	$	6,093		$	—
Transfer of REO under forward purchase agreements to REO	$	12,737		$	114
Non-cash financing activities:
Purchase of mortgage loans financed through forward purchase agreements	$	2,828		$	245,389
Purchase of REO financed through forward purchase agreements	$	—		$	3,604
Transfer of mortgage loans at fair value financed through agreements to repurchase to REO financed under agreements to repurchase	$	3,491		$	25,141
Dividends payable	$	45,467		$	—

XML

Mortgage Servicing Rights - Summary of MSRs Carried at Fair Value (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Servicing Asset At Fair Value Changes In Fair Value [Abstract]
Balance at beginning of period	$ 46,802	$ 1,827	$ 26,452	$ 1,346
Purchases	0	1,696	0	1,881
MSRs resulting from loan sales	12,812	7,939	39,954	8,043
Total additions	12,812	9,635	39,954	9,924
Due to changes in valuation inputs or assumptions used in valuation model	(106)	(366)	(4,974)	(64)
Other changes in fair value	(1,500)	(99)	(3,424)	(209)
Change in fair value, Total	(1,606)	(465)	(8,398)	(273)
Sales	(137)	0	(137)	0
Balance at end of period	$ 57,871	$ 10,997	$ 57,871	$ 10,997

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Commitments and Contingencies (Tables)

9 Months Ended

Sep. 30, 2014

Commitments and Contingencies Disclosure [Abstract]

Company's Outstanding Contractual Loan Commitments

The following table summarizes the Company’s outstanding contractual loan commitments:

	September 30, 2014
	(in thousands)
Commitments to purchase mortgage loans:
Correspondent production	$	838,948

XML

Fair Value (Tables)

9 Months Ended

Sep. 30, 2014

Fair Value Disclosures [Abstract]

Summary of Financial Statement Items Measured at Fair Value on Recurring Basis

Following is a summary of financial statement items that are measured at fair value on a recurring basis:

	September 30, 2014
	Level 1		Level 2			Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	37,452	$	—		$	—	$	37,452
Mortgage-backed securities at fair value		—		267,885			—		267,885
Mortgage loans acquired for sale at fair value		—		688,850			—		688,850
Mortgage loans at fair value		—		530,809			2,031,102		2,561,911
Excess servicing spread purchased from PFSI		—		—			187,368		187,368
Derivative assets:
Interest rate lock commitments		—		—			5,512		5,512
MBS put options		—		830			—		830
MBS call options		—		239			—		239
Forward purchase contracts		—		4,614			—		4,614
Forward sales contracts		—		1,142			—		1,142
Treasury futures		—		857			—		857
Put options on Eurodollar futures		—		422			—		422
Call options on Eurodollar futures		—		666			—		666
Total derivative assets before netting before netting		—		8,770			5,512		14,282
Netting (1)		—		(3,938	)		—		(3,938	)
Total derivative assets after netting		—		4,832			5,512		10,344
Mortgage servicing rights at fair value		—		—			57,871		57,871
	$	37,452	$	1,492,376		$	2,281,853	$	3,811,681
Liabilities:
Asset-backed secured financing of the variable interest entity at fair value	$	—	$	166,841		$	—	$	166,841
Derivative liabilities:
Interest rate lock commitments		—		—			121		121
Forward purchase contracts		—		478			—		478
Forward sales contracts		—		5,272			—		5,272
Total derivative liabilities before netting		—		5,750			121		5,871
Netting (1)		—		(3,982	)		—		(3,982	)
Total derivative liabilities after netting		—		1,768			121		1,889
Total liabilities	$	—	$	168,609		$	121	$	168,730

(1) Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the offsetting of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement.

	December 31, 2013
	Level 1		Level 2			Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	92,398	$	—		$	—	$	92,398
Mortgage-backed securities at fair value		—		197,401			—		197,401
Mortgage loans acquired for sale at fair value		—		458,137			—		458,137
Mortgage loans at fair value		—		523,652			2,076,665		2,600,317
Mortgage loans under forward purchase agreements at fair value		—		—			218,128		218,128
Excess servicing spread purchased from PFSI		—		—			138,723		138,723
Derivative assets:
Interest rate lock commitments		—		—			2,510		2,510
MBS put options		—		272			—		272
Forward purchase contracts		—		1,229			—		1,229
Forward sales contracts		—		16,385			—		16,385
Options on Eurodollar futures		—		566			—		566
Total derivative assets		—		18,452			2,510		20,962
Netting (1)		—		(12,986	)		—		(12,986	)
Total derivative assets after netting		—		5,466			2,510		7,976
Mortgage servicing rights at fair value		—		—			26,452		26,452
	$	92,398	$	1,184,656		$	2,462,478	$	3,739,532
Liabilities:
Asset-backed secured financing of the variable interest entity at fair value	$	—	$	165,415		$	—	$	165,415
Derivative liabilities:
Interest rate lock commitments		—		—			1,261		1,261
Forward purchase contracts		—		7,420			—		7,420
Forward sales contracts		—		1,295			—		1,295
Total derivative liabilities		—		8,715			1,261		9,976
Netting (1)		—		(8,015	)		—		(8,015	)
Total derivative liabilities		—		700			1,261		1,961
Total liabilities	$	—	$	166,115		$	1,261	$	167,376

(1) Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the offsetting of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement.

Summary of Changes in Items Measured Using Level 3 Inputs on Recurring Basis

The following is a summary of changes in items measured using Level 3 inputs on a recurring basis:

	Quarter ended September 30, 2014
	Mortgage loans at fair value			Excess servicing spread			Interest rate lock commitments(1)			Mortgage servicing rights			Total
	(in thousands)
Assets:
Balance, June 30, 2014	$	2,156,501		$	190,244		$	11,087		$	46,802		$	2,404,634
Purchases		—			9,253			—			—			9,253
Repayments and sales		(126,413	)		(8,786	)		—			(137	)		(135,336	)
Accrual of interest		—			3,577			—			—			3,577
ESS received pursuant to a recapture agreement with PFSI		—			2,619			—			—			2,619
Interest rate lock commitments issued, net		—			—			14,046			—			14,046
Capitalization of interest		10,451			—			—			—			10,451
Servicing received as proceeds from sales of mortgage loans		—			—			—			12,812			12,812
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		13,850			—									13,850
Other factors		67,446			(9,539	)		843			(1,606	)		57,144
		81,296			(9,539	)		843			(1,606	)		70,994
Transfers of mortgage loans to REO		(90,733	)		—			—			—			(90,733	)
Transfers of interest rate lock commitments to mortgage loans acquired for sale at fair value		—			—			(20,585	)		—			(20,585	)
Balance, September 30, 2014	$	2,031,102		$	187,368		$	5,391		$	57,871		$	2,281,732
Changes in fair value recognized during the period relating to assets still held at September 30, 2014	$	70,713		$	(9,539	)	$	5,391		$	(1,606	)	$	64,959

(1) For the purpose of this table, the interest rate lock asset and liability positions are shown net.

	Quarter ended September 30, 2013
	Mortgage loans at fair value			Agency Debt		Mortgage loans under forward purchase agreements			Excess servicing spread		Net interest rate lock commitments (1)			Mortgage servicing rights			Total
	(in thousands)
Assets:
Balance, June 30, 2013	$	1,309,765		$	—	$	242,531		$	—	$	(16,967	)	$	1,827		$	1,537,156
Purchases		579,260			12,000		1,710			2,828		—			1,696			597,494
Repayments		(59,404	)		—		(8,000	)		—		—			—			(67,404	)
Interest rate lock commitments issued, net		—			—		—			—		16,299			—			16,299
Capitalization of interest		13,203			—		—			—		—			—			13,203
Servicing received as proceeds from sales of mortgage loans		—			—		—			—		—			7,939			7,939
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		18,732			—		69			—								18,801
Other factors		20,876			578		8,309			29		4,841			(465	)		34,168
		39,608			578		8,378			29		4,841			(465	)		52,969
Transfers of mortgage loans under forward purchase agreements to mortgage loans		13,018			—		(13,018	)		—								—
Transfers of mortgage loans to REO		(46,794	)		—		—			—								(46,794	)
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements		—			—		(3,515	)		—								(3,515	)
Transfers of interest rate lock commitments to mortgage loans acquired for sale		—			—		—			—		7,273			—			7,273
Balance, September 30, 2013	$	1,848,656		$	12,578	$	228,086		$	2,857	$	11,446		$	10,997		$	2,114,620
Changes in fair value recognized during the period relating to assets still held at September 30, 2013	$	33,062		$	578	$	6,949		$	29	$	11,446		$	(465	)	$	51,599

(1) For the purpose of this table, the interest rate lock asset and liability positions are shown net.

	Nine months ended September 30, 2014
	Mortgage loans at fair value			Mortgage loans under forward purchase agreements			Excess servicing spread			Interest rate lock commitments (1)			Mortgage servicing rights			Total
	(in thousands)
Assets:
Balance, December 31, 2013	$	2,076,665		$	218,128		$	138,723		$	1,249		$	26,452		$	2,461,217
Purchases		283,017			1,386			82,646			—			—			367,049
Repayments and sales		(513,843	)		(6,413	)		(25,280	)		—			(137	)		(545,673	)
Accrual of interest		—			—			9,578			—			—			9,578
ESS received pursuant to a recapture agreement with PFSI		—			—			6,093			—			—			6,093
Interest rate lock commitments issued, net		—			—			—			45,800			—			45,800
Capitalization of interest		39,005			1,800			—			—			—			40,805
Servicing received as proceeds from sales of mortgage loans		—			—			—			—			39,954			39,954
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		54,612			2,269			—									56,881
Other factors		139,393			(1,466	)		(24,392	)		12,837			(8,398	)		117,974
		194,005			803			(24,392	)		12,837			(8,398	)		174,855
Transfers of mortgage loans under forward purchase agreements to mortgage loans		205,902			(205,902	)		—			—			—			—
Transfers of mortgage loans to REO		(253,649	)		—			—			—			—			(253,649	)
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements		—			(9,802	)		—			—			—			(9,802	)
Transfers of interest rate lock commitments to mortgage loans acquired for sale		—			—			—			(54,495	)		—			(54,495	)
Balance, September 30, 2014	$	2,031,102		$	—		$	187,368		$	5,391		$	57,871		$	2,281,732
Changes in fair value recognized during the period relating to assets still held at September 30, 2014	$	126,773		$	—		$	(24,392	)	$	5,391		$	(8,398	)	$	99,374

(1) For the purpose of this table, the interest rate lock asset and liability positions are shown net.

	Nine months ended September 30, 2013
	Mortgage loans at fair value			Agency Debt		Mortgage loans under forward purchase agreements			Excess servicing spread		Net interest rate lock commitments (1)			Mortgage servicing rights			Total
	(in thousands)
Assets:
Balance, June 30, 2013	$	1,189,971		$	—	$	—		$	—	$	19,479		$	1,346		$	1,210,796
Purchases		779,746			12,000		245,020			2,828		—			1,881			1,041,475
Repayments		(194,645	)		—		(8,000	)		—		—			—			(202,645	)
Interest rate lock commitments issued, net		—			—		—			—		71,195			—			71,195
Capitalization of interest		25,017			—		—			—		—			—			25,017
Servicing received as proceeds from sales of mortgage loans		—			—		—			—		—			8,043			8,043
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		31,176			—		69			—								31,245
Other factors		119,935			578		7,619			29		(25,831	)		(273	)		102,057
		151,111			578		7,688			29		(25,831	)		(273	)		133,302
Transfers of mortgage loans under forward purchase agreements to mortgage loans		13,018			—		(13,018	)		—								—
Transfers of mortgage loans to REO		(115,562	)		—		—			—								(115,562	)
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements		—			—		(3,604	)		—								(3,604	)
Transfers of interest rate lock commitments to mortgage loans		—			—		—			—		(53,397	)		—			(53,397	)
Balance, September 30, 2013	$	1,848,656		$	12,578	$	228,086		$	2,857	$	11,446		$	10,997		$	2,114,620
Changes in fair value recognized during the period relating to assets still held at September 30, 2013	$	102,843		$	578	$	6,106		$	29	$	11,446		$	(273	)	$	120,729

(1) For the purpose of this table, the interest rate lock asset and liability positions are shown net.

Fair Values and Related Principal Amounts Due upon Maturity of Mortgage Loans Accounted for Under Fair Value Option

Following are the fair values and related principal amounts due upon maturity of mortgage loans accounted for under the fair value option (including mortgage loans acquired for sale, mortgage loans at fair value and mortgage loans under forward purchase agreements at fair value):

	September 30, 2014
	Fair value		Principal amount due upon maturity		Difference
	(in thousands)
Mortgage loans acquired for sale:
Current through 89 days delinquent	$	688,850	$	664,540	$	24,310
90 or more days delinquent (1)
Not in foreclosure		—		—		—
In foreclosure		—		—		—
		—		—		—
		688,850		664,540		24,310
Mortgage loans at fair value:
Current through 89 days delinquent		1,122,391		1,371,396		(249,005	)
90 or more days delinquent (1)
Not in foreclosure		558,095		860,281		(302,186	)
In foreclosure		881,425		1,339,090		(457,665	)
		1,439,520		2,199,371		(759,851	)
		2,561,911		3,570,767		(1,008,856	)
	$	3,250,761	$	4,235,307	$	(984,546	)

(1) Loans delinquent 90 or more days are placed on nonaccrual status and previously accrued interest is reversed.

	December 31, 2013
	Fair value		Principal amount due upon maturity		Difference
	(in thousands)
Mortgage loans acquired for sale:
Current through 89 days delinquent	$	457,968	$	447,224	$	10,744
90 or more days delinquent (1)
Not in foreclosure		169		162		7
In foreclosure		—		—		—
		169		162		7
		458,137		447,386		10,751
Mortgage loans and mortgage loans under forward purchase agreements at fair value:
Current through 89 days delinquent		1,170,918		1,506,175		(335,257	)
90 or more days delinquent (1)
Not in foreclosure		738,043		1,190,403		(452,360	)
In foreclosure		909,484		1,493,644		(584,160	)
		1,647,527		2,684,047		(1,036,520	)
		2,818,445		4,190,222		(1,371,777	)
	$	3,276,582	$	4,637,608	$	(1,361,026	)

(1) Loans delinquent 90 or more days are placed on nonaccrual status and previously accrued interest is reversed.

Summary of Changes in Fair Value Included in Current Period Income

Following are the changes in fair value included in current period income by consolidated statement of income line item for financial statement items accounted for under the fair value option:

	Quarter ended September 30, 2014
	Net gain on mortgage loans acquired for sale			Net interest income			Net gain on investments			Net loan servicing fees			Total
	(in thousands)
Assets:
Short-term investments	$	—		$	—		$	—		$	—		$	—
Mortgage-backed securities at fair value		—			108			(821	)		—			(713	)
Mortgage loans acquired for sale at fair value		19,977			—			—			—			19,977
Mortgage loans at fair value		—			385			78,717			—			79,102
Mortgage loans under forward purchase agreements at fair value		—			—			—			—			—
Excess servicing spread at fair value		—			—			(7,396	)		—			(7,396	)
Mortgage servicing rights at fair value		—			—			—			(1,606	)		(1,606	)
	$	19,977		$	493		$	70,500		$	(1,606	)	$	89,364
Liabilities:
Asset-backed secured financing at fair value	$	—		$	(124	)	$	696		$	—		$	572
	$	—		$	(124	)	$	696		$	—		$	572
	Quarter ended September 30, 2013
	Net loss on mortgage loans acquired for sale			Net interest income			Net gain on investments			Net loan servicing fees			Total
	(in thousands)
Assets:
Short-term investments	$	—		$	—		$	—		$	—		$	—
Mortgage-backed securities at fair value		—			—			5,356			—			5,356
Agency debt securities		—			—			578			—			578
Mortgage loans acquired for sale at fair value		(14,519	)		—			—			—			(14,519	)
Mortgage loans at fair value		—			—			39,608			—			39,608
Mortgage loans under forward purchase agreements at fair value		—			—			8,378			—			8,378
Excess servicing spread at fair value		—			—			29			—			29
Mortgage servicing rights at fair value		—			—			—			(465	)		(465	)
	$	(14,519	)	$	—		$	53,949		$	(465	)	$	38,965

	Nine months ended September 30, 2014
	Net gain on mortgage loans acquired for sale		Net interest income			Net gain on investments			Net loan servicing fees			Total
	(in thousands)
Assets:
Short-term investments	$	—	$	—		$	—		$	—		$	—
Mortgage-backed securities at fair value		—		296			6,096			—			6,392
Mortgage loans acquired for sale at fair value		69,812		—			—			—			69,812
Mortgage loans at fair value		—		938			218,912			—			219,850
Mortgage loans under forward purchase agreements at fair value		—		—			803			—			803
Excess servicing spread at fair value		—		—			(17,834	)		—			(17,834	)
Mortgage servicing rights at fair value		—		—			—			(8,398	)		(8,398	)
	$	69,812	$	1,234		$	207,977		$	(8,398	)	$	270,625
Liabilities:
Asset-backed secured financing at fair value	$	—	$	(328	)	$	(7,258	)	$	—		$	(7,586	)
	$	—	$	(328	)	$	(7,258	)	$	—		$	(7,586	)

	Nine months ended September 30, 2013
	Net gain on mortgage loans acquired for sale			Net interest income		Net gain on investments		Net loan servicing fees		Total
	(in thousands)
Assets:
Short-term investments	$	—		$	—	$	—	$	—	$	—
Mortgage-backed securities at fair value		—			—		5,356		—		5,356
Mortgage loans acquired for sale at fair value		(46,699	)		—		—		—		(46,699	)
Mortgage loans at fair value		—			—		151,111		—		151,111
Agency debt securities		—			—		578		—		578
Mortgage loans under forward purchase agreements at fair value		—			—		7,689		—		7,689
Excess servicing spread at fair value		—			—		29		—		29
Mortgage servicing rights at fair value		—			—		—		—		—
	$	(46,699	)	$	—	$	164,763	$	—	$	118,064

Summary of Financial Statement Items Measured at Fair Value on Nonrecurring Basis

Following is a summary of financial statement items that are measured at fair value on a nonrecurring basis:

	September 30, 2014
	Level 1		Level 2		Level 3		Total
	(in thousands)
Real estate asset acquired in settlement of loans	$	—	$	—	$	138,558	$	138,558
Mortgage servicing rights at lower of amortized cost or fair value		—		—		78,176		78,176
	$	—	$	—	$	216,734	$	216,734

	December 31, 2013
	Level 1		Level 2		Level 3		Total
	(in thousands)
Real estate asset acquired in settlement of loans	$	—	$	—	$	63,043	$	63,043
Real estate asset acquired in settlement of loans under forward purchase agreements		—		—		7,760		7,760
Mortgage servicing rights at lower of amortized cost or fair value		—		—		184,067		184,067
	$	—	$	—	$	254,870	$	254,870

Summary of Total Gains (Losses) Recognized on Assets Measured at Estimated Fair Values on Nonrecurring Basis

The following table summarizes the net losses recognized during the period on assets measured at estimated fair values on a nonrecurring basis:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Real estate asset acquired in settlement of loans	$	(14,242	)	$	(4,554	)	$	(24,027	)	$	(8,191	)
Real estate asset acquired in settlement of loans under forward purchase agreements	$	—		$	(29	)	$	—		$	(29	)
Mortgage servicing rights at lower of amortized cost or fair value		602			(212	)		(2,249	)		3,495
	$	(13,640	)	$	(4,795	)	$	(26,276	)	$	(4,725	)

Quantitative Summary of Key Inputs Used in Valuation of Mortgage Loans and Mortgage Loans Under Forward Purchase Agreements at Fair Value

Following is a quantitative summary of key inputs used in the valuation of mortgage loans at fair value and mortgage loans under forward purchase agreements at fair value:

Key inputs	September 30, 2014	December 31, 2013
Mortgage loans at fair value
Discount rate
Range	5.4% – 15.0%	8.7% – 16.9%
Weighted average	8.9%	12.7%
Twelve-month projected housing price index change
Range	4.0% – 5.1%	2.5% – 4.3%
Weighted average	4.8%	3.7%
Prepayment speed (1)
Range	0.0% – 7.4%	0.0% – 3.9%
Weighted average	3.0%	2.0%
Total prepayment speed (2)
Range	0.0% – 27.5%	0.3% – 33.9%
Weighted average	21.6%	24.3%
Mortgage loans under forward purchase agreements
Discount rate
Range	—	9.5% – 13.5%
Weighted average	—	11.9%
Twelve-month projected housing price index change
Range	—	3.3% – 4.2%
Weighted average	—	3.8%
Prepayment speed (1)
Range	—	1.1% – 2.9%
Weighted average	—	2.2%
Total prepayment speed (2)
Range	—	13.4% – 27.9%
Weighted average	—	22.8%

(1) Prepayment speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”).

(2) Total prepayment speed is measured using Life Total CPR.

Summary of Key Inputs Used in Determining Fair Value of ESS

Following are the key inputs used in determining the fair value of ESS:

Key inputs	September 30, 2014	December 31, 2013
Unpaid principal balance of underlying mortgage loans (in thousands)	$27,702,102	$20,512,659
Average servicing fee rate (in basis points)	31	32
Average ESS rate (in basis points)	16	16
Pricing spread (1)
Range	1.7% - 11.8%	2.8% - 14.4%
Weighted average	5.0%	5.4%
Life (in years)
Range	0.4 - 7.3	0.9 - 8.0
Weighted average	5.8	6.1
Annual total prepayment speed (2)
Range	7.6% - 72.4%	7.7% - 48.6%
Weighted average	10.8%	9.7%

(1) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar London Interbank Offered Rate (“LIBOR”) curve for purposes of discounting cash flows relating to ESS.

(2) Prepayment speed is measured using Life Total CPR.

Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments

Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs:

Key inputs	September 30, 2014	December 31, 2013
Pull-through rate
Range	49.8% - 98.0%	64.8% - 98.0%
Weighted average	83.5%	86.4%
MSR value expressed as:
Servicing fee multiple
Range	1.6 - 5.2	1.4 - 5.1
Weighted average	3.9	4.1
Percentage of unpaid principal balance
Range	0.4% - 2.5%	0.4% - 1.3%
Weighted average	1.0%	1.0%

Key Assumptions Used in Determining Fair Value of MSRs at Time of Initial Recognition

Following are the key inputs used in determining the fair value of MSRs at the time of initial recognition:

	Quarter ended September 30,
	2014		2013
Key inputs	Amortized cost	Fair value	Amortized cost	Fair value
	(MSR recognized and unpaid principal balance of underlying loan amounts in thousands)
MSR recognized	$26,802	$12,812	$41,018	$7,939
Unpaid principal balance of underlying mortgage loans	$2,423,013	$1,234,028	$3,404,274	$707,891
Weighted-average annual servicing fee rate (in basis points)	25	25	25	25
Pricing spread (1)
Range	6.5% – 17.5%	8.8% – 13.5%	5.4% – 13.9%	7.4% - 9.6%
Weighted average	8.5%	9.1%	6.3%	8.0%
Life (in years)
Range	1.4 - 7.3	2.8 - 7.3	2.9 - 6.9	3.8 - 6.9
Weighted average	6.6	7.1	6.3	6.8
Annual total prepayment speed (2)
Range	7.6% – 48.8%	8.0% – 30.4%	8.5% – 15.6%	8.8% - 20.7%
Weighted average	9.2%	9.7%	8.9%	9.8%
Annual per-loan cost of servicing
Range	$68 – $140	$68 – $140	$68 – $68	$68 - $68
Weighted average	$70	$70	$68	$68

	Nine months ended September 30,
	2014		2013
Key inputs	Amortized cost	Fair value	Amortized cost	Fair value
	(MSR recognized and unpaid principal balance of underlying loan amounts in thousands)
MSR recognized	$49,276	$39,954	$148,186	$8,043
Unpaid principal balance of underlying mortgage loans	$4,518,100	$3,784,142	$12,247,940	$717,877
Weighted-average annual servicing fee rate (in basis points)	25	25	26	25
Pricing spread (1)
Range	6.3% – 17.5%	8.5% - 13.5%	5.4% – 14.4%	7.4% - 14.4%
Weighted average	8.5%	9.1%	6.6%	8.0%
Life (in years)
Range	1.1 - 7.3	2.8 - 7.3	2.6 - 6.9	2.8 - 6.9
Weighted average	6.3	7.1	6.4	6.8
Annual total prepayment speed (2)
Range	7.6% – 56.4%	8.0% - 30.4%	8.5% – 23.6%	8.8% - 27.0%
Weighted average	9.7%	9.5%	9.0%	10.0%
Annual per-loan cost of servicing
Range	$68 – $140	$68 - $140	$68 – $140	$68 - $68
Weighted average	$69	$69	$68	$68

(1) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans.

(2) Prepayment speed is measured using Life Total CPR.

Quantitative Summary of Key Assumptions Used in Valuation of MSRs as of Dates Presented, and Effect on Fair Value from Adverse Changes in Those Assumptions

Following is a quantitative summary of key inputs used in the valuation of MSRs as of the dates presented, and the effect on the fair value from adverse changes in those assumptions (weighted averages are based upon unpaid principal balance or fair value where applicable):

	September 30, 2014		December 31, 2013
	Amortized cost	Fair value	Amortized cost	Fair value
	(Carrying value, unpaid principal balance and effect on fair value amounts in thousands)
Carrying value	$287,977	$57,871	$264,120	$26,452
Key inputs:
Unpaid principal balance of underlying mortgage loans	$26,459,404	$5,803,275	$23,399,612	$2,393,321
Weighted-average annual servicing fee rate (in basis points)	26	25	26	26
Weighted-average note interest rate	3.77%	4.78%	3.68%	4.78%
Pricing spread (1) (2)
Range	6.3% – 17.5%	7.6% – 15.3%	6.3% – 17.5%	7.3% – 15.3%
Weighted average	7.3%	9.1%	6.7%	8.6%
Effect on fair value of a:
5% adverse change	$(5,718)	$(1,024)	$(5,490)	$(488)
10% adverse change	$(11,245)	$(2,013)	$(10,791)	$(959)
20% adverse change	$(21,759)	$(3,897)	$(20,861)	$(1,855)
Weighted average life (in years)
Range	1.3 - 7.2	2.4 - 7.2	1.3 - 7.3	2.8 - 7.3
Weighted average	6.4	7.0	6.7	7.2
Prepayment speed (1) (3)
Range	7.7% - 52.7%	8.0% - 32.7%	7.7% - 51.9%	8.0% - 20.0%
Weighted average	8.6%	10.1%	8.2%	8.9%
Effect on fair value of a:
5% adverse change	$(5,886)	$(1,396)	$(5,467)	$(568)
10% adverse change	$(11,589)	$(2,742)	$(10,765)	$(1,117)
20% adverse change	$(22,480)	$(5,288)	$(20,886)	$(2,160)
Annual per-loan cost of servicing
Range	$68 – $140	$68 – $140	$68 – $140	$68 – $140
Weighted average	$68	$69	$68	$68
Effect on fair value of a:
5% adverse change	$(1,905)	$(364)	$(1,695)	$(158)
10% adverse change	$(3,809)	$(729)	$(3,390)	$(316)
20% adverse change	$(7,619)	$(1,457)	$(6,780)	$(633)

(1) The effect on value of an adverse change in one of the above-mentioned key inputs may result in recognition of MSR impairment. The extent of impairment recognized will depend on the relationship of fair value to the carrying value of MSRs.

(2) Pricing spread represents a margin that is added to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans and purchased MSRs not backed by pools of distressed mortgage loans.

(3) Prepayment speed is measured using Life Total CPR.

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Concentration of Risks

9 Months Ended

Sep. 30, 2014

Risks and Uncertainties [Abstract]

Concentration of Risks

Note 2—Concentration of Risks

As discussed in Note 1—Organization and Basis of Presentation above, PMT’s operations and investing activities are centered in mortgage-related assets, a substantial portion of which are distressed at acquisition. Many of the mortgage loans in its targeted asset class are purchased at discounts reflecting their distressed state or perceived higher risk of default, as well as a greater likelihood of collateral documentation deficiencies.

Because of the Company’s investment focus, PMT is exposed, to a greater extent than traditional mortgage investors, to the risks that borrowers may be in economic distress and/or may have become unemployed, bankrupt or otherwise unable or unwilling to make payments when due, and to the effects of fluctuations in the residential real estate market on the performance of its investments. Factors influencing these risks include, but are not limited to:

• changes in the overall economy and unemployment rates and residential real estate values in the markets where the properties securing the Company’s mortgage loans are located;

• PCM’s ability to identify and the Servicer’s ability to execute optimal resolutions of problem mortgage loans;

• the accuracy of valuation information obtained during the Company’s due diligence activities;

• PCM’s ability to effectively model, and to develop appropriate model assumptions that properly anticipate, future outcomes;

• the level of government support for problem loan resolution and the effect of current and future proposed and enacted legislative and regulatory changes on the Company’s ability to effect cures or resolutions to distressed loans; and

• regulatory, judicial and legislative support of the foreclosure process, and the resulting effect on the Company’s ability to acquire and liquidate the real estate securing its portfolio of distressed mortgage loans in a timely manner or at all.

Due to these uncertainties, there can be no assurance that risk management activities identified and executed on PMT’s behalf will prevent significant losses arising from the Company’s investments in real estate-related assets.

A substantial portion of the distressed mortgage loans and REO purchased by the Company has been acquired from or through one or more subsidiaries of Citigroup Inc. The following tables present purchases for the Company’s investment portfolio of mortgage loans and REO (including purchases under forward purchase agreements), and the portion thereof representing assets purchased from or through one or more subsidiaries of Citigroup Inc.:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Investment portfolio purchases:
Mortgage loans	$	—	$	580,822	$	284,403	$	1,024,404
REO		—		3,597		3,117		3,686
	$	—	$	584,419	$	287,520	$	1,028,090
Investment portfolio purchases above through one or more subsidiaries of Citigroup Inc.:
Mortgage loans	$	—	$	—	$	26,737	$	443,183
REO		—		3,597		68		3,686
	$	—	$	3,597	$	26,805	$	446,869

Following is a summary of the Company’s holdings of assets purchased through one or more subsidiaries of Citigroup Inc.:

	September 30, 2014		December 31, 2013
	(in thousands)
Mortgage loans at fair value	$	974,402	$	1,138,131
Mortgage loans under forward purchase agreements at fair value		—		218,128
REO		114,195		84,726
REO under forward purchase agreements		—		8,705
	$	1,088,597	$	1,449,690
Total holdings of mortgage loans and REO	$	2,837,096	$	2,966,525

During the year ended December 31, 2013, the Company entered into forward purchase agreements with Citigroup Global Markets Realty Corp. (“CGM”), a subsidiary of Citigroup Inc., to purchase certain nonperforming mortgage loans and REO (collectively, the “CGM Assets”). The CGM Assets were acquired by CGM from unaffiliated money center banks and were held in a trust subsidiary by CGM pending settlement by the Company. The commitment under the forward purchase agreement was settled in full during the quarter ended June 30, 2014.

The Company recognized these assets and related obligations as of the dates of the agreements and recognizes all subsequent income and changes in value relating to such assets. As a result of recognizing these assets, the Company’s consolidated statements of income and cash flows include the following amounts related to the forward purchase agreements:

	Quarter ended September 30,					Nine months ended September 30,
	2014		2013			2014			2013
	(in thousands)
Statements of income:
Interest income	$	—	$	1,197		$	3,584		$	1,457
Interest expense	$	—	$	1,763		$	2,364		$	2,013
Net gain on investments	$	—	$	8,378		$	803		$	7,688
Net loan servicing fees	$	—	$	—		$	517		$	—
Results of REO	$	—	$	(41	)	$	(473	)	$	(41	)
Statements of cash flows:
Repayments of mortgage loans	$	—	$	8,000		$	6,413		$	8,000
Sales of REO	$	—	$	65		$	5,365		$	65
Repayments of borrowings under forward purchase agreements	$	—	$	(18,618	)	$	(227,866	)	$	(18,618	)

The Company has no other variable interests in the trust entity or other exposure to the creditors of the trust entity that could expose the Company to loss.

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Regulatory Net Worth - Additional Information (Detail) (USD $) In Millions, unless otherwise specified	Sep. 30, 2014
Fannie Mae Capital Markets [Member]
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items]
Minimum net worth amount	$ 57.7
Freddie Mac Capital Markets [Member]
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items]
Minimum net worth amount	$ 27.7

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Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Parenthetical) (Detail) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Disclosure of Repurchase Agreements [Abstract]
Amortization of commitment fees and insurance costs	$ 2.2	$ 2.7	$ 7.4	$ 7.4

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Net Gain on Mortgage Loans Acquired for Sale (Tables)

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Summary of Net Gain on Mortgage Loans Acquired for Sale

Net gain on mortgage loans acquired for sale is summarized below:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Cash (loss) gain:
Sales proceeds, net	$	(15,473	)	$	(108,960	)	$	(21,540	)	$	(207,912	)
Hedging activities		(12,705	)		114,405			(35,004	)		160,109
		(28,178	)		5,445			(56,544	)		(47,803	)
Non cash gain:
Receipt of MSRs in loan sale transactions		39,613			48,957			89,230			156,229
Provision for losses relating to representations and warranties provided in loan sales		(1,359	)		(1,474	)		(3,125	)		(4,701	)
Change in fair value of IRLCs, mortgage loans and hedging derivatives held at period end:
IRLCs		(5,697	)		28,413			4,140			(8,033	)
Mortgage loans		(3,073	)		48,205			5,000			11,211
Hedging derivatives		8,203			(118,515	)		(8,999	)		(22,155	)
		(567	)		(41,897	)		142			(18,977	)
	$	9,509		$	11,031		$	29,702		$	84,748

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Shareholders' Equity - Additional Information (Detail) (USD $)	9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013 ATM Equity Offering Sales AgreementSM [Member]	Sep. 30, 2014 ATM Equity Offering Sales AgreementSM [Member]
Shareholders' Equity [Line Items]
Amount of common stock available for future issuance under Sales Agreement		$ 197,500,000	$ 115,000,000
Number of common shares sold under Sales Agreement	3,447,022	0
Weighted average price of common shares sold under Sales Agreement	$ 23.92
Proceeds from public offering of common shares	81,600,000
Sales commissions net	$ 899,000

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Segments and Related Information - Additional Information (Detail)	9 Months Ended
	Sep. 30, 2014 Segment
Segment Reporting [Abstract]
Number of segments	2

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Transactions with Related Parties (Tables)

9 Months Ended

Sep. 30, 2014

Related Party Transactions [Abstract]

Summary of Corresponding Production Activity

Following is a summary of correspondent production activity between the Company and PFSI:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Loan fulfillment fees payable to PFSI	$	15,497	$	18,327	$	36,832	$	68,625
Unpaid principal balance of loans fulfilled by PFSI	$	3,677,613	$	3,681,771	$	8,588,955	$	12,792,482
Sourcing fees received from PFSI	$	1,384	$	1,204	$	3,401	$	3,563
Fair value of loans sold to PFSI	$	4,861,392	$	4,147,535	$	11,947,251	$	12,429,698
At period end:
Mortgage loans included in mortgage loans acquired for sale pending sale to PFSI	$	59,719	$	273,007

Summary of Mortgage Loan Servicing Fees Payable

Following is a summary of mortgage loan servicing fees payable to PFSI:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Mortgage loans acquired for sale at fair value:
Base	$	28	$	62	$	74	$	231
Activity-based		35		77		112		260
		63		139		186		491
Distressed mortgage loans:
Base		4,679		4,166		14,620		11,737
Activity-based		4,076		3,414		16,208		7,739
		8,755		7,580		30,828		19,476
MSRs:
Base		3,459		2,911		9,930		7,037
Activity-based		48		108		152		247
		3,507		3,019		10,082		7,284
	$	12,325	$	10,738	$	41,096	$	27,251

Summary of Management Fee Expense and Related Liability

Following is a summary of the base management and performance incentive fees payable to PFSI recorded by the Company:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Management fee:
Base	$	6,033	$	5,104	$	17,392	$	14,043
Performance incentive		3,590		3,435		9,217		9,443
	$	9,623	$	8,539	$	26,609	$	23,486

Summary of Investment Activity

Following is a summary of investment activity between the Company and PFSI:

	Quarter ended September 30,					Nine months ended September 30,
	2014			2013		2014			2013
	(in thousands)
Purchases of excess servicing spread	$	9,253		$	2,828	$	82,646		$	2,828
Interest income from excess servicing spread	$	3,577		$	—	$	9,578		$	—
Net (loss) gain on excess servicing spread purchased from PFSI at fair value	($	7,396	)	$	29	($	17,834	)		29
Excess servicing spread recapture recognized	$	2,143		$	—	$	6,558		$	—
MSR recapture recognized	$	—		$	86	$	9		$	586

Summary of Expenses

The Company reimburses PFSI and its affiliates for other expenses, including common overhead expenses and other expenses incurred on its behalf by PFSI, in accordance with the terms of its management agreement as summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Reimbursement of:
Common overhead incurred by PFSI	$	2,912	$	2,552	$	8,181	$	8,359
Expenses incurred on the Company’s behalf		122		1,934		671		3,767
	$	3,034	$	4,486	$	8,852	$	12,126
Payments and settlements during the period (1)	$	31,621	$	29,315	$	72,975	$	94,606

(1) Payments and settlements include payments for management fees and correspondent production activities itemized in the preceding tables and netting settlements made pursuant to master netting agreements between the Company and PFSI.

Summary of Amounts Due to Affiliates

Amounts due to PFSI are summarized below:

	September 30, 2014		December 31, 2013
	(in thousands)
Management fees	$	9,623	$	8,924
Servicing fees		6,942		5,915
Allocated expenses		3,360		2,009
Contingent underwriting fees		1,495		1,788
	$	21,420	$	18,636

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Net Gain on Mortgage Loans Acquired for Sale

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Net Gain on Mortgage Loans Acquired for Sale

Note 22—Net Gain on Mortgage Loans Acquired for Sale

Net gain on mortgage loans acquired for sale is summarized below:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Cash (loss) gain:
Sales proceeds, net	$	(15,473	)	$	(108,960	)	$	(21,540	)	$	(207,912	)
Hedging activities		(12,705	)		114,405			(35,004	)		160,109
		(28,178	)		5,445			(56,544	)		(47,803	)
Non cash gain:
Receipt of MSRs in loan sale transactions		39,613			48,957			89,230			156,229
Provision for losses relating to representations and warranties provided in loan sales		(1,359	)		(1,474	)		(3,125	)		(4,701	)
Change in fair value of IRLCs, mortgage loans and hedging derivatives held at period end:
IRLCs		(5,697	)		28,413			4,140			(8,033	)
Mortgage loans		(3,073	)		48,205			5,000			11,211
Hedging derivatives		8,203			(118,515	)		(8,999	)		(22,155	)
		(567	)		(41,897	)		142			(18,977	)
	$	9,509		$	11,031		$	29,702		$	84,748

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Shareholders' Equity

9 Months Ended

Sep. 30, 2014

Equity [Abstract]

Shareholders' Equity

Note 21—Shareholders’ Equity

At September 30, 2014, the Company had approximately $115.0 million of common shares available for issuance under its ATM Equity Offering Sales Agreement^SM. During the nine months ended September 30, 2014, the Company sold a total of 3,447,022 of its common shares at a weighted average price of $23.92 per share, providing net proceeds to the Company of approximately $81.6 million, net of sales commissions of $899,000.

At September 30, 2013, the Company had approximately $197.5 million available for issuance under its ATM Equity Offering Sales Agreement^SM. The Company did not sell any common shares under its ATM Equity Offering^SM Sales Agreement during the nine months ended September 30, 2013.

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Derivative Financial Instruments - Derivative Assets and Liabilities and Related Margin Deposits Recorded within Derivative Assets and Derivative Liabilities (Detail) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Derivatives, Fair Value [Line Items]
Total derivative assets instruments before netting	$ 14,282	$ 20,962
Derivative assets, Netting	(3,938)	(12,986)
Derivative assets, Fair value, Total	10,344	7,976
Total derivative liabilities instruments fair value before netting	5,871	9,976
Derivative liabilities, Netting	(3,982)	(8,015)
Derivative liabilities, Fair value, Total	1,889	1,961
Margin deposits with (collateral received from) derivatives counterparties	44	(4,971)
MBS put options [Member]
Derivatives, Fair Value [Line Items]
Notional amount	565,000	55,000
Total derivative assets instruments before netting	830	272
Total derivative liabilities instruments fair value before netting	0	0
MBS call options [Member]
Derivatives, Fair Value [Line Items]
Notional amount	50,000	110,000
Total derivative assets instruments before netting	239	0
Total derivative liabilities instruments fair value before netting	0	0
Interest rate lock commitments [Member]
Derivatives, Fair Value [Line Items]
Notional amount	838,948	557,343
Total derivative assets instruments before netting	5,512	2,510
Derivative assets, Netting	0	0
Derivative assets, Fair value, Total	5,512	2,510
Total derivative liabilities instruments fair value before netting	121	1,261
Forward sales contracts [Member]
Derivatives, Fair Value [Line Items]
Notional amount	2,776,249	3,588,027
Total derivative assets instruments before netting	1,142	16,385
Derivative assets, Netting	0	0
Derivative assets, Fair value, Total	1,142	16,385
Total derivative liabilities instruments fair value before netting	5,272	1,295
Forward purchase contracts [Member]
Derivatives, Fair Value [Line Items]
Notional amount	1,910,139	2,781,066
Total derivative assets instruments before netting	4,614	1,229
Derivative assets, Netting	0	0
Derivative assets, Fair value, Total	4,614	1,229
Total derivative liabilities instruments fair value before netting	478	7,420
Eurodollar future sale contracts [Member]
Derivatives, Fair Value [Line Items]
Notional amount	6,262,000	8,779,000
Total derivative assets instruments before netting	0	0
Total derivative liabilities instruments fair value before netting	0	0
Treasury future sale contracts [Member]
Derivatives, Fair Value [Line Items]
Notional amount	85,000	105,000
Total derivative assets instruments before netting	857	0
Derivative assets, Netting	0	0
Derivative assets, Fair value, Total	857	0
Total derivative liabilities instruments fair value before netting	0	0
Call options on Eurodollar futures [Member]
Derivatives, Fair Value [Line Items]
Notional amount	355,000	0
Total derivative assets instruments before netting	666	0
Derivative assets, Netting	0	0
Derivative assets, Fair value, Total	666	0
Total derivative liabilities instruments fair value before netting	0	0
Put options on Eurodollar futures [Member]
Derivatives, Fair Value [Line Items]
Notional amount	220,000	52,500
Total derivative assets instruments before netting	422	566
Derivative assets, Netting	0	0
Derivative assets, Fair value, Total	422	566
Total derivative liabilities instruments fair value before netting	$ 0	$ 0

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Assets Sold Under Agreements to Repurchase (Tables)

9 Months Ended

Sep. 30, 2014

Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase

Following is a summary of financial information relating to assets sold under agreements to repurchase:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(dollars in thousands)
During the period:
Weighted-average interest rate (1)		2.13	%		2.39	%		2.18	%		2.50	%
Average balance	$	2,501,816		$	1,755,850		$	2,186,135		$	1,456,278
Total interest expense	$	15,814		$	13,464		$	43,496		$	34,990
Maximum daily amount outstanding	$	2,815,572		$	2,736,873		$	2,700,586		$	2,802,193
Period end:
Balance	$	2,416,686		$	1,980,058
Weighted-average interest rate		2.17	%		2.14	%
Available borrowing capacity:
Committed	$	578,969		$	1,359,746
Uncommitted		894,343			473,547
	$	1,473,312		$	1,833,293
Margin deposits placed with counterparties	$	8,210		$	3,201
Fair value of assets securing agreements to repurchase:
Mortgage-backed securities	$	262,378		$	217,491
Mortgage loans acquired for sale at fair value		675,659			731,717
Mortgage loans at fair value		2,273,768			2,101,061
Real estate acquired in settlement of loans		76,561			67,870
	$	3,288,366		$	3,118,139

(1) Excludes the amortization of commitment fees and issuance costs of $2.2 million and $7.4 million for the quarter and nine months ended September 30, 2014 and $2.7 million and $7.4 million for the quarter and nine months ended September 30, 2013, respectively.

Summary of Maturities of Outstanding Assets Sold under Agreements to Repurchase by Maturity Date

Following is a summary of maturities of outstanding assets sold under agreements to repurchase by maturity date:

Remaining Maturity at September 30, 2014	Balance
	(in thousands)
Within 30 days	$	435,316
Over 30 to 90 days		859,651
Over 90 days to 180 days		429,498
Over 180 days to 1 year		692,221
	$	2,416,686
Weighted average maturity (in months)		4.5

Securities sold under agreements to repurchase at fair value [Member]

Summary of Assets Sold under Agreements to Repurchase by Counterparty

Securities sold under agreements to repurchase

Counterparty	Amount at risk		Maturity
	(in thousands)
Daiwa Capital Markets America Inc.	$	7,048	November 2, 2014
Credit Suisse First Boston Mortgage Capital LLC	$	11,936	October 19, 2014
Bank of America, N.A.	$	4,397	October 14, 2014

Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member]

Summary of Assets Sold under Agreements to Repurchase by Counterparty

The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) and maturity information relating to the Company’s assets sold under agreements to repurchase is summarized by counterparty below as of September 30, 2014:

Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase

Counterparty	Amount at risk		Mortgage loans acquired for sale Weighted-average repurchase  agreement maturity		Facility maturity
	(in thousands)
Credit Suisse First Boston Mortgage Capital LLC	$	188,099		February 12, 2015	October 31, 2014
Bank of America, N.A.	$	42,719		December 29, 2014	January 30, 2015
Morgan Stanley	$	10,063		November 19, 2014	December 18, 2014
The Royal Bank of Scotland Group	$	94,810		—	February 17, 2015
Citibank, N.A.	$	523,389		—	September 7, 2015

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Earnings Per Share (Tables)

9 Months Ended

Sep. 30, 2014

Earnings Per Share [Abstract]

Summary of Basic and Diluted Earnings per Share

The following table summarizes the basic and diluted earnings per share calculations:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands except per share amounts)
Basic earnings per share:
Net income	$	54,949		$	39,701		$	168,033		$	147,494
Effect of participating securities—share-based compensation awards		(305	)		(374	)		(1,360	)		(1,656	)
Net income attributable to common shareholders	$	54,644		$	39,327		$	166,673		$	145,838
Weighted-average shares outstanding		74,140			64,405			73,254			60,809
Basic earnings per share	$	0.74		$	0.61		$	2.28		$	2.40
Diluted earnings per share:
Net income	$	54,949		$	39,701		$	168,033		$	147,494
Interest on Notes, net of income taxes		2,081			2,075			6,237			3,457
Net income attributable to diluted shareholders	$	57,030		$	41,776		$	174,270		$	150,951
Weighted-average shares outstanding		74,140			64,405			73,254			60,809
Potentially dilutive securities:
Shares issuable pursuant exchange of the Notes		8,401			8,379			8,401			4,726
Shares issuable under share-based compensation plan		291			337			323			363
Diluted weighted-average number of shares outstanding		82,832			73,121			81,978			65,898
Diluted earnings per share	$	0.69		$	0.57		$	2.13		$	2.29

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Net Interest Income

9 Months Ended

Sep. 30, 2014

Banking and Thrift, Interest [Abstract]

Net Interest Income

Note 23—Net Interest Income

Net interest income is summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Interest income:
Short-term investments	$	138	$	252	$	462	$	340
Mortgage-backed securities		1,935		345		5,657		345
Agency debt securities		—		162		—		162
Mortgage loans acquired for sale at fair value		7,712		12,535		16,911		28,150
Mortgage loans at fair value		27,858		20,751		92,870		48,300
Mortgage loans under forward purchase agreements at fair value		—		1,197		3,584		1,457
Excess servicing spread purchased from PFSI, at fair value		3,577		—		9,578		—
Other		16		36		38		196
		41,236		35,278		129,100		78,950
Interest expense:
Assets sold under agreements to repurchase		15,814		13,464		43,496		34,990
Borrowings under forward purchase agreements		—		1,762		2,363		2,013
Asset-backed secured financing		1,584		—		4,762		—
Exchangeable senior notes		3,592		3,577		10,763		5,961
Other		1,030		694		2,276		1,913
		22,020		19,497		63,660		44,877
Net interest income	$	19,216	$	15,781	$	65,440	$	34,073

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Net Gain on Investments

9 Months Ended

Sep. 30, 2014

Investments, Debt and Equity Securities [Abstract]

Net Gain on Investments

Note 24—Net Gain on Investments

Net gain on investments is summarized below:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Net gain (loss) on investments:
Mortgage-backed securities	$	(821	)	$	5,356		$	6,096		$	5,356
Agency debt security		—			578			—			578
Excess servicing spread purchased from PFSI at fair value		(7,396	)		29			(17,834	)		29
Hedging derivatives		(1,135	)		(4,863	)		(5,876	)		(4,863	)
		(9,352	)		1,100			(17,614	)		1,100
Mortgage loans		79,046			47,986			210,981			158,800
Asset-backed secured financing		696			—			(7,258	)		—
	$	70,390		$	49,086		$	186,109		$	159,900

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Organization and Basis of Presentation

9 Months Ended

Sep. 30, 2014

Accounting Policies [Abstract]

Organization and Basis of Presentation

Note 1—Organization and Basis of Presentation

PennyMac Mortgage Investment Trust (“PMT” or the “Company”) was organized in Maryland on May 18, 2009, and commenced operations on August 4, 2009, when it completed its initial offerings of common shares of beneficial interest (“common shares”). The Company is a specialty finance company, which, through its subsidiaries (all of which are wholly-owned), invests primarily in residential mortgage loans and mortgage-related assets.

The Company operates in two segments: correspondent production and investment activities:

• The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between mortgage lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality mortgage loans either directly or in the form of mortgage-backed securities (“MBS”), using the services of PNMAC Capital Management, LLC (“PCM” or the “Manager”) and PennyMac Loan Services, LLC (“PLS” or the “Servicer”), both indirect subsidiaries of PennyMac Financial Services, Inc. (“PFSI”).

Most of the loans the Company has acquired in its correspondent production activities have been eligible for sale to government-sponsored entities such as the Federal National Mortgage Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac”) or through government agencies such as the Government National Mortgage Association (“Ginnie Mae”). Fannie Mae, Freddie Mac and Ginnie Mae are each referred to as an “Agency” and, collectively, as the “Agencies.”

• The investment activities segment represents the Company’s investments in mortgage-related assets, which include distressed mortgage loans, real estate acquired in settlement of loans (“REO”), MBS, mortgage servicing rights (“MSRs”) and excess servicing spread (“ESS”). The Company seeks to maximize the value of its acquired distressed mortgage loans through proprietary loan modification programs, special servicing or other initiatives focused on keeping borrowers in their homes. Where this is not possible, such as in the case of many nonperforming mortgage loans, the Company seeks to effect property resolution in a timely, orderly and economically efficient manner, including through the use of resolution alternatives to foreclosure.

The Company is externally managed by PCM, an investment adviser registered with the Securities and Exchange Commission (the “SEC”) that specializes in and focuses on residential mortgage loans. Under the terms of a management agreement, the Company pays PCM a management fee with a base component and a performance incentive component.

The Company believes that it qualifies, and has elected to be taxed, as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), beginning with its taxable period ended on December 31, 2009. To maintain its tax status as a REIT, the Company has to distribute at least 90% of its taxable income in the form of qualifying distributions to shareholders.

The Company conducts substantially all of its operations and makes substantially all of its investments through its subsidiary, PennyMac Operating Partnership, L.P. (the “Operating Partnership”), and the Operating Partnership’s subsidiaries. A wholly-owned subsidiary of the Company is the sole general partner, and the Company is the sole limited partner, of the Operating Partnership.

The accompanying consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“U.S. GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (the “ASC”) and with the SEC’s instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, these financial statements and notes do not include all of the information required by U.S. GAAP for complete financial statements. The interim consolidated information should be read together with the Company’s Annual Report on Form 10-K for the year ended December 31, 2013 (the “Annual Report”). Intercompany accounts and transactions have been eliminated.

Preparation of financial statements in compliance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements, and revenues and expenses during the reporting period. Actual results will likely differ from those estimates.

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Net Loan Servicing Fees

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Net Loan Servicing Fees

Note 25—Net Loan Servicing Fees

Net loan servicing fees are summarized below:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Servicing fees (1)	$	20,300		$	14,451		$	56,988		$	37,175
MSR recapture fee receivable from PFSI		—			86			9			586
Effect of MSRs:
Carried at lower of amortized cost or fair value
Amortization		(8,109	)		(7,201	)		(23,171	)		(18,433	)
(Provision for) reversal of impairment		602			(212	)		(2,248	)		3,495
Carried at fair value - change in fair value		(1,606	)		(465	)		(8,398	)		(273	)
Gains (losses) on hedging derivatives		(654	)		—			3,532			(1,988	)
		(9,767	)		(7,878	)		(30,285	)		(17,199	)
Net loan servicing fees	$	10,533		$	6,659		$	26,712		$	20,562
Average servicing portfolio	$	30,701,324		$	21,784,126		$	29,531,733		$	20,070,127

(1) Includes contractually specified servicing and ancillary fees.

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Netting of Financial Instruments - Summary of Derivative Assets and Collateral Held by Counterparty (Detail) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Derivative [Line Items]
Net amount of assets presented in the consolidated balance sheet	$ 10,344	$ 7,976
Financial instruments	0	0
Cash collateral received	0	0
Net amount	10,344	7,976
Interest rate lock commitments [Member]
Derivative [Line Items]
Net amount of assets presented in the consolidated balance sheet	5,512	2,510
Financial instruments	0	0
Cash collateral received	0	0
Net amount	5,512	2,510
RJ O'Brien [Member]
Derivative [Line Items]
Net amount of assets presented in the consolidated balance sheet	1,664	566
Financial instruments	0	0
Cash collateral received	0	0
Net amount	1,664	566
Bank of America, N.A. [Member]
Derivative [Line Items]
Net amount of assets presented in the consolidated balance sheet	1,170	1,024
Financial instruments	0	0
Cash collateral received	0	0
Net amount	1,170	1,024
JP Morgan [Member]
Derivative [Line Items]
Net amount of assets presented in the consolidated balance sheet	617	0
Financial instruments	0	0
Cash collateral received	0	0
Net amount	617	0
Credit Suisse First Boston Mortgage Capital LLC [Member]
Derivative [Line Items]
Net amount of assets presented in the consolidated balance sheet	370	196
Financial instruments	0	0
Cash collateral received	0	0
Net amount	370	196
Nomura [Member]
Derivative [Line Items]
Net amount of assets presented in the consolidated balance sheet	266	273
Financial instruments	0	0
Cash collateral received	0	0
Net amount	266	273
Other [Member]
Derivative [Line Items]
Net amount of assets presented in the consolidated balance sheet	745	3,407
Financial instruments	0	0
Cash collateral received	0	0
Net amount	$ 745	$ 3,407

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Mortgage Servicing Rights - Summary of Net Loan Servicing Fees (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Transfers and Servicing [Abstract]
Contractually-specified servicing fees	$ 19,345	$ 13,687	$ 54,396	$ 34,158

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Subsequent Events

9 Months Ended

Sep. 30, 2014

Subsequent Events [Abstract]

Subsequent Events

Note 33—Subsequent Events

Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period:

• On October 1, 2014, the Company, through its subsidiaries, closed a privately placed transaction in which it issued a note in the amount of approximately $166 million backed by mortgage loans and mortgage-related assets that were owned by PMC and not financed under existing credit agreements (the “Asset-backed Note”). The initial owner of the Asset-backed Note was PMC, which pledged such Asset-backed Note to a money-center bank under an existing securities repurchase agreement.

• All agreements to repurchase assets that matured between September 30, 2014 and the date of this Report were extended or renewed.

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Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements (Tables)

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Summary of Activity in REO Under Forward Purchase Agreements

Following is a summary of the activity in REO under forward purchase agreements:

	Quarter ended September 30,					Nine months ended September 30,
	2014		2013			2014			2013
	(in thousands)
Balance at beginning of period	$	—	$	89		$	9,138		$	—
Purchases		—		—			68			—
Transfers from mortgage loans under forward purchase agreements at fair value and advances		—		3,640			9,369			3,729
Transfers to REO		—		(114	)		(12,737	)		(114	)
Results of REO under forward purchase agreements:
Valuation adjustments, net		—		(31	)		(779	)		(31	)
Gain on sale, net		—		(10	)		306			(10	)
		—		(41	)		(473	)		(41	)
Proceeds from sales		—		(65	)		(5,365	)		(65	)
Balance at end of period	$	—	$	3,509		$	—		$	3,509

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Transactions with Related Parties - Summary of Mortgage Loan Servicing Fees Payable (Detail) (PFSI [Member], USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Related Party Transaction [Line Items]
Mortgage loan servicing fees payable to PFSI	$ 12,325	$ 10,738	$ 41,096	$ 27,251
Mortgage loans acquired for sale at fair value [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees payable to PFSI	63	139	186	491
Mortgage loans acquired for sale at fair value [Member] | Base [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees payable to PFSI	28	62	74	231
Mortgage loans acquired for sale at fair value [Member] | Activity-based [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees payable to PFSI	35	77	112	260
Distress mortgage loans [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees payable to PFSI	8,755	7,580	30,828	19,476
Distress mortgage loans [Member] | Base [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees payable to PFSI	4,679	4,166	14,620	11,737
Distress mortgage loans [Member] | Activity-based [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees payable to PFSI	4,076	3,414	16,208	7,739
Mortgage servicing rights [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees payable to PFSI	3,507	3,019	10,082	7,284
Mortgage servicing rights [Member] | Base [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees payable to PFSI	3,459	2,911	9,930	7,037
Mortgage servicing rights [Member] | Activity-based [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees payable to PFSI	$ 48	$ 108	$ 152	$ 247

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Consolidated Balance Sheets (Unaudited) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
ASSETS
Cash	$ 46,487	$ 27,411
Short-term investments	37,452	92,398
Mortgage-backed securities at fair value pledged to secure assets sold under agreements to repurchase	267,885	197,401
Mortgage loans acquired for sale at fair value (includes $675,659 and $454,210 pledged to secure assets sold under agreements to repurchase)	688,850	458,137
Mortgage loans at fair value (includes $2,273,768 and $2,315,313 pledged to secure assets sold under agreements to repurchase)	2,561,911	2,600,317
Mortgage loans under forward purchase agreements at fair value pledged to secure borrowings under forward purchase agreements	0	218,128
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value	187,368	138,723
Derivative assets	10,344	7,976
Real estate acquired in settlement of loans (includes $76,561 and $89,404 pledged to secure assets sold under agreements to repurchase)	275,185	138,942
Real estate acquired in settlement of loans under forward purchase agreements pledged to secure forward purchase agreements	0	9,138
Mortgage servicing rights (includes $57,871 and $26,452 carried at fair value)	345,848	290,572
Servicing advances	59,325	59,573
Due from PennyMac Financial Services, Inc.	4,311	6,009
Other assets	119,847	66,192
Total assets	4,604,813	4,310,917
LIABILITIES
Assets sold under agreements to repurchase	2,416,686	2,039,605
Borrowings under forward purchase agreements	0	226,580
Asset-backed secured financing at fair value	166,841	165,415
Exchangeable senior notes	250,000	250,000
Derivative liabilities	1,889	1,961
Accounts payable and accrued liabilities	80,493	71,561
Due to PennyMac Financial Services, Inc.	21,420	18,636
Income taxes payable	66,208	59,935
Liability for losses under representations and warranties	13,235	10,110
Total liabilities	3,016,772	2,843,803
Commitments and contingencies
SHAREHOLDERS' EQUITY
Common shares of beneficial interest-authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding, 74,139,570 and 70,458,082 common shares, respectively	741	705
Additional paid-in capital	1,470,189	1,384,468
Retained earnings	117,111	81,941
Total shareholders' equity	1,588,041	1,467,114
Total liabilities and shareholders' equity	4,604,813	4,310,917
Consolidated VIE [Member]
ASSETS
Mortgage loans at fair value (includes $2,273,768 and $2,315,313 pledged to secure assets sold under agreements to repurchase)	530,809	523,652
Other assets - interest receivable	1,675	1,584
Total assets of Consolidated Variable Interest Entity	532,484	525,236
LIABILITIES
Asset-backed secured financing at fair value	166,841	165,415
Accounts payable and accrued expenses - interest payable	484	497
Total liabilities of Consolidated Variable Interest Entity	$ 167,325	$ 165,912

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Loan Sales and Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Summary of Cash Flows between Company and Transferees in Transfers Accounted for Sales

The following table summarizes cash flows between the Company and transferees in transfers that are accounted for as sales where PMT maintains continuing involvement with the mortgage loans as well as unpaid principal balance information at period end:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Cash flows:
Proceeds from sales	$	3,745,193	$	4,185,246	$	8,534,637		13,229,726
Servicing fees received (1)	$	17,797	$	14,107	$	52,704	$	35,015
Period end information:
Unpaid principal balance of mortgage loans outstanding	$	32,134,609	$	23,717,643
Unpaid principal balance of delinquent mortgage loans:
30-89 days delinquent	$	87,374	$	50,746
90 or more days delinquent
Not in foreclosure		20,708		4,812
In foreclosure or bankruptcy		11,583		3,292
		32,291		8,104
	$	119,665	$	58,850

(1) Net of guarantee fees.

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Fair Value - Key Assumptions Used in Determining Fair Value of MSRs at Time of Initial Recognition (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013	Dec. 31, 2013
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized cost, MSR recognized	$ 26,802	$ 41,018	$ 49,276	$ 148,186
Amortized cost, Unpaid principal balance of underlying mortgage loans	2,423,013	3,404,274	4,518,100	12,247,940
Amortized cost, Weighted-average annual servicing fee rate (in basis points)	0.25%	0.25%	0.25%	0.26%
Fair value, MSR recognized	12,812	7,939	39,954	8,043
Fair value, Unpaid principal balance of underlying mortgage loans	1,234,028	707,891	3,784,142	717,877
Fair value, Weighted-average annual servicing fee rate (in basis points)	0.25%	0.25%	0.25%	0.25%	0.26%
Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized cost, Pricing spread during period	6.50%	5.40%	6.30%	5.40%
Amortized cost, Life (in years)	1 year 4 months 24 days	2 years 10 months 24 days	1 year 1 month 6 days	2 years 7 months 6 days
Amortized cost, Annual prepayment speed during period	7.60%	8.50%	7.60%	8.50%
Amortized cost, Annual per loan cost of servicing during period	68	68	68	68
Fair value inputs, Pricing spread during period	8.80%	7.40%	8.50%	7.40%
Fair value inputs, Weighted average life during period	2 years 9 months 18 days	3 years 9 months 18 days	2 years 9 months 18 days	2 years 9 months 18 days
Fair value inputs, Annual prepayment speed during period	8.00%	8.80%	8.00%	8.80%
Fair value inputs, Annual per loan cost of servicing during period	68	68	68	68
Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized cost, Pricing spread during period	17.50%	13.90%	17.50%	14.40%
Amortized cost, Life (in years)	7 years 3 months 18 days	6 years 10 months 24 days	7 years 3 months 18 days	6 years 10 months 24 days
Amortized cost, Annual prepayment speed during period	48.80%	15.60%	56.40%	23.60%
Amortized cost, Annual per loan cost of servicing during period	140	68	140	140
Fair value inputs, Pricing spread during period	13.50%	9.60%	13.50%	14.40%
Fair value inputs, Weighted average life during period	7 years 3 months 18 days	6 years 10 months 24 days	7 years 3 months 18 days	6 years 10 months 24 days
Fair value inputs, Annual prepayment speed during period	30.40%	20.70%	30.40%	27.00%
Fair value inputs, Annual per loan cost of servicing during period	140	68	140	68
Weighted average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized cost, Pricing spread during period	8.50%	6.30%	8.50%	6.60%
Amortized cost, Life (in years)	6 years 7 months 6 days	6 years 3 months 18 days	6 years 3 months 18 days	6 years 4 months 24 days
Amortized cost, Annual prepayment speed during period	9.20%	8.90%	9.70%	9.00%
Amortized cost, Annual per loan cost of servicing during period	70	68	69	68
Fair value inputs, Pricing spread during period	9.10%	8.00%	9.10%	8.00%
Fair value inputs, Weighted average life during period	7 years 1 month 6 days	6 years 9 months 18 days	7 years 1 month 6 days	6 years 9 months 18 days
Fair value inputs, Annual prepayment speed during period	9.70%	9.80%	9.50%	10.00%
Fair value inputs, Annual per loan cost of servicing during period	$ 70	$ 68	$ 69	$ 68

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Income Taxes - Additional Information (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Income Tax Disclosure [Abstract]
Income tax benefit expense	$ 2,982	$ (3,639)	$ (509)	$ 12,412
Effective income tax rate	5.10%	(10.10%)	(0.30%)	7.80%

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Mortgage Servicing Rights - Summary of Company's Estimate of Amortization of Existing MSRs Carried at Amortized Cost (Detail) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014
Servicing Asset Future Amortization Expense Abstract [Abstract]
2015	$ 29,606
2016	29,570
2017	28,092
2018	25,972
2019	23,490
Thereafter	156,073
Total	$ 292,803

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Consolidated Statements of Changes in Shareholders' Equity (Unaudited) (Parenthetical) (USD $)	9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013
Dividends declared per share	$ 1.79	$ 1.71
Retained earnings [Member]
Dividends declared per share	$ 1.79	$ 1.71

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Fair Value - Summary of Key Inputs Used in Determining Fair Value of ESS (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013	Dec. 31, 2013
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Unpaid principal balance of underlying mortgage loans (in thousands)	$ 1,234,028	$ 707,891	$ 3,784,142	$ 717,877
Average servicing fee rate (in basis points)	0.25%	0.25%	0.25%	0.25%	0.26%
Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pricing spread	8.80%	7.40%	8.50%	7.40%
Annual total prepayment speed	8.00%		8.00%		8.00%
Minimum [Member] | Excess servicing spread [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pricing spread			1.70%		2.80%
Life (in years)			4 months 24 days		10 months 24 days
Annual total prepayment speed	7.60%		7.60%		7.70%
Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pricing spread	13.50%	9.60%	13.50%	14.40%
Annual total prepayment speed	32.70%		32.70%		20.00%
Maximum [Member] | Excess servicing spread [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pricing spread			11.80%		14.40%
Life (in years)			7 years 3 months 18 days		8 years
Annual total prepayment speed	72.40%		72.40%		48.60%
Weighted average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pricing spread	9.10%	8.00%	9.10%	8.00%
Annual total prepayment speed	10.10%		10.10%		8.90%
Weighted average [Member] | Excess servicing spread [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Unpaid principal balance of underlying mortgage loans (in thousands)			$ 27,702,102		$ 20,512,659
Average servicing fee rate (in basis points)			0.31%		0.32%
Average ESS rate (in basis points)			0.16%		0.16%
Pricing spread			5.00%		5.40%
Life (in years)			5 years 9 months 18 days		6 years 1 month 6 days
Annual total prepayment speed	10.80%		10.80%		9.70%

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Supplemental Cash Flow Information - Summary of Supplemental Cash Flow Information (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Additional Cash Flow Elements and Supplemental Cash Flow Information [Abstract]
Cash paid for interest			$ 68,443	$ 58,290
Income tax refund			(6,782)	(6,137)
Non-cash investing activities:
Transfer of mortgage loans acquired for sale at fair value to mortgage loans at fair value held by variable interest entity			0	536,776
Transfer of mortgage loans and advances to real estate acquired in settlement of loans	94,530	48,154	268,677	116,957
Purchase of mortgage loans financed through forward purchase agreements			2,828	245,389
Transfer of mortgage loans under forward purchase agreements to mortgage loans at fair value			205,902	13,018
Transfer of mortgage loans under forward purchase agreements and advances to REO under forward purchase agreements	0	3,640	9,369	3,604
Receipt of MSRs as proceeds from sales of loans	39,613	48,957	89,230	156,229
Purchase of REO financed through forward purchase agreements	0	0	(68)	3,604
Receipt of ESS pursuant to recapture agreement with PFSI			6,093	0
Transfer of REO under forward purchase agreements to REO	0	114	12,737	114
Non-cash financing activities:
Purchase of mortgage loans financed through forward purchase agreements			2,828	245,389
Purchase of REO financed through forward purchase agreements	0	0	(68)	3,604
Transfer of mortgage loans at fair value financed through agreements to repurchase to REO financed under agreements to repurchase			3,491	25,141
Dividends payable	$ 45,467	$ 0	$ 45,467	$ 0

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Subsequent Events - Additional Information (Detail) (Subsequent Event [Member], Mortgage-backed securities [Member], USD $) In Millions, unless otherwise specified	Oct. 01, 2014
Subsequent Event [Member] | Mortgage-backed securities [Member]
Note Issued, face value	$ 166

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Borrowings under Forward Purchase Agreements (Tables)

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Summary of Financial Information Relating to Borrowings under Forward Purchase Agreements

Following is a summary of financial information relating to borrowings under forward purchase agreements:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(dollars in thousands)
Period end:
Balance	$	—		$	229,841
Interest rate		0.00	%		3.03	%
Fair value of underlying loans and REO	$	—		$	231,595
During the period:
Weighted-average effective interest rate		0.00	%		2.96	%		2.84	%		2.97	%
Weighted-average balance	$	—		$	232,722		$	109,708		$	89,459
Interest expense	$	—		$	1,762		$	2,364		$	2,013
Maximum daily amount outstanding	$	—		$	242,394		$	226,847		$	244,047

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Mortgage Loans Acquired for Sale at Fair Value - Additional Information (Detail)	9 Months Ended
	Sep. 30, 2014
Fair Value Disclosures [Abstract]
Sourcing fee on the unpaid principal balance	0.03%

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Income Taxes

9 Months Ended

Sep. 30, 2014

Income Tax Disclosure [Abstract]

Income Taxes

Note 28—Income Taxes

The Company had tax expense of $3.0 million and tax benefit of $509,000 for the quarter and nine months ended September 30, 2014 and tax benefit of $3.6 million and tax expense of $12.4 million for the quarter and nine months ended September 30, 2013. The Company’s effective tax rate was 5.1% and (0.3)% for the quarter and nine months ended September 30, 2014 compared to (10.1)% and 7.8% for the same periods in 2013. The decrease in the Company’s effective tax rate is due primarily to a decrease in the Company’s taxable REIT subsidiary’s income for the nine months ended September 30, 2014 compared to the same period in 2013. The primary difference between the Company’s effective tax rate and the statutory tax rate is due to non-taxable REIT income resulting from the deduction for dividends paid.

In general, cash dividends declared by the Company will be considered ordinary income to shareholders for income tax purposes. Some portion of the dividends may be characterized as capital gain distributions or a return of capital.

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Net Gain on Investments - Summary of Net Gain on Investments (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Net gain (loss) on investments:
Mortgage-backed securities	$ (821)	$ 5,356	$ 6,096	$ 5,356
Agency debt security	0	578	0	578
Excess servicing spread purchased from PFSI at fair value	(7,396)	29	(17,834)	29
Hedging derivatives	(1,135)	(4,863)	(5,876)	(4,863)
Gain (loss) on investments	(9,352)	1,100	(17,614)	1,100
Mortgage loans	79,046	47,986	210,981	158,800
Asset-backed secured financing	696	0	(7,258)	0
Net gain (loss) on investments	$ 70,390	$ 49,086	$ 186,109	$ 159,900

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Other Expenses (Tables)

9 Months Ended

Sep. 30, 2014

Other Income and Expenses [Abstract]

Summary of Other Expenses

Other expenses are summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Common overhead allocation from PFSI	$	2,802	$	2,527	$	8,018	$	7,793
Servicing and collection costs		2,064		1,393		5,809		1,726
Loan origination		1,202		1,322		1,637		3,768
Insurance		247		219		738		648
Technology		246		234		720		588
Securitization		—		1,887		—		1,887
Other expenses		823		373		1,682		2,062
	$	7,384	$	7,955	$	18,604	$	18,472

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Assets Sold Under Agreements to Repurchase

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Assets Sold Under Agreements to Repurchase

Note 15— Assets Sold Under Agreements to Repurchase

Following is a summary of financial information relating to assets sold under agreements to repurchase:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(dollars in thousands)
During the period:
Weighted-average interest rate (1)		2.13	%		2.39	%		2.18	%		2.50	%
Average balance	$	2,501,816		$	1,755,850		$	2,186,135		$	1,456,278
Total interest expense	$	15,814		$	13,464		$	43,496		$	34,990
Maximum daily amount outstanding	$	2,815,572		$	2,736,873		$	2,700,586		$	2,802,193
Period end:
Balance	$	2,416,686		$	1,980,058
Weighted-average interest rate		2.17	%		2.14	%
Available borrowing capacity:
Committed	$	578,969		$	1,359,746
Uncommitted		894,343			473,547
	$	1,473,312		$	1,833,293
Margin deposits placed with counterparties	$	8,210		$	3,201
Fair value of assets securing agreements to repurchase:
Mortgage-backed securities	$	262,378		$	217,491
Mortgage loans acquired for sale at fair value		675,659			731,717
Mortgage loans at fair value		2,273,768			2,101,061
Real estate acquired in settlement of loans		76,561			67,870
	$	3,288,366		$	3,118,139

(1) Excludes the amortization of commitment fees and issuance costs of $2.2 million and $7.4 million for the quarter and nine months ended September 30, 2014 and $2.7 million and $7.4 million for the quarter and nine months ended September 30, 2013, respectively.

Following is a summary of maturities of outstanding assets sold under agreements to repurchase by maturity date:

Remaining Maturity at September 30, 2014	Balance
	(in thousands)
Within 30 days	$	435,316
Over 30 to 90 days		859,651
Over 90 days to 180 days		429,498
Over 180 days to 1 year		692,221
	$	2,416,686
Weighted average maturity (in months)		4.5

The Company is subject to margin calls during the period the agreements are outstanding and therefore may be required to repay a portion of the borrowings before the respective agreements mature if the value (as determined by the applicable lender) of the assets securing those agreements decreases. Margin deposits are included in Other assets in the consolidated balance sheets.

The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) and maturity information relating to the Company’s assets sold under agreements to repurchase is summarized by counterparty below as of September 30, 2014:

Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase

Counterparty	Amount at risk		Mortgage loans acquired for sale Weighted-average repurchase  agreement maturity		Facility maturity
	(in thousands)
Credit Suisse First Boston Mortgage Capital LLC	$	188,099		February 12, 2015	October 31, 2014
Bank of America, N.A.	$	42,719		December 29, 2014	January 30, 2015
Morgan Stanley	$	10,063		November 19, 2014	December 18, 2014
The Royal Bank of Scotland Group	$	94,810		—	February 17, 2015
Citibank, N.A.	$	523,389		—	September 7, 2015

Securities sold under agreements to repurchase

Counterparty	Amount at risk		Maturity
	(in thousands)
Daiwa Capital Markets America Inc.	$	7,048	November 2, 2014
Credit Suisse First Boston Mortgage Capital LLC	$	11,936	October 19, 2014
Bank of America, N.A.	$	4,397	October 14, 2014

The Company’s debt financing agreements require PMT and certain of its subsidiaries to comply with financial covenants that include a minimum tangible net worth for the Company of $860 million; a minimum tangible net worth for the Operating Partnership of $700 million (net worth at September 30, 2014 was $1.6 billion, which includes PennyMac Holdings, LLC ( “PMH”) and PennyMac Corp. (“PMC”)), PMH of $250 million (net worth September 30, 2014 was $801 million), and PMC of $150 million (net worth September 30, 2014 was $351 million). These tangible net worth requirements limit the subsidiaries’ abilities to transfer funds to the Company.

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Segments and Related Information

9 Months Ended

Sep. 30, 2014

Segment Reporting [Abstract]

Segments and Related Information

Note 29—Segments and Related Information

The Company has two segments: correspondent production and investment activities.

• The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between mortgage lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality mortgage loans either directly or in the form of MBS, using the services of PFSI.

Most of the loans the Company has acquired in its correspondent production activities have been eligible for sale to government-sponsored entities such as Fannie Mae and Freddie Mac or through government agencies such as Ginnie Mae.

• The investment activities segment represents the Company’s investments in mortgage-related assets, which include distressed mortgage loans, REO, MBS, MSRs and ESS. The Company seeks to maximize the value of the distressed mortgage loans that it acquires through proprietary loan modification programs, special servicing or other initiatives focused on keeping borrowers in their homes. Where this is not possible, such as in the case of many nonperforming mortgage loans, the Company seeks to effect property resolution in a timely, orderly and economically efficient manner, including through the use of resolution alternatives to foreclosure.

Financial highlights by operating segment are summarized below:

Quarter ended September 30, 2014	Correspondent production			Investment activities			Intersegment elimination & other		Total
	(in thousands)
Net investment income:
Net gain on mortgage loans acquired for sale	$	9,509		$	—		$	—	$	9,509
Net gain on investments		—			70,390			—		70,390
Interest income		7,727			33,509			—		41,236
Interest expense		(3,660	)		(18,360	)		—		(22,020	)
		4,067			15,149			—		19,216
Net loan servicing fees		—			10,533					10,533
Other income (loss)		6,524			(9,642	)		—		(3,118	)
		20,100			86,430			—		106,530
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.		15,900			21,545			—		37,445
Other		1,410			9,744			—		11,154
		17,310			31,289			—		48,599
Pre-tax income	$	2,790		$	55,141		$	—	$	57,931
Total assets at period end	$	708,442		$	3,896,371		$	—	$	4,604,813

Quarter ended September 30, 2013	Correspondent production			Investment activities			Intersegment elimination & other			Total
	(in thousands)
Net investment income:
Net gain on mortgage loans acquired for sale	$	11,031		$	—		$	—		$	11,031
Net gain on investments		—			49,086			—			49,086
Interest income		12,536			25,316			(2,574	)		35,278
Interest expense		(9,171	)		(12,900	)		2,574			(19,497	)
		3,365			12,416			—			15,781
Net loan servicing fees		—			6,659						6,659
Other income (loss)		4,490			(985	)		—			3,505
		18,886			67,176			—			86,062
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.		18,968			18,636			—			37,604
Other		211			12,185			—			12,396
		19,179			30,821			—			50,000
Pre-tax (loss) income	$	(293	)	$	36,355		$	—		$	36,062
Total assets at period end	$	760,611		$	3,490,632		$	(2,012	)	$	4,249,231

Nine months ended September 30, 2014	Correspondent production			Investment activities			Intersegment elimination & other			Total
	(in thousands)
Net investment income:
Net gain on mortgage loans acquired for sale	$	29,702		$	—		$	—		$	29,702
Net gain on investments		—			186,109			—			186,109
Interest income		16,948			114,540			(2,388	)		129,100
Interest expense		(12,196	)		(53,852	)		2,388			(63,660	)
		4,752			60,688			—			65,440
Net loan servicing fees		—			26,712			—			26,712
Other income (loss)		13,365			(17,647	)		—			(4,282	)
		47,819			255,862			—			303,681
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.		37,701			66,836			—			104,537
Other		2,248			29,372			—			31,620
		39,949			96,208			—			136,157
Pre-tax income	$	7,870		$	159,654		$	—		$	167,524
Total assets at period end	$	708,442		$	3,896,371		$	—		$	4,604,813
Nine months ended September 30, 2013	Correspondent production			Investment activities			Intersegment elimination & other			Total
	(in thousands)
Net investment income:
Net gain on mortgage loans acquired for sale	$	84,748		$	—		$	—		$	84,748
Net gain on investments		—			159,900			—			159,900
Interest income		28,151			55,168			(4,369	)		78,950
Interest expense		(22,354	)		(26,892	)		4,369			(44,877	)
		5,797			28,276			—			34,073
Net loan servicing fees		—			20,562			—			20,562
Other income (loss)		14,715			(4,567	)		—			10,148
		105,260			204,171			—			309,431
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.		67,138			48,940			3,284	(1)		119,362
Other		485			29,678			—			30,163
		67,623			78,618			3,284			149,525
Pre-tax income	$	37,637		$	125,553		$	(3,284	)	$	159,906
Total assets at period end	$	760,611		$	3,490,632		$	(2,012	)	$	4,249,231

(1) Corporate absorption of fulfillment fees for transition adjustment related to the amended and restated management agreement effective February 1, 2013.

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Mortgage Loans Acquired for Sale at Fair Value - Summary of Distribution of Company's Mortgage Loans Acquired for Sale at Fair Value (Detail) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans acquired for sale at fair value	$ 688,850	$ 458,137
Mortgage loan acquired at unpaid principal balance	664,540	447,386
Agency-eligible [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans acquired for sale at fair value	451,288	311,162
Mortgage loan acquired at unpaid principal balance	434,584	304,749
Jumbo [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans acquired for sale at fair value	177,843	34,615
Mortgage loan acquired at unpaid principal balance	173,174	35,050
Government-insured or guaranteed [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans acquired for sale at fair value	59,719	112,360
Mortgage loan acquired at unpaid principal balance	56,782	107,587
Mortgage loans acquired for sale [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans pledged to secure assets sold under agreements to repurchase	$ 675,659	$ 454,210

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Exchangeable Senior Notes - Summary of Financial Information Relating to Notes (Parenthetical) (Detail) (USD $)	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Debt Disclosure [Abstract]
Amortization of debt issuance costs	$ 232,000	$ 218,000	$ 685,000	$ 362,000

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Exchangeable Senior Notes

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Exchangeable Senior Notes

Note 17—Exchangeable Senior Notes

PMC issued in a private offering $250 million aggregate principal amount of Notes due May 1, 2020. The Notes bear interest at a rate of 5.375% per year, payable semiannually. The Notes are exchangeable into common shares of the Company at a rate of 33.6041 common shares per $1,000 principal amount of the Notes, which exchange rate increased from the initial exchange rate of 33.5149. The increase in the calculated exchange rate was the result of cash dividends exceeding the dividend threshold amount of $0.57 as provided in the related indenture.

Following is financial information relating to the Notes:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(dollars in thousands)
Period end:
Balance	$	250,000	$	250,000
Unamortized issuance costs (1)	$	6,156	$	7,063
During the period:
Weighted-average balance	$	250,000	$	250,000	$	250,000	$	141,026
Interest expense (2)	$	3,592	$	3,577	$	10,763	$	5,961

(1) Unamortized issuance costs are included in Other assets in the consolidated balance sheets.

(2) Total interest expense includes amortization of debt issuance costs of $232,000 and $685,000 during the quarter and nine months ended September 30, 2014, respectively, and $218,000 and $362,000 during the quarter and nine months ended September 30, 2013, respectively.

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Organization and Basis of Presentation - Additional Information (Detail)	9 Months Ended
	Sep. 30, 2014 Segment
Accounting Policies [Abstract]
Number of business segments	2
Percentage of taxable income for distributions	90.00%

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Mortgage Loans Under Forward Purchase Agreements at Fair Value - Summary of Certain Concentrations of Credit Risk in Portfolio of Mortgage Loans at Fair Value (Parenthetical) (Detail)	Sep. 30, 2014	Dec. 31, 2013
Risks and Uncertainties [Abstract]
Percentage of contribution by other states in mortgage loans	5.00%	5.00%

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Consolidated Statements of Cash Flows (Unaudited) (USD $) In Thousands, unless otherwise specified	9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013
Cash flows from operating activities
Net income	$ 168,033	$ 147,494
Adjustments to reconcile net income to net cash used by operating activities:
Net gain on mortgage loans acquired for sale at fair value	(29,702)	(84,748)
Accrual of unearned discounts and amortization of premiums on mortgage-backed securities, mortgage loans at fair value, and asset-backed secured financing	(905)	0
Capitalization of interest on mortgage loans at fair value	(40,805)	(25,017)
Accrual of interest on excess servicing spread	(9,578)	0
Amortization of credit facility commitment fees and debt issuance costs	7,298	6,280
(Reversal) accrual of costs related to forward purchase agreements	(168)	3,420
Net gain on investments	(186,109)	(159,900)
Change in fair value, amortization and impairment of mortgage servicing rights	30,285	17,200
Results of real estate acquired in settlement of loans	23,900	7,477
Share-based compensation expense	4,356	4,066
Purchases of mortgage loans acquired for sale at fair value	(20,759,885)	(25,984,356)
Purchases of mortgage loans acquired for sale at fair value from PennyMac Financial Services, Inc.	(4,955)	(12,339)
Sales of mortgage loans acquired for sale at fair value to nonaffiliates	8,534,637	13,229,726
Sales of mortgage loans acquired for sale to PennyMac Financial Services, Inc.	11,947,251	12,429,698
Increase in servicing advances	(14,347)	(13,051)
Decrease in due from PennyMac Financial Services, Inc.	2,163	4,716
Increase in other assets	(70,252)	(12,472)
Increase (decrease) in accounts payable and accrued liabilities	6,038	(12,434)
Increase in payable to PennyMac Financial Services, Inc.	3,076	8,414
Increase in income taxes payable	6,273	18,524
Net cash used by operating activities	(383,396)	(432,165)
Cash flows from investing activities
Net decrease (increase) in short-term investments	54,946	(41,919)
Purchases of mortgage-backed securities at fair value	(73,922)	(199,558)
Repayments of mortgage-backed securities at fair value	9,830	0
Purchase of Agency debt security	0	(12,000)
Purchases of mortgage loans at fair value	(283,017)	(779,015)
Sales and repayments of mortgage loans at fair value	532,375	193,914
Repayments of mortgage loans under forward purchase agreements at fair value	6,413	8,000
Purchase of excess servicing spread from PennyMac Financial Services, Inc.	(82,646)	(2,828)
Repayment of excess servicing spread by PennyMac Financial Services, Inc.	25,280	0
Settlements of derivative financial instruments	(7,879)	0
Purchase of real estate acquired in settlement of loans	(3,049)	(82)
Sales of real estate acquired in settlement of loans	124,794	98,103
Sales of real estate acquired in settlement of loans under forward purchase agreements	5,365	65
Purchase of mortgage servicing rights	0	(1,881)
Sale of mortgage servicing rights	137	0
Increase in margin deposits and restricted cash	(350)	(22,314)
Net cash provided (used) by investing activities	308,277	(759,515)
Cash flows from financing activities
Sales of assets under agreement to repurchase	26,109,117	25,827,489
Repurchases of assets sold under agreements to repurchase	(25,732,035)	(25,103,532)
Repayments of borrowings under forward purchase agreements	(227,866)	(18,618)
Issuance of asset-backed secured financing at fair value	0	170,008
Payment of asset-backed secured financing at fair value	(6,161)	0
Issuance of exchangeable senior notes	0	250,000
Payment of exchangeable senior notes issuance costs	0	(7,425)
Issuance of common shares	82,453	261,595
Payment of common share underwriting and offering costs	(1,052)	(12,321)
Payment of contingent underwriting fees payable	(1,295)	(1,803)
Payment of dividends	(128,966)	(107,405)
Net cash provided by financing activities	94,195	1,257,988
Net increase in cash	19,076	66,308
Cash at beginning of period	27,411	33,756
Cash at end of period	$ 46,487	$ 100,064

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Consolidated Balance Sheets (Unaudited) (Parenthetical) (USD $) In Thousands, except Share data, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Statement of Financial Position [Abstract]
Mortgage loans acquired for sale at fair value, pledged to secure assets sold under agreements to repurchase	$ 675,659	$ 454,210
Mortgage loans at fair value, pledged to secure assets sold under agreements to repurchase	2,273,768	2,315,313
Real estate acquired in settlement of loans, pledged to secure assets sold under agreements to repurchase	76,561	89,404
Mortgage servicing rights at fair value	$ 57,871	$ 26,452
Common shares, authorized	500,000,000	500,000,000
Common shares, par value	$ 0.01	$ 0.01
Common shares, issued	74,139,570	70,458,082
Common shares, outstanding	74,139,570	70,458,082

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Mortgage Loans at Fair Value

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Mortgage Loans at Fair Value

Note 10—Mortgage Loans at Fair Value

Mortgage loans at fair value are comprised of mortgage loans that are not acquired for sale and, to the extent they are not held in a VIE securing an asset-backed financing, may be sold at a later date pursuant to a management determination that such a sale represents the most advantageous liquidation strategy for the identified loan.

Following is a summary of the distribution of the Company’s mortgage loans at fair value:

	September 30, 2014				December 31, 2013
Loan type	Fair value		Unpaid principal balance		Fair value		Unpaid principal balance
	(in thousands)
Nonperforming loans	$	1,439,520	$	2,199,371	$	1,469,686	$	2,415,446
Performing loans:
Fixed interest rate		303,569		432,358		310,607		475,568
Adjustable-rate mortgage (“ARM”)/hybrid		104,594		134,861		165,327		207,553
Interest rate step-up		183,263		279,244		130,906		215,702
Balloon		156		209		139		213
		591,582		846,672		606,979		899,036
Mortgage loans held in a VIE securing asset-backed financing
Fixed interest rate jumbo		530,809		524,725		523,652		543,257
	$	2,561,911	$	3,570,768	$	2,600,317	$	3,857,739
Mortgage loans at fair value pledged to secure borrowings at period end:
Assets sold under agreements to repurchase	$	2,272,089			$	2,314,324
Mortgage loans held in a consolidated subsidiary whose stock is pledged to secure financings of such loans	$	1,679			$	989
Mortgage loans held in a VIE securing an asset-backed financing	$	530,809			$	523,652

Following is a summary of certain concentrations of credit risk in the portfolio of mortgage loans at fair value, excluding mortgage loans held in a VIE securing asset-backed financing:

Concentration	September 30, 2014			December 31, 2013
Portion of mortgage loans originated between 2005 and 2007		72	%		72	%
Percentage of fair value of mortgage loans with unpaid-principal-balance-to-current-property-value in excess of 100%		55	%		61	%
Percentage of mortgage loans secured by California real estate		21	%		24	%
Additional states contributing 5% or more of mortgage loans		New York Florida New Jersey			New York Florida New Jersey

XML

Mortgage Loans at Fair Value - Summary of Distribution of Company's Mortgage Loans at Fair Value (Detail) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Financing Receivable, Recorded Investment [Line Items]
Fair value	$ 2,561,911	$ 2,600,317
Unpaid principal balance	3,570,768	3,857,739
Assets sold under agreements to repurchase	2,272,089	2,314,324
Mortgage loans held in a consolidated subsidiary whose stock is pledged to secure financings of such loans	1,679	989
Mortgage loans held in a VIE securing an asset-backed financing	530,809	523,652
Fixed Interest Rate Jumbo [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	530,809	523,652
Unpaid principal balance	524,725	543,257
Nonperforming loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	1,439,520	1,469,686
Unpaid principal balance	2,199,371	2,415,446
Performing loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	591,582	606,979
Unpaid principal balance	846,672	899,036
Performing loans [Member] | Fixed interest rate [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	303,569	310,607
Unpaid principal balance	432,358	475,568
Performing loans [Member] | Adjustable-rate mortgage (ARM)/hybrid [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	104,594	165,327
Unpaid principal balance	134,861	207,553
Performing loans [Member] | Interest rate step-up [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	183,263	130,906
Unpaid principal balance	279,244	215,702
Performing loans [Member] | Balloon [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	156	139
Unpaid principal balance	$ 209	$ 213

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Fair Value - Quantitative Summary of Key Inputs Used in Valuation of Mortgage Loans and Mortgage Loans Under Forward Purchase Agreements at Fair Value (Detail)	9 Months Ended	12 Months Ended
	Sep. 30, 2014	Dec. 31, 2013
Mortgage loans under forward purchase agreements [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Discount rate	0.00%
Twelve-month projected housing price index change	0.00%
Prepayment speed	0.00%
Total prepayment speed	0.00%
Minimum [Member] | Mortgage loans at fair value [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Discount rate	5.40%	8.70%
Twelve-month projected housing price index change	4.00%	2.50%
Prepayment speed	0.00%	0.00%
Total prepayment speed	0.00%	0.30%
Minimum [Member] | Mortgage loans under forward purchase agreements [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Discount rate		9.50%
Twelve-month projected housing price index change		3.30%
Prepayment speed		1.10%
Total prepayment speed		13.40%
Maximum [Member] | Mortgage loans at fair value [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Discount rate	15.00%	16.90%
Twelve-month projected housing price index change	5.10%	4.30%
Prepayment speed	7.40%	3.90%
Total prepayment speed	27.50%	33.90%
Maximum [Member] | Mortgage loans under forward purchase agreements [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Discount rate		13.50%
Twelve-month projected housing price index change		4.20%
Prepayment speed		2.90%
Total prepayment speed		27.90%
Weighted average [Member] | Mortgage loans at fair value [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Discount rate	8.90%	12.70%
Twelve-month projected housing price index change	4.80%	3.70%
Prepayment speed	3.00%	2.00%
Total prepayment speed	21.60%	24.30%
Weighted average [Member] | Mortgage loans under forward purchase agreements [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Discount rate	0.00%	11.90%
Twelve-month projected housing price index change	0.00%	3.80%
Prepayment speed	0.00%	2.20%
Total prepayment speed	0.00%	22.80%

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Fair Value - Summary of Financial Statement Items Measured at Fair Value on Nonrecurring Basis (Detail) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Real estate asset acquired in settlement of loans	$ 138,558	$ 63,043
Real estate asset acquired in settlement of loans under forward purchase agreements		7,760
Mortgage servicing rights at lower of amortized cost or fair value	78,176	184,067
Total Assets	216,734	254,870
Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Real estate asset acquired in settlement of loans	0	0
Real estate asset acquired in settlement of loans under forward purchase agreements		0
Mortgage servicing rights at lower of amortized cost or fair value	0	0
Total Assets	0	0
Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Real estate asset acquired in settlement of loans	0	0
Real estate asset acquired in settlement of loans under forward purchase agreements		0
Mortgage servicing rights at lower of amortized cost or fair value	0	0
Total Assets	0	0
Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Real estate asset acquired in settlement of loans	138,558	63,043
Real estate asset acquired in settlement of loans under forward purchase agreements		7,760
Mortgage servicing rights at lower of amortized cost or fair value	78,176	184,067
Total Assets	$ 216,734	$ 254,870

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Exchangeable Senior Notes - Summary of Financial Information Relating to Notes (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013	Dec. 31, 2013
Period end:
Balance	$ 250,000	$ 250,000	$ 250,000	$ 250,000	$ 250,000
Unamortized issuance costs	6,156	7,063	6,156	7,063
During the period:
Weighted-average balance	250,000	250,000	250,000	141,026
Interest expense	$ 3,592	$ 3,577	$ 10,763	$ 5,961

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Net Loan Servicing Fees - Summary of Net Loan Servicing Fees (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Transfers and Servicing [Abstract]
Servicing fees	$ 20,300	$ 14,451	$ 56,988	$ 37,175
MSR recapture fee receivable from PFSI	0	86	9	586
Effect of MSRs:
Carried at lower of amortized cost or fair value Amortization	(8,109)	(7,201)	(23,170)	(18,433)
(Provision for) reversal of impairment	602	(212)	(2,249)	3,495
Carried at fair value - change in fair value	(1,606)	(465)	(8,398)	(273)
Gains (losses) on hedging derivatives	(654)	0	3,532	(1,988)
Total Effect of MSRs	(9,767)	(7,878)	(30,285)	(17,199)
Net loan servicing fees	10,533	6,659	26,712	20,562
Average servicing portfolio	$ 30,701,324	$ 21,784,126	$ 29,531,733	$ 20,070,127

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Assets Sold Under Agreements to Repurchase - Additional Information (Detail) (USD $) In Millions, unless otherwise specified	Sep. 30, 2014
PMT [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Net worth, Required	$ 860.0
Operating Partnership [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Net worth, Required	700.0
Net Worth	1,600
PMH [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Net worth, Required	250.0
Net Worth	801
PMC [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Net worth, Required	150.0
Net Worth	$ 351

XML

Document and Entity Information	9 Months Ended
	Sep. 30, 2014	Nov. 05, 2014
Document And Entity Information [Abstract]
Document Type	10-Q
Amendment Flag	false
Document Period End Date	Sep. 30, 2014
Document Fiscal Year Focus	2014
Document Fiscal Period Focus	Q3
Trading Symbol	PMT
Entity Registrant Name	PennyMac Mortgage Investment Trust
Entity Central Index Key	0001464423
Current Fiscal Year End Date	--12-31
Entity Filer Category	Large Accelerated Filer
Entity Common Stock, Shares Outstanding		74,139,570

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Liability for Losses under Representations and Warranties - Summary of Company's Liability for Losses under Representations and Warranties (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Mortgage Banking [Abstract]
Balance, beginning of period	$ 11,876	$ 7,668	$ 10,110	$ 4,441
Provision for losses	1,359	1,474	3,125	4,701
Incurred losses	0	0	0	0
Balance, end of period	$ 13,235	$ 9,142	$ 13,235	$ 9,142

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Mortgage Loans Under Forward Purchase Agreements at Fair Value

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Mortgage Loans Under Forward Purchase Agreements at Fair Value

Note 11—Mortgage Loans Under Forward Purchase Agreements at Fair Value

Mortgage loans under forward purchase agreements at fair value are comprised of mortgage loans not acquired for resale. Such loans may be sold at a later date pursuant to a management determination that such a sale represents the most advantageous liquidation strategy for the identified loan. Following is a summary of the distribution of the Company’s mortgage loans under forward purchase agreements at fair value:

	September 30, 2014				December 31, 2013
Loan type	Fair value		Unpaid principal balance		Fair value		Unpaid principal balance
	(in thousands)
Nonperforming loans	$	—	$	—	$	177,841	$	268,600
Performing loans:
Fixed		—		—		19,292		29,496
ARM/hybrid		—		—		19,510		31,933
Interest rate step-up		—		—		1,485		2,455
		—		—		40,287		63,884
	$	—	$	—	$	218,128	$	332,484

Following is a summary of certain concentrations of credit risk in the portfolio of mortgage loans under forward purchase agreements at fair value:

	September 30, 2014		December 31, 2013
Portion of mortgage loans originated between 2005 and 2007		—		72	%
Percentage of mortgage loans secured by California real estate		—		25	%
Additional states contributing 5% or more of mortgage loans				New Jersey Washington New York Maryland

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Loan Sales and Variable Interest Entities - Summary of Cash Flows between Company and Transferees in Transfers Accounted for Sales (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Cash flows:
Proceeds from sales	$ 3,745,193	$ 4,185,246	$ 8,534,637	$ 13,229,726
Servicing fees received	17,797	14,107	52,704	35,015
Period end information:
Unpaid principal balance of mortgage loans outstanding	32,134,609	23,717,643	32,134,609	23,717,643
Unpaid principal balance of delinquent mortgage loans:
30-89 days delinquent	87,374	50,746	87,374	50,746
90 or more days delinquent
Not in foreclosure	20,708	4,812	20,708	4,812
In foreclosure or bankruptcy	11,583	3,292	11,583	3,292
Unpaid principal balance of loans outstanding at period-end	32,291	8,104	32,291	8,104
Unpaid principal balance of delinquent mortgage loans	$ 119,665	$ 58,850	$ 119,665	$ 58,850

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Fair Value - Summary of Changes in Fair Value Included in Current Period Income (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	$ 9,509	$ 11,031	$ 29,702	$ 84,748
Net interest income		0
Net gain on investments	70,390	49,086	186,109	159,900
Net loan servicing income		(465)
Total		38,965
Asset-backed secured financing of the variable interest entity at fair value [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	0		0
Net interest income	(124)		(328)
Net gain on investments	696		(7,258)
Net loan servicing income	0		0
Total	572		(7,586)
Liabilities, Total [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	0		0
Net interest income	(124)		(328)
Net gain on investments	696		(7,258)
Net loan servicing income	0		0
Total	572		(7,586)
Short-term investments [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	0	0	0	0
Net interest income	0	0	0	0
Net gain on investments	0	(5,356)	0	0
Net loan servicing income	0	0	0	0
Total	0	(5,356)	0	0
Mortgage-backed securities at fair value [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	0		0	0
Net interest income	108		296	0
Net gain on investments	(821)		6,096	5,356
Net loan servicing income	0		0	0
Total	(713)		6,392	5,356
Mortgage loans acquired for sale at fair value [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	19,977	(14,519)	69,812	(46,699)
Net interest income	0	0	0	0
Net gain on investments	0	0	0	0
Net loan servicing income	0	0	0	0
Total	19,977	(14,519)	69,812	(46,699)
Mortgage loans at fair value [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	0	0	0	0
Net interest income	385	0	938	0
Net gain on investments	78,717	39,608	218,912	151,111
Net loan servicing income	0	0	0	0
Total	79,102	39,608	219,850	151,111
Mortgage loans under forward purchase agreements at fair value [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	0	0	0	0
Net interest income	0	0	0	0
Net gain on investments	0	8,378	803	7,689
Net loan servicing income	0	0	0	0
Total	0	8,378	803	7,689
Excess servicing spread [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	0	0	0	0
Net interest income	0	0	0	0
Net gain on investments	(7,396)	29	(17,834)	29
Net loan servicing income	0	0	0	0
Total	(7,396)	29	(17,834)	29
Mortgage servicing rights at fair value [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	0	0	0	0
Net interest income	0	0	0	0
Net gain on investments	0	0	0	0
Net loan servicing income	(1,606)	(465)	(8,398)	0
Total	(1,606)	(465)	(8,398)	0
Assets, Total [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	19,977		69,812	(46,699)
Net interest income	493		1,234	0
Net gain on investments	70,500		207,977	164,763
Net loan servicing income	(1,606)		(8,398)	0
Total	89,364		270,625	118,064
Agency debt securities [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale		0		0
Net interest income		0		0
Net gain on investments		578		578
Net loan servicing income		0		0
Total		$ 578		$ 578

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Consolidated Statements of Income (Unaudited) (USD $) In Thousands, except Per Share data, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Net investment income
Net gain on mortgage loans acquired for sale	$ 9,509	$ 11,031	$ 29,702	$ 84,748
Loan origination fees	6,447	4,559	13,288	14,784
Net interest income:
Interest income	41,236	35,278	129,100	78,950
Interest expense	22,020	19,497	63,660	44,877
Total, Net interest income (expense)	19,216	15,781	65,440	34,073
Net gain on investments	70,390	49,086	186,109	159,900
Net loan servicing fees	10,533	6,659	26,712	20,562
Results of real estate acquired in settlement of loans	(11,926)	(2,295)	(23,900)	(7,477)
Other	2,361	1,241	6,330	2,841
Net investment income	106,530	86,062	303,681	309,431
Expenses
Loan fulfillment fees	15,497	18,327	36,832	68,625
Loan servicing fees	12,325	10,738	41,096	27,251
Management fees	9,623	8,539	26,609	23,486
Professional services	1,927	2,149	6,348	5,872
Compensation	1,843	2,292	6,668	5,819
Other	7,384	7,955	18,604	18,472
Total expenses	48,599	50,000	136,157	149,525
Income before provision for income taxes	57,931	36,062	167,524	159,906
Provision for (benefit from) income taxes	2,982	(3,639)	(509)	12,412
Net income	54,949	39,701	168,033	147,494
Earnings per share
Basic	$ 0.74	$ 0.61	$ 2.28	$ 2.40
Diluted	$ 0.69	$ 0.57	$ 2.13	$ 2.29
Weighted-average shares outstanding
Basic	74,140	64,405	73,254	60,809
Diluted	82,832	73,121	81,978	65,898
Dividends declared per share	$ 0.61	$ 0.57	$ 1.79	$ 1.71
Non Affiliates [Member]
Net interest income:
Interest income	37,659	35,278	119,522	78,950
Net gain on investments	77,786	49,057	203,943	159,871
PFSI [Member]
Net interest income:
Interest income	3,577	0	9,578	0
Net gain on investments	$ (7,396)	$ 29	$ (17,834)	$ 29

XML

Loan Sales and Variable Interest Entities

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Loan Sales and Variable Interest Entities

Note 5—Loan Sales and Variable Interest Entities

The Company is a variable interest holder in various special purpose entities that relate to its loan transfer and financing activities. These entities are classified as variable interest entities (“VIEs”) for accounting. The Company has segregated its involvement with VIEs between those VIEs which the Company does not consolidate and those VIEs which the Company consolidates.

Unconsolidated VIEs with Continuing Involvement

The following table summarizes cash flows between the Company and transferees in transfers that are accounted for as sales where PMT maintains continuing involvement with the mortgage loans as well as unpaid principal balance information at period end:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Cash flows:
Proceeds from sales	$	3,745,193	$	4,185,246	$	8,534,637		13,229,726
Servicing fees received (1)	$	17,797	$	14,107	$	52,704	$	35,015
Period end information:
Unpaid principal balance of mortgage loans outstanding	$	32,134,609	$	23,717,643
Unpaid principal balance of delinquent mortgage loans:
30-89 days delinquent	$	87,374	$	50,746
90 or more days delinquent
Not in foreclosure		20,708		4,812
In foreclosure or bankruptcy		11,583		3,292
		32,291		8,104
	$	119,665	$	58,850

(1) Net of guarantee fees.

Consolidated VIE

On September 30, 2013, the Company completed a securitization transaction in which a wholly-owned VIE issued $537.0 million in certificates backed by fixed-rate prime jumbo mortgage loans of PMT Loan Trust 2013-J1, at a 3.9% weighted yield. The Company retained $366.8 million of those certificates. Management concluded that the Company is the primary beneficiary of the VIE and, as a result, the Company consolidates the VIE. Consolidation of the VIE results in the securitized mortgage loans remaining on the consolidated balance sheets of the Company and the certificates issued by the VIE to nonaffiliates being accounted for as secured financing. The certificates are secured solely by the assets of the VIE and not by any other assets of the Company. The assets of the VIE are the only source of repayment of the certificates.

XML

Earnings Per Share

9 Months Ended

Sep. 30, 2014

Earnings Per Share [Abstract]

Earnings Per Share

Note 4—Earnings Per Share

Basic earnings per share is determined using the two-class method. Under the two-class method, all earnings (distributed and undistributed) are allocated to common shares and participating securities, based on their respective rights to receive dividends. Basic earnings per share is determined using net income reduced by income attributable to the participating securities and divided by the weighted-average common shares outstanding during the period. The Company grants restricted share units which entitle the recipients to receive dividend equivalents during the vesting period on a basis equivalent to the dividends paid to holders of common shares. Unvested share-based compensation awards containing non-forfeitable rights to receive dividends or dividend equivalents (collectively, “dividends”) are classified as “participating securities” and are included in the basic earnings per share calculation using the two-class method.

Under the two-class method, all earnings (distributed and undistributed) are allocated to common shares and participating securities, based on their respective rights to receive dividends. Basic earnings per share is determined using net income reduced by income attributable to the participating securities and divided by the weighted-average common shares outstanding during the period.

Diluted earnings per share is determined by dividing net income attributable to diluted shareholders, which adds back to net income the interest expense, net of applicable income taxes, on the Company’s exchangeable senior notes (the “Notes”), by the weighted-average common shares outstanding, assuming all potentially dilutive securities were issued. In periods in which the Company records a loss, potentially dilutive securities are excluded from the diluted loss per share calculation, as their effect on loss per share is anti-dilutive.

The following table summarizes the basic and diluted earnings per share calculations:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands except per share amounts)
Basic earnings per share:
Net income	$	54,949		$	39,701		$	168,033		$	147,494
Effect of participating securities—share-based compensation awards		(305	)		(374	)		(1,360	)		(1,656	)
Net income attributable to common shareholders	$	54,644		$	39,327		$	166,673		$	145,838
Weighted-average shares outstanding		74,140			64,405			73,254			60,809
Basic earnings per share	$	0.74		$	0.61		$	2.28		$	2.40
Diluted earnings per share:
Net income	$	54,949		$	39,701		$	168,033		$	147,494
Interest on Notes, net of income taxes		2,081			2,075			6,237			3,457
Net income attributable to diluted shareholders	$	57,030		$	41,776		$	174,270		$	150,951
Weighted-average shares outstanding		74,140			64,405			73,254			60,809
Potentially dilutive securities:
Shares issuable pursuant exchange of the Notes		8,401			8,379			8,401			4,726
Shares issuable under share-based compensation plan		291			337			323			363
Diluted weighted-average number of shares outstanding		82,832			73,121			81,978			65,898
Diluted earnings per share	$	0.69		$	0.57		$	2.13		$	2.29

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Asset-Backed Secured Financing of the Variable Interest Entity at Fair Value

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Asset-Backed Secured Financing of the Variable Interest Entity at Fair Value

Note 16—Asset-Backed Secured Financing of the Variable Interest Entity at Fair Value

Following is a summary of financial information relating to the asset-backed secured financing of the VIE:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(dollars in thousands)
Period end:
Fair Value	$	166,841		$	170,008
Interest rate		3.50	%		3.50	%
During the period:
Weighted-average fair value	$	168,923		$	1,853		$	168,186		$	625
Interest expense	$	1,584		$	—		$	4,762		$	—
Weighted-average effective interest rate		3.67	%		—			3.73	%		—

The Asset-backed secured financing of the variable interest entity is a non-recourse liability and secured solely by the assets of the VIE and not by any other assets of the Company. The assets of the VIE are the only source of funds for repayment of the certificates.

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Real Estate Acquired in Settlement of Loans

9 Months Ended

Sep. 30, 2014

Banking and Thrift [Abstract]

Real Estate Acquired in Settlement of Loans

Note 12—Real Estate Acquired in Settlement of Loans

Following is a summary of financial information relating to REO:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Balance at beginning of period	$	240,471		$	88,682		$	138,942		$	88,078
Purchases		—			82			3,049			82
Transfers from mortgage loans at fair value and advances		94,530			48,154			268,677			116,957
Transfers from REO under forward purchase agreements		—			114			12,737			114
Results of REO:
Valuation adjustments, net		(15,639	)		(5,012	)		(32,912	)		(16,079	)
Gain on sale, net		3,713			2,759			9,485			8,644
		(11,926	)		(2,253	)		(23,427	)		(7,435	)
Proceeds from sales		(47,891	)		(35,086	)		(124,794	)		(98,103	)
Balance at end of period	$	275,185		$	99,693		$	275,185		$	99,693
At period end:
REO pledged to secure assets sold under agreements to repurchase	$	56,702		$	17,074
REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties	$	19,858		$	50,796

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Netting of Financial Instruments - Schedule of Offsetting of Derivative Liabilities and Financial Liabilities (Detail) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Derivative [Line Items]
Gross amounts of recognized liabilities	$ 2,422,557	$ 2,049,581
Gross amounts offset in the consolidated balance sheet	(3,982)	(8,015)
Net amounts of liabilities presented in the consolidated balance sheet	2,418,575	2,041,566
Forward purchase contracts [Member]
Derivative [Line Items]
Gross amounts of recognized liabilities	478	7,420
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	478	7,420
Forward sales contracts [Member]
Derivative [Line Items]
Gross amounts of recognized liabilities	5,272	1,295
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	5,272	1,295
Netting [Member]
Derivative [Line Items]
Gross amounts of recognized liabilities	0	0
Gross amounts offset in the consolidated balance sheet	(3,982)	(8,015)
Net amounts of liabilities presented in the consolidated balance sheet	(3,982)	(8,015)
Derivatives subject to master netting arrangements [Member]
Derivative [Line Items]
Gross amounts of recognized liabilities	5,750	8,715
Gross amounts offset in the consolidated balance sheet	(3,982)	(8,015)
Net amounts of liabilities presented in the consolidated balance sheet	1,768	700
Interest rate lock commitments [Member]
Derivative [Line Items]
Gross amounts of recognized liabilities	121	1,261
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	121	1,261
Derivatives not subject to master netting arrangements [Member]
Derivative [Line Items]
Gross amounts of recognized liabilities	5,871	9,976
Gross amounts offset in the consolidated balance sheet	(3,982)	(8,015)
Net amounts of liabilities presented in the consolidated balance sheet	1,889	1,961
Assets sold under agreements to repurchase [Member]
Derivative [Line Items]
Gross amounts of recognized liabilities	2,416,686	2,039,605
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	$ 2,416,686	$ 2,039,605

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Mortgage Loans Acquired for Sale at Fair Value

9 Months Ended

Sep. 30, 2014

Mortgage Loans on Real Estate [Abstract]

Mortgage Loans Acquired for Sale at Fair Value

Note 8—Mortgage Loans Acquired for Sale at Fair Value

Mortgage loans acquired for sale at fair value is comprised of recently originated mortgage loans purchased by the Company for resale. Following is a summary of the distribution of the Company’s mortgage loans acquired for sale at fair value:

	September 30, 2014				December 31, 2013
	Fair value		Unpaid principal balance		Fair value		Unpaid principal balance
Loan type	(in thousands)
Conventional:
Agency-eligible	$	451,288	$	434,584	$	311,162	$	304,749
Jumbo		177,843		173,174		34,615		35,050
Government-insured or guaranteed		59,719		56,782		112,360		107,587
	$	688,850	$	664,540	$	458,137	$	447,386
Loans pledged to secure assets sold under agreements to repurchase	$	675,659			$	454,210

The Company is not approved by Ginnie Mae as an issuer of Ginnie Mae-guaranteed securities which are backed by government-insured or guaranteed mortgage loans. The Company transfers government-insured or guaranteed mortgage loans that it purchases from correspondent lenders to PLS, which is a Ginnie Mae-approved issuer, and earns a sourcing fee of three basis points on the unpaid principal balance plus interest earned during the period it holds each such loan.

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Liability for Losses Under Representations and Warranties (Tables)

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Summary of Company's Liability for Losses under Representations and Warranties

Following is a summary of the Company’s liability for losses under representations and warranties:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Balance, beginning of period	$	11,876	$	7,668	$	10,110	$	4,441
Provision for losses		1,359		1,474		3,125		4,701
Incurred losses		—		—		—		—
Balance, end of period	$	13,235	$	9,142	$	13,235	$	9,142

Summary of Company's Repurchase and Indemnification Activity

Following is a summary of the Company’s repurchase and indemnification activity:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
During the period:
Losses charged to liability for representations and warranties	$	—	$	—	$	—	$	—
Unpaid principal balance of mortgage loans repurchased	$	7,490	$	5,687	$	15,296	$	6,895
Unpaid principal balance of repurchased mortgage loans repurchased by correspondent lenders	$	5,841	$	967	$	10,109	$	1,891
Unpaid principal balance of mortgage loans indemnified by PMT	$	1,571	$	—	$	4,227	$	—
At end of period:
Unpaid principal balance of mortgage loans subject to pending claims for repurchase	$	19,969	$	9,415
Unpaid principal balance of mortgage loans indemnified by PMT	$	4,764	$	—
Unpaid principal balance of mortgage loans subject to representations and warranties	$	32,654,307	$	23,531,815

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Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements - Summary of Activity in REO Under Forward Purchase Agreements (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Real Estate [Abstract]
Balance at beginning of period	$ 0	$ 89	$ 9,138	$ 0
Purchases	0	0	68	(3,604)
Transfers from mortgage loans under forward purchase agreements at fair value and advances	0	3,640	9,369	3,604
Transfers to REO	0	(114)	(12,737)	(114)
Valuation adjustments, net	0	(31)	(779)	(31)
Gain on sale, net	0	(10)	306	(10)
Results of REO under forward purchase agreements	0	(41)	(473)	(41)
Proceeds from sales	0	(65)	(5,365)	(65)
Balance at end of period	$ 0	$ 3,509	$ 0	$ 3,509

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Netting of Financial Instruments

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Netting of Financial Instruments

Note 6—Netting of Financial Instruments

The Company uses derivative financial instruments to manage exposure to interest rate risk created by its MBS, interest rate lock commitments (“IRLC”), mortgage loans acquired for sale at fair value, mortgage loans at fair value, ESS and MSRs. All derivative financial instruments are recorded on the balance sheet at fair value. The Company has elected to net derivative asset and liability positions, and cash collateral obtained (or posted) by (or to) its counterparties when subject to a legally enforceable master netting arrangement. The derivative financial instruments that are not subject to master netting arrangements are IRLCs.

Offsetting of Derivative Assets

Following is a summary of net derivative assets. As discussed above, all derivatives with the exception of IRLCs are subject to master netting arrangements.

	September 30, 2014								December 31, 2013
	Gross amounts of recognized assets		Gross amounts offset in the consolidated balance sheet			Net amounts of assets presented in the consolidated balance sheet			Gross amounts of recognized assets		Gross amounts offset in the consolidated balance sheet			Net amounts of assets presented in the consolidated balance sheet
	(in thousands)
Derivatives subject to master netting arrangements:
MBS put options	$	830	$	—		$	830		$	272	$	—		$	272
MBS call options		239		—			239			—		—			—
Forward purchase contracts		4,614		—			4,614			1,229		—			1,229
Forward sale contracts		1,142		—			1,142			16,385		—			16,385
Treasury future sale contracts		857		—			857			—		—			—
Put options on Eurodollar futures		422		—			422			566		—			566
Call options on Eurodollar futures		666		—			666			—		—			—
Netting		—		(3,938	)		(3,938	)		—		(12,986	)		(12,986	)
		8,770		(3,938	)		4,832			18,452		(12,986	)		5,466
Derivatives not subject to master netting arrangements:
Interest rate lock commitments		5,512		—			5,512			2,510		—			2,510
	$	14,282	$	(3,938	)	$	10,344		$	20,962	$	(12,986	)	$	7,976

Derivative Assets and Collateral Held by Counterparty

The following table summarizes by significant counterparty the amount of derivative asset positions after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance to qualify for netting.

	September 30, 2014								December 31, 2013
			Gross amounts not offset in the consolidated balance sheet								Gross amounts not offset in the consolidated balance sheet
	Net amount of assets presented in the consolidated balance sheet		Financial instruments		Cash collateral received		Net amount		Net amount of assets presented in the consolidated balance sheet		Financial instruments		Cash collateral received		Net amount
	(in thousands)
Interest rate lock commitments	$	5,512	$	—	$	—	$	5,512	$	2,510	$	—	$	—	$	2,510
RJ O’Brien		1,664		—		—		1,664		566		—		—		566
Bank of America, N.A.		1,170		—		—		1,170		1,024		—		—		1,024
JP Morgan		617		—		—		617		—						—
Credit Suisse First Boston Mortgage Capital LLC		370		—		—		370		196		—		—		196
Nomura		266		—		—		266		273						273
Other		745		—		—		745		3,407		—		—		3,407
Total	$	10,344	$	—	$	—	$	10,344	$	7,976	$	—	$	—	$	7,976

Offsetting of Derivative Liabilities and Financial Liabilities

Following is a summary of net derivative liabilities and assets sold under agreements to repurchase. As discussed above, all derivatives with the exception of IRLCs are subject to master netting arrangements. Assets sold under agreements to repurchase do not qualify for netting.

	September 30, 2014								December 31, 2013
	Gross amounts of recognized liabilities		Gross amounts offset in the consolidated balance sheet			Net amounts of liabilities presented in the consolidated balance sheet			Gross amounts of recognized liabilities		Gross amounts offset in the consolidated balance sheet			Net amounts of liabilities presented in the consolidated balance sheet
	(in thousands)
Derivatives subject to master netting arrangements:
Forward purchase contracts	$	478	$	—		$	478		$	7,420	$	—		$	7,420
Forward sales contracts		5,272		—			5,272			1,295		—			1,295
Netting		—		(3,982	)		(3,982	)		—		(8,015	)		(8,015	)
		5,750		(3,982	)		1,768			8,715		(8,015	)		700
Derivatives not subject to master netting arrangements:
Interest rate lock commitments		121		—			121			1,261		—			1,261
		5,871		(3,982	)		1,889			9,976		(8,015	)		1,961
Assets sold under agreements to repurchase		2,416,686		—			2,416,686			2,039,605		—			2,039,605
	$	2,422,557	$	(3,982	)	$	2,418,575		$	2,049,581	$	(8,015	)	$	2,041,566

Derivative Liabilities, Financial Liabilities and Collateral Held by Counterparty

The following table summarizes by significant counterparty the amount of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance to qualify for netting. All assets sold under agreements to repurchase represent sufficient collateral or exceed the liability amount recorded on the consolidated balance sheet.

	September 30, 2014									December 31, 2013
			Gross amounts not offset in the consolidated balance sheet									Gross amounts not offset in the consolidated balance sheet
	Net amount of liabilities presented in the consolidated balance sheet		Financial instruments			Cash collateral pledged		Net amount		Net amount of liabilities presented in the consolidated balance sheet		Financial instruments			Cash collateral pledged		Net amount
	(in thousands)
Interest rate lock commitments	$	121	$	—		$	—	$	121	$	1,261	$	—		$	—	$	1,261
Morgan Stanley Bank, N.A.		156,702		(156,157	)		—		545		30,226		(30,226	)		—		—
Bank of Oklahoma		244		—			—		244		—		—			—		—
Daiwa Capital Markets		129,887		(129,682	)		—		205		132,525		(132,525	)		—		—
Fannie Mae Capital Markets		196		—					196		—		—					—
Citibank		766,578		(766,476	)		—		102		945,015		(944,856	)		—		159
Credit Suisse First Boston Mortgage Capital LLC		685,521		(685,521	)		—		—		523,546		(523,546	)		—		—
Bank of America, N.A.		459,728		(459,728	)		—		—		408,452		(408,452	)		—		—
RBS Securities Inc.		219,122		(219,122	)		—		—		—		—			—		—
Other		476		—			—		476		541		—			—		541
Total	$	2,418,575	$	(2,416,686	)	$	—	$	1,889	$	2,041,566	$	(2,039,605	)	$	—	$	1,961

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Fair Value

9 Months Ended

Sep. 30, 2014

Fair Value Disclosures [Abstract]

Fair Value

Note 7—Fair Value

The Company’s consolidated financial statements include assets and liabilities that are measured based on their fair values. Measurement at fair value may be on a recurring or nonrecurring basis depending on the accounting principles applicable to the specific asset or liability and whether management has elected to carry the item at its fair value as discussed in the following paragraphs.

Fair Value Accounting Elections

Management identified all of its non-cash financial assets and MSRs relating to loans with initial interest rates of more than 4.5% to be accounted for at fair value. Management has elected to account for these financial statement items at fair value so such changes in fair value will be reflected in income as they occur and more timely reflect the results of the Company’s performance. Management has also identified its asset-backed secured financing of the VIE to be accounted for at fair value to reflect the generally offsetting changes in fair value of these borrowings to changes in fair value of the mortgage loans at fair value collateralizing this financing.

For MSRs relating to mortgage loans with initial interest rates of less than or equal to 4.5%, management concluded that such assets present different risks to the Company than MSRs relating to mortgage loans with initial interest rates of more than 4.5% and therefore require a different risk management approach. Management’s risk management efforts relating to MSRs relating to mortgage loans with initial interest rates of less than or equal to 4.5% are aimed at moderating the effects of non-interest rate risks on fair value, such as the effect of changes in home prices on the assets’ fair values. Management has identified these assets to be accounted for using the amortization method.

Management’s risk management efforts in connection with MSRs relating to mortgage loans with initial interest rates of more than 4.5% are generally aimed at moderating the effects of changes in interest rates on the assets’ fair values.

For assets sold under agreements to repurchase, borrowings under forward purchase agreements and the Notes, management has determined that historical cost accounting is more appropriate because under this method debt issuance costs are amortized over the term of the debt, thereby matching the debt issuance cost to the periods benefiting from the usage of the debt.

Financial Statement Items Measured at Fair Value on a Recurring Basis

Following is a summary of financial statement items that are measured at fair value on a recurring basis:

	September 30, 2014
	Level 1		Level 2			Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	37,452	$	—		$	—	$	37,452
Mortgage-backed securities at fair value		—		267,885			—		267,885
Mortgage loans acquired for sale at fair value		—		688,850			—		688,850
Mortgage loans at fair value		—		530,809			2,031,102		2,561,911
Excess servicing spread purchased from PFSI		—		—			187,368		187,368
Derivative assets:
Interest rate lock commitments		—		—			5,512		5,512
MBS put options		—		830			—		830
MBS call options		—		239			—		239
Forward purchase contracts		—		4,614			—		4,614
Forward sales contracts		—		1,142			—		1,142
Treasury futures		—		857			—		857
Put options on Eurodollar futures		—		422			—		422
Call options on Eurodollar futures		—		666			—		666
Total derivative assets before netting before netting		—		8,770			5,512		14,282
Netting (1)		—		(3,938	)		—		(3,938	)
Total derivative assets after netting		—		4,832			5,512		10,344
Mortgage servicing rights at fair value		—		—			57,871		57,871
	$	37,452	$	1,492,376		$	2,281,853	$	3,811,681
Liabilities:
Asset-backed secured financing of the variable interest entity at fair value	$	—	$	166,841		$	—	$	166,841
Derivative liabilities:
Interest rate lock commitments		—		—			121		121
Forward purchase contracts		—		478			—		478
Forward sales contracts		—		5,272			—		5,272
Total derivative liabilities before netting		—		5,750			121		5,871
Netting (1)		—		(3,982	)		—		(3,982	)
Total derivative liabilities after netting		—		1,768			121		1,889
Total liabilities	$	—	$	168,609		$	121	$	168,730

(1) Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the offsetting of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement.

	December 31, 2013
	Level 1		Level 2			Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	92,398	$	—		$	—	$	92,398
Mortgage-backed securities at fair value		—		197,401			—		197,401
Mortgage loans acquired for sale at fair value		—		458,137			—		458,137
Mortgage loans at fair value		—		523,652			2,076,665		2,600,317
Mortgage loans under forward purchase agreements at fair value		—		—			218,128		218,128
Excess servicing spread purchased from PFSI		—		—			138,723		138,723
Derivative assets:
Interest rate lock commitments		—		—			2,510		2,510
MBS put options		—		272			—		272
Forward purchase contracts		—		1,229			—		1,229
Forward sales contracts		—		16,385			—		16,385
Options on Eurodollar futures		—		566			—		566
Total derivative assets		—		18,452			2,510		20,962
Netting (1)		—		(12,986	)		—		(12,986	)
Total derivative assets after netting		—		5,466			2,510		7,976
Mortgage servicing rights at fair value		—		—			26,452		26,452
	$	92,398	$	1,184,656		$	2,462,478	$	3,739,532
Liabilities:
Asset-backed secured financing of the variable interest entity at fair value	$	—	$	165,415		$	—	$	165,415
Derivative liabilities:
Interest rate lock commitments		—		—			1,261		1,261
Forward purchase contracts		—		7,420			—		7,420
Forward sales contracts		—		1,295			—		1,295
Total derivative liabilities		—		8,715			1,261		9,976
Netting (1)		—		(8,015	)		—		(8,015	)
Total derivative liabilities		—		700			1,261		1,961
Total liabilities	$	—	$	166,115		$	1,261	$	167,376

(1) Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the offsetting of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement.

The following is a summary of changes in items measured using Level 3 inputs on a recurring basis:

	Quarter ended September 30, 2014
	Mortgage loans at fair value			Excess servicing spread			Interest rate lock commitments(1)			Mortgage servicing rights			Total
	(in thousands)
Assets:
Balance, June 30, 2014	$	2,156,501		$	190,244		$	11,087		$	46,802		$	2,404,634
Purchases		—			9,253			—			—			9,253
Repayments and sales		(126,413	)		(8,786	)		—			(137	)		(135,336	)
Accrual of interest		—			3,577			—			—			3,577
ESS received pursuant to a recapture agreement with PFSI		—			2,619			—			—			2,619
Interest rate lock commitments issued, net		—			—			14,046			—			14,046
Capitalization of interest		10,451			—			—			—			10,451
Servicing received as proceeds from sales of mortgage loans		—			—			—			12,812			12,812
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		13,850			—									13,850
Other factors		67,446			(9,539	)		843			(1,606	)		57,144
		81,296			(9,539	)		843			(1,606	)		70,994
Transfers of mortgage loans to REO		(90,733	)		—			—			—			(90,733	)
Transfers of interest rate lock commitments to mortgage loans acquired for sale at fair value		—			—			(20,585	)		—			(20,585	)
Balance, September 30, 2014	$	2,031,102		$	187,368		$	5,391		$	57,871		$	2,281,732
Changes in fair value recognized during the period relating to assets still held at September 30, 2014	$	70,713		$	(9,539	)	$	5,391		$	(1,606	)	$	64,959

(1) For the purpose of this table, the interest rate lock asset and liability positions are shown net.

	Quarter ended September 30, 2013
	Mortgage loans at fair value			Agency Debt		Mortgage loans under forward purchase agreements			Excess servicing spread		Net interest rate lock commitments (1)			Mortgage servicing rights			Total
	(in thousands)
Assets:
Balance, June 30, 2013	$	1,309,765		$	—	$	242,531		$	—	$	(16,967	)	$	1,827		$	1,537,156
Purchases		579,260			12,000		1,710			2,828		—			1,696			597,494
Repayments		(59,404	)		—		(8,000	)		—		—			—			(67,404	)
Interest rate lock commitments issued, net		—			—		—			—		16,299			—			16,299
Capitalization of interest		13,203			—		—			—		—			—			13,203
Servicing received as proceeds from sales of mortgage loans		—			—		—			—		—			7,939			7,939
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		18,732			—		69			—								18,801
Other factors		20,876			578		8,309			29		4,841			(465	)		34,168
		39,608			578		8,378			29		4,841			(465	)		52,969
Transfers of mortgage loans under forward purchase agreements to mortgage loans		13,018			—		(13,018	)		—								—
Transfers of mortgage loans to REO		(46,794	)		—		—			—								(46,794	)
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements		—			—		(3,515	)		—								(3,515	)
Transfers of interest rate lock commitments to mortgage loans acquired for sale		—			—		—			—		7,273			—			7,273
Balance, September 30, 2013	$	1,848,656		$	12,578	$	228,086		$	2,857	$	11,446		$	10,997		$	2,114,620
Changes in fair value recognized during the period relating to assets still held at September 30, 2013	$	33,062		$	578	$	6,949		$	29	$	11,446		$	(465	)	$	51,599

(1) For the purpose of this table, the interest rate lock asset and liability positions are shown net.

	Nine months ended September 30, 2014
	Mortgage loans at fair value			Mortgage loans under forward purchase agreements			Excess servicing spread			Interest rate lock commitments (1)			Mortgage servicing rights			Total
	(in thousands)
Assets:
Balance, December 31, 2013	$	2,076,665		$	218,128		$	138,723		$	1,249		$	26,452		$	2,461,217
Purchases		283,017			1,386			82,646			—			—			367,049
Repayments and sales		(513,843	)		(6,413	)		(25,280	)		—			(137	)		(545,673	)
Accrual of interest		—			—			9,578			—			—			9,578
ESS received pursuant to a recapture agreement with PFSI		—			—			6,093			—			—			6,093
Interest rate lock commitments issued, net		—			—			—			45,800			—			45,800
Capitalization of interest		39,005			1,800			—			—			—			40,805
Servicing received as proceeds from sales of mortgage loans		—			—			—			—			39,954			39,954
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		54,612			2,269			—									56,881
Other factors		139,393			(1,466	)		(24,392	)		12,837			(8,398	)		117,974
		194,005			803			(24,392	)		12,837			(8,398	)		174,855
Transfers of mortgage loans under forward purchase agreements to mortgage loans		205,902			(205,902	)		—			—			—			—
Transfers of mortgage loans to REO		(253,649	)		—			—			—			—			(253,649	)
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements		—			(9,802	)		—			—			—			(9,802	)
Transfers of interest rate lock commitments to mortgage loans acquired for sale		—			—			—			(54,495	)		—			(54,495	)
Balance, September 30, 2014	$	2,031,102		$	—		$	187,368		$	5,391		$	57,871		$	2,281,732
Changes in fair value recognized during the period relating to assets still held at September 30, 2014	$	126,773		$	—		$	(24,392	)	$	5,391		$	(8,398	)	$	99,374

(1) For the purpose of this table, the interest rate lock asset and liability positions are shown net.

	Nine months ended September 30, 2013
	Mortgage loans at fair value			Agency Debt		Mortgage loans under forward purchase agreements			Excess servicing spread		Net interest rate lock commitments (1)			Mortgage servicing rights			Total
	(in thousands)
Assets:
Balance, June 30, 2013	$	1,189,971		$	—	$	—		$	—	$	19,479		$	1,346		$	1,210,796
Purchases		779,746			12,000		245,020			2,828		—			1,881			1,041,475
Repayments		(194,645	)		—		(8,000	)		—		—			—			(202,645	)
Interest rate lock commitments issued, net		—			—		—			—		71,195			—			71,195
Capitalization of interest		25,017			—		—			—		—			—			25,017
Servicing received as proceeds from sales of mortgage loans		—			—		—			—		—			8,043			8,043
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		31,176			—		69			—								31,245
Other factors		119,935			578		7,619			29		(25,831	)		(273	)		102,057
		151,111			578		7,688			29		(25,831	)		(273	)		133,302
Transfers of mortgage loans under forward purchase agreements to mortgage loans		13,018			—		(13,018	)		—								—
Transfers of mortgage loans to REO		(115,562	)		—		—			—								(115,562	)
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements		—			—		(3,604	)		—								(3,604	)
Transfers of interest rate lock commitments to mortgage loans		—			—		—			—		(53,397	)		—			(53,397	)
Balance, September 30, 2013	$	1,848,656		$	12,578	$	228,086		$	2,857	$	11,446		$	10,997		$	2,114,620
Changes in fair value recognized during the period relating to assets still held at September 30, 2013	$	102,843		$	578	$	6,106		$	29	$	11,446		$	(273	)	$	120,729

(1) For the purpose of this table, the interest rate lock asset and liability positions are shown net.

Following are the fair values and related principal amounts due upon maturity of mortgage loans accounted for under the fair value option (including mortgage loans acquired for sale, mortgage loans at fair value and mortgage loans under forward purchase agreements at fair value):

	September 30, 2014
	Fair value		Principal amount due upon maturity		Difference
	(in thousands)
Mortgage loans acquired for sale:
Current through 89 days delinquent	$	688,850	$	664,540	$	24,310
90 or more days delinquent (1)
Not in foreclosure		—		—		—
In foreclosure		—		—		—
		—		—		—
		688,850		664,540		24,310
Mortgage loans at fair value:
Current through 89 days delinquent		1,122,391		1,371,396		(249,005	)
90 or more days delinquent (1)
Not in foreclosure		558,095		860,281		(302,186	)
In foreclosure		881,425		1,339,090		(457,665	)
		1,439,520		2,199,371		(759,851	)
		2,561,911		3,570,767		(1,008,856	)
	$	3,250,761	$	4,235,307	$	(984,546	)

(1) Loans delinquent 90 or more days are placed on nonaccrual status and previously accrued interest is reversed.

	December 31, 2013
	Fair value		Principal amount due upon maturity		Difference
	(in thousands)
Mortgage loans acquired for sale:
Current through 89 days delinquent	$	457,968	$	447,224	$	10,744
90 or more days delinquent (1)
Not in foreclosure		169		162		7
In foreclosure		—		—		—
		169		162		7
		458,137		447,386		10,751
Mortgage loans and mortgage loans under forward purchase agreements at fair value:
Current through 89 days delinquent		1,170,918		1,506,175		(335,257	)
90 or more days delinquent (1)
Not in foreclosure		738,043		1,190,403		(452,360	)
In foreclosure		909,484		1,493,644		(584,160	)
		1,647,527		2,684,047		(1,036,520	)
		2,818,445		4,190,222		(1,371,777	)
	$	3,276,582	$	4,637,608	$	(1,361,026	)

(1) Loans delinquent 90 or more days are placed on nonaccrual status and previously accrued interest is reversed.

Following are the changes in fair value included in current period income by consolidated statement of income line item for financial statement items accounted for under the fair value option:

	Quarter ended September 30, 2014
	Net gain on mortgage loans acquired for sale			Net interest income			Net gain on investments			Net loan servicing fees			Total
	(in thousands)
Assets:
Short-term investments	$	—		$	—		$	—		$	—		$	—
Mortgage-backed securities at fair value		—			108			(821	)		—			(713	)
Mortgage loans acquired for sale at fair value		19,977			—			—			—			19,977
Mortgage loans at fair value		—			385			78,717			—			79,102
Mortgage loans under forward purchase agreements at fair value		—			—			—			—			—
Excess servicing spread at fair value		—			—			(7,396	)		—			(7,396	)
Mortgage servicing rights at fair value		—			—			—			(1,606	)		(1,606	)
	$	19,977		$	493		$	70,500		$	(1,606	)	$	89,364
Liabilities:
Asset-backed secured financing at fair value	$	—		$	(124	)	$	696		$	—		$	572
	$	—		$	(124	)	$	696		$	—		$	572
	Quarter ended September 30, 2013
	Net loss on mortgage loans acquired for sale			Net interest income			Net gain on investments			Net loan servicing fees			Total
	(in thousands)
Assets:
Short-term investments	$	—		$	—		$	—		$	—		$	—
Mortgage-backed securities at fair value		—			—			5,356			—			5,356
Agency debt securities		—			—			578			—			578
Mortgage loans acquired for sale at fair value		(14,519	)		—			—			—			(14,519	)
Mortgage loans at fair value		—			—			39,608			—			39,608
Mortgage loans under forward purchase agreements at fair value		—			—			8,378			—			8,378
Excess servicing spread at fair value		—			—			29			—			29
Mortgage servicing rights at fair value		—			—			—			(465	)		(465	)
	$	(14,519	)	$	—		$	53,949		$	(465	)	$	38,965

	Nine months ended September 30, 2014
	Net gain on mortgage loans acquired for sale		Net interest income			Net gain on investments			Net loan servicing fees			Total
	(in thousands)
Assets:
Short-term investments	$	—	$	—		$	—		$	—		$	—
Mortgage-backed securities at fair value		—		296			6,096			—			6,392
Mortgage loans acquired for sale at fair value		69,812		—			—			—			69,812
Mortgage loans at fair value		—		938			218,912			—			219,850
Mortgage loans under forward purchase agreements at fair value		—		—			803			—			803
Excess servicing spread at fair value		—		—			(17,834	)		—			(17,834	)
Mortgage servicing rights at fair value		—		—			—			(8,398	)		(8,398	)
	$	69,812	$	1,234		$	207,977		$	(8,398	)	$	270,625
Liabilities:
Asset-backed secured financing at fair value	$	—	$	(328	)	$	(7,258	)	$	—		$	(7,586	)
	$	—	$	(328	)	$	(7,258	)	$	—		$	(7,586	)

	Nine months ended September 30, 2013
	Net gain on mortgage loans acquired for sale			Net interest income		Net gain on investments		Net loan servicing fees		Total
	(in thousands)
Assets:
Short-term investments	$	—		$	—	$	—	$	—	$	—
Mortgage-backed securities at fair value		—			—		5,356		—		5,356
Mortgage loans acquired for sale at fair value		(46,699	)		—		—		—		(46,699	)
Mortgage loans at fair value		—			—		151,111		—		151,111
Agency debt securities		—			—		578		—		578
Mortgage loans under forward purchase agreements at fair value		—			—		7,689		—		7,689
Excess servicing spread at fair value		—			—		29		—		29
Mortgage servicing rights at fair value		—			—		—		—		—
	$	(46,699	)	$	—	$	164,763	$	—	$	118,064

Financial Statement Items Measured at Fair Value on a Nonrecurring Basis

Following is a summary of financial statement items that are measured at fair value on a nonrecurring basis:

	September 30, 2014
	Level 1		Level 2		Level 3		Total
	(in thousands)
Real estate asset acquired in settlement of loans	$	—	$	—	$	138,558	$	138,558
Mortgage servicing rights at lower of amortized cost or fair value		—		—		78,176		78,176
	$	—	$	—	$	216,734	$	216,734

	December 31, 2013
	Level 1		Level 2		Level 3		Total
	(in thousands)
Real estate asset acquired in settlement of loans	$	—	$	—	$	63,043	$	63,043
Real estate asset acquired in settlement of loans under forward purchase agreements		—		—		7,760		7,760
Mortgage servicing rights at lower of amortized cost or fair value		—		—		184,067		184,067
	$	—	$	—	$	254,870	$	254,870

The following table summarizes the net losses recognized during the period on assets measured at estimated fair values on a nonrecurring basis:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Real estate asset acquired in settlement of loans	$	(14,242	)	$	(4,554	)	$	(24,027	)	$	(8,191	)
Real estate asset acquired in settlement of loans under forward purchase agreements	$	—		$	(29	)	$	—		$	(29	)
Mortgage servicing rights at lower of amortized cost or fair value		602			(212	)		(2,249	)		3,495
	$	(13,640	)	$	(4,795	)	$	(26,276	)	$	(4,725	)

Real Estate Acquired in Settlement of Loans

The Company measures its investment in REO at the respective properties’ fair values less cost to sell on a nonrecurring basis. The initial carrying value of the REO is measured by cost as indicated by the purchase price in the case of purchased REO or as measured by the fair value of the mortgage loan immediately before acquisition in the case of acquisition in settlement of a loan. REO may be subsequently revalued due to the Company receiving greater access to the property, the property being held for an extended period or management receiving indications that the property’s value may not be supported by developing market conditions. Any subsequent change in fair value to a level that is less than or equal to the property’s cost is recognized in Results of real estate acquired in settlement of loans in the consolidated statements of income.

Mortgage Servicing Rights at Lower of Amortized Cost or Fair Value

The Company evaluates its MSRs at lower of amortized cost or fair value for impairment with reference to the assets’ fair value. For purposes of performing its MSR impairment evaluation, the Company stratifies its MSRs at lower of amortized cost or fair value based on the interest rates borne by the mortgage loans underlying the MSRs. Mortgage loans are grouped into pools with 50 basis point interest rate ranges for fixed-rate mortgage loans with interest rates between 3% and 4.5% and a single pool for mortgage loans with interest rates below 3%. MSRs relating to adjustable rate mortgage loans with initial interest rates of 4.5% or less are evaluated in a single pool. If the fair value of MSRs in any of the interest rate pools is below the amortized cost of the MSRs reduced by the existing valuation allowance for that pool, those MSRs are impaired.

When MSRs are impaired, the impairment is recognized in current-period income and the carrying value of the MSRs is adjusted using a valuation allowance. If the fair value of the MSRs subsequently increases, the increase in fair value is recognized in current period income only to the extent of the valuation allowance for the respective impairment stratum.

Management periodically reviews the various impairment strata to determine whether the fair value of the impaired MSRs in a given stratum is likely to recover. When management deems recovery of value to be unlikely in the foreseeable future, a write-down of the cost of the MSRs for that stratum to its estimated recoverable value is charged to the valuation allowance.

Fair Value of Financial Instruments Carried at Amortized Cost

The Company’s cash balances as well as certain of its borrowings are carried at amortized cost. Management has concluded that the fair values of Cash, Assets sold under agreements to repurchase, and Borrowings under forward purchase agreements approximate the agreements’ carrying values due to the immediate realizability of Cash at its carrying amount and to the borrowing agreements’ short terms and variable interest rates.

Cash is measured using Level 1 inputs. The Company’s Assets sold under agreements to repurchase and Borrowings under forward purchase agreements are carried at amortized cost. The Company has classified these financial instruments as “Level 3” financial statement items as of September 30, 2014 due to the lack of current market activity and the Company’s reliance on unobservable inputs to estimate these instruments’ fair values.

The Notes are carried at amortized cost. The fair value of the Notes at September 30, 2014 and December 31, 2013 was $244.0 million and $238.4 million, respectively. The fair value of the Notes is estimated using a broker indication of value. The Company has classified the Notes as “Level 3” financial statement items as of September 30, 2014 due to the lack of current market activity and the use of broker’s indication of value to estimate the instrument’s fair values.

Valuation Techniques and Inputs

Most of the Company’s financial assets and a portion of its liabilities are carried at fair value with changes in fair value recognized in current period income. A substantial portion of those items are “Level 3” financial statement items which require the use of significant unobservable inputs in the estimation of the assets’ and liabilities’ fair values. Unobservable inputs reflect the Company’s own assumptions about the factors that market participants use in pricing an asset or liability, and are based on the best information available under the circumstances.

Due to the difficulty in estimating the fair value of “Level 3” financial statement items, PFSI has assigned the estimating of fair value of these assets to PFSI’s specialized staff and subjects the valuation process to significant executive management oversight. PFSI’s Financial Analysis and Valuation group (the “FAV group”), which is responsible for valuing and monitoring the Company’s investment portfolios and maintenance of its valuation policies and procedures, estimates the fair value of “Level 3” financial instruments and MSRs.

The FAV group reports to PFSI’s valuation committee, which oversees and approves the valuations. The valuation committee includes the chief executive, financial, operating, credit, and asset/liability management officers of PFSI. The FAV group monitors the models used for valuation of the Company’s “Level 3” financial statement items, including the models’ performance versus actual results and reports those results to PFSI’s valuation committee. The results developed in the FAV group’s monitoring activities are used to calibrate subsequent projections used for valuation.

The FAV group is responsible for reporting to PFSI’s valuation committee on a monthly basis on the changes in the valuation of the Level 3 assets and liabilities it values, including major factors affecting the valuation and any changes in model methods and assumptions. To assess the reasonableness of its valuations, the FAV group presents an analysis of the effect on the valuation of each of the changes to the significant inputs to the valuation models.

The following describes the valuation techniques and assumptions used in estimating the fair values of Level 2 and Level 3 financial statement items:

Mortgage-Backed Securities

The Company’s MBS securities presently include Agency and senior non-agency MBS, Agency and senior non-Agency MBS are categorized as “Level 2” financial statement items. Fair value of Agency and senior non-Agency MBS is estimated based on quoted market prices for similar securities.

Mortgage Loans

Fair value of mortgage loans is estimated based on whether the mortgage loans are saleable into active markets:

• Mortgage loans that are saleable into active markets, comprised of the Company’s mortgage loans acquired for sale at fair value and mortgage loans at fair value held in a VIE, are categorized as “Level 2” financial statement items. The fair values of mortgage loans acquired for sale at fair value are estimated using their quoted market or contracted price or market price equivalent. For the mortgage loans at fair value held in a VIE, the fair values of all of the individual securities issued by the securitization trust are used to derive a fair value for the mortgage loans.

• Loans that are not saleable into active markets, comprised of the Company’s mortgage loans at fair value held outside the VIE and mortgage loans under forward purchase agreements at fair value, are categorized as “Level 3” financial statement items and their fair values are estimated using a discounted cash flow approach. Inputs to the discounted cash flow model include current interest rates, loan amount, payment status, property type or contracted selling price, discount rates and forecasts of future interest rates, home prices, prepayment speeds, default speeds and loss severities.

The valuation process includes the computation by stratum of the fair values and a review for reasonableness of various measures such as weighted average life, projected prepayment and default speeds, and projected default and loss percentages. The FAV group computes the effect on the valuation of changes in input variables such as interest rates, home prices, and delinquency status to assess the reasonableness of changes in the loan valuation. The results of the estimates of fair value of “Level 3” mortgage loans are reported to PFSI’s valuation committee as part of its review and approval of monthly valuation results.

Changes in fair value attributable to changes in instrument-specific credit risk are measured by the effect on fair value of the change in the respective loan’s delinquency status at period-end from the later of the beginning of the period or acquisition date.

The significant unobservable inputs used in the fair value measurement of the Company’s mortgage loans at fair value and mortgage loans under forward purchase agreements at fair value are discount rate, home price projections, voluntary prepayment speeds and default speeds. Significant changes in any of those inputs in isolation could result in a significant change to the loans’ fair value measurement. Increases in home price projections are generally accompanied by an increase in voluntary prepayment speeds.

Following is a quantitative summary of key inputs used in the valuation of mortgage loans at fair value and mortgage loans under forward purchase agreements at fair value:

Key inputs	September 30, 2014	December 31, 2013
Mortgage loans at fair value
Discount rate
Range	5.4% – 15.0%	8.7% – 16.9%
Weighted average	8.9%	12.7%
Twelve-month projected housing price index change
Range	4.0% – 5.1%	2.5% – 4.3%
Weighted average	4.8%	3.7%
Prepayment speed (1)
Range	0.0% – 7.4%	0.0% – 3.9%
Weighted average	3.0%	2.0%
Total prepayment speed (2)
Range	0.0% – 27.5%	0.3% – 33.9%
Weighted average	21.6%	24.3%
Mortgage loans under forward purchase agreements
Discount rate
Range	—	9.5% – 13.5%
Weighted average	—	11.9%
Twelve-month projected housing price index change
Range	—	3.3% – 4.2%
Weighted average	—	3.8%
Prepayment speed (1)
Range	—	1.1% – 2.9%
Weighted average	—	2.2%
Total prepayment speed (2)
Range	—	13.4% – 27.9%
Weighted average	—	22.8%

(1) Prepayment speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”).

(2) Total prepayment speed is measured using Life Total CPR.

Excess Servicing Spread Purchased from PennyMac Financial Services, Inc.

The Company categorizes ESS as a “Level 3” financial statement item. The Company uses a discounted cash flow approach to estimate the fair value of ESS. The key inputs used in the estimation of the fair value of ESS include prepayment speed and discount rate. Significant changes to those inputs in isolation may result in a significant change in the ESS fair value measurement. Changes in these key inputs are not necessarily directly related.

ESS is generally subject to loss in fair value when interest rates decrease. Decreasing mortgage rates normally encourage increased mortgage refinancing activity. Increased refinancing activity reduces the life of the loans underlying the ESS, thereby reducing the fair value of ESS. Reductions in the fair value of ESS affect income primarily through change in fair value.

Interest income for ESS is accrued using the interest method, based upon the expected interest yield from the ESS through the expected life of the underlying mortgages. Changes to expected interest yield result in a change in Interest income which is recorded in Interest income. Changes to expected cash flows result in a change to fair value that is recognized in Net gain (loss) on investments.

Following are the key inputs used in determining the fair value of ESS:

Key inputs	September 30, 2014	December 31, 2013
Unpaid principal balance of underlying mortgage loans (in thousands)	$27,702,102	$20,512,659
Average servicing fee rate (in basis points)	31	32
Average ESS rate (in basis points)	16	16
Pricing spread (1)
Range	1.7% - 11.8%	2.8% - 14.4%
Weighted average	5.0%	5.4%
Life (in years)
Range	0.4 - 7.3	0.9 - 8.0
Weighted average	5.8	6.1
Annual total prepayment speed (2)
Range	7.6% - 72.4%	7.7% - 48.6%
Weighted average	10.8%	9.7%

(1) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar London Interbank Offered Rate (“LIBOR”) curve for purposes of discounting cash flows relating to ESS.

(2) Prepayment speed is measured using Life Total CPR.

Derivative Financial Instruments

The Company estimates the fair value of IRLCs based on quoted Agency MBS prices, its estimate of the fair value of the MSRs it expects to receive in the sale of the loans and the probability that the mortgage loan will be purchased as a percentage of the commitments it has made (the “pull-through rate”). The Company categorizes IRLCs as “Level 3” financial statement items.

The significant unobservable inputs used in the fair value measurement of the Company’s IRLCs are the pull-through rate and the MSR component of the Company’s estimate of the fair value of the mortgage loans it has committed to purchase. Significant changes in the pull-through rate and the MSR component of the IRLCs, in isolation, may result in a significant change in fair value. The financial effects of changes in these assumptions are generally inversely correlated as increasing interest rates have a positive effect on the fair value of the MSR component of IRLC value, but increase the pull-through rate for loans that have decreased in fair value.

Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs:

Key inputs	September 30, 2014	December 31, 2013
Pull-through rate
Range	49.8% - 98.0%	64.8% - 98.0%
Weighted average	83.5%	86.4%
MSR value expressed as:
Servicing fee multiple
Range	1.6 - 5.2	1.4 - 5.1
Weighted average	3.9	4.1
Percentage of unpaid principal balance
Range	0.4% - 2.5%	0.4% - 1.3%
Weighted average	1.0%	1.0%

The Company estimates the fair value of commitments to sell loans based on quoted MBS prices. The Company estimates the fair value of the interest rate options and futures it purchases and sells based on observed interest rate volatilities in the MBS market.

Real Estate Acquired in Settlement of Loans

REO is measured based on its fair value on a nonrecurring basis and is categorized as a “Level 3” financial statement item. Fair value of REO is established by using a current estimate of value from a broker’s price opinion or a full appraisal, or the price given in a current contract of sale.

REO values are reviewed by the Manager’s staff appraisers when the Company obtains multiple indications of value and there is a significant difference between the values received. PCM’s staff appraisers will attempt to resolve the difference between the indications of value. In circumstances where the appraisers are not able to generate adequate data to support a value conclusion, the staff appraisers will order an additional appraisal to determine the value.

Mortgage Servicing Rights

MSRs are categorized as “Level 3” financial statement items. The Company uses a discounted cash flow approach to estimate the fair value of MSRs. The key inputs used in the Company’s discounted cash flow model are based on market factors which management believes are consistent with inputs and data used by market participants valuing similar MSRs. The key inputs used in the estimation of the fair value of MSRs include prepayment and default rates of the underlying loans, the applicable pricing spread or discount rate, and annual per-loan cost to service mortgage loans, all of which are unobservable. Significant changes to any of those inputs in isolation could result in a significant change in the MSR fair value measurement. Changes in these key inputs are not necessarily directly related. The results of the estimates of fair value of MSRs are reported to PFSI’s valuation committee as part of their review and approval of monthly valuation results.

MSRs are generally subject to loss in fair value when mortgage interest rates decrease. Decreasing mortgage interest rates normally encourage increased mortgage refinancing activity. Increased refinancing activity reduces the life of the loans underlying the MSRs, thereby reducing MSR fair value. Reductions in the fair value of MSRs affect income primarily through change in fair value and impairment charges. For MSRs backed by mortgage loans with historically low interest rates, factors other than interest rates (such as housing price changes) take on increasing influence on prepayment behavior of the underlying mortgage loans.

Following are the key inputs used in determining the fair value of MSRs at the time of initial recognition:

	Quarter ended September 30,
	2014		2013
Key inputs	Amortized cost	Fair value	Amortized cost	Fair value
	(MSR recognized and unpaid principal balance of underlying loan amounts in thousands)
MSR recognized	$26,802	$12,812	$41,018	$7,939
Unpaid principal balance of underlying mortgage loans	$2,423,013	$1,234,028	$3,404,274	$707,891
Weighted-average annual servicing fee rate (in basis points)	25	25	25	25
Pricing spread (1)
Range	6.5% – 17.5%	8.8% – 13.5%	5.4% – 13.9%	7.4% - 9.6%
Weighted average	8.5%	9.1%	6.3%	8.0%
Life (in years)
Range	1.4 - 7.3	2.8 - 7.3	2.9 - 6.9	3.8 - 6.9
Weighted average	6.6	7.1	6.3	6.8
Annual total prepayment speed (2)
Range	7.6% – 48.8%	8.0% – 30.4%	8.5% – 15.6%	8.8% - 20.7%
Weighted average	9.2%	9.7%	8.9%	9.8%
Annual per-loan cost of servicing
Range	$68 – $140	$68 – $140	$68 – $68	$68 - $68
Weighted average	$70	$70	$68	$68

	Nine months ended September 30,
	2014		2013
Key inputs	Amortized cost	Fair value	Amortized cost	Fair value
	(MSR recognized and unpaid principal balance of underlying loan amounts in thousands)
MSR recognized	$49,276	$39,954	$148,186	$8,043
Unpaid principal balance of underlying mortgage loans	$4,518,100	$3,784,142	$12,247,940	$717,877
Weighted-average annual servicing fee rate (in basis points)	25	25	26	25
Pricing spread (1)
Range	6.3% – 17.5%	8.5% - 13.5%	5.4% – 14.4%	7.4% - 14.4%
Weighted average	8.5%	9.1%	6.6%	8.0%
Life (in years)
Range	1.1 - 7.3	2.8 - 7.3	2.6 - 6.9	2.8 - 6.9
Weighted average	6.3	7.1	6.4	6.8
Annual total prepayment speed (2)
Range	7.6% – 56.4%	8.0% - 30.4%	8.5% – 23.6%	8.8% - 27.0%
Weighted average	9.7%	9.5%	9.0%	10.0%
Annual per-loan cost of servicing
Range	$68 – $140	$68 - $140	$68 – $140	$68 - $68
Weighted average	$69	$69	$68	$68

(1) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans.

(2) Prepayment speed is measured using Life Total CPR.

Following is a quantitative summary of key inputs used in the valuation of MSRs as of the dates presented, and the effect on the fair value from adverse changes in those assumptions (weighted averages are based upon unpaid principal balance or fair value where applicable):

	September 30, 2014		December 31, 2013
	Amortized cost	Fair value	Amortized cost	Fair value
	(Carrying value, unpaid principal balance and effect on fair value amounts in thousands)
Carrying value	$287,977	$57,871	$264,120	$26,452
Key inputs:
Unpaid principal balance of underlying mortgage loans	$26,459,404	$5,803,275	$23,399,612	$2,393,321
Weighted-average annual servicing fee rate (in basis points)	26	25	26	26
Weighted-average note interest rate	3.77%	4.78%	3.68%	4.78%
Pricing spread (1) (2)
Range	6.3% – 17.5%	7.6% – 15.3%	6.3% – 17.5%	7.3% – 15.3%
Weighted average	7.3%	9.1%	6.7%	8.6%
Effect on fair value of a:
5% adverse change	$(5,718)	$(1,024)	$(5,490)	$(488)
10% adverse change	$(11,245)	$(2,013)	$(10,791)	$(959)
20% adverse change	$(21,759)	$(3,897)	$(20,861)	$(1,855)
Weighted average life (in years)
Range	1.3 - 7.2	2.4 - 7.2	1.3 - 7.3	2.8 - 7.3
Weighted average	6.4	7.0	6.7	7.2
Prepayment speed (1) (3)
Range	7.7% - 52.7%	8.0% - 32.7%	7.7% - 51.9%	8.0% - 20.0%
Weighted average	8.6%	10.1%	8.2%	8.9%
Effect on fair value of a:
5% adverse change	$(5,886)	$(1,396)	$(5,467)	$(568)
10% adverse change	$(11,589)	$(2,742)	$(10,765)	$(1,117)
20% adverse change	$(22,480)	$(5,288)	$(20,886)	$(2,160)
Annual per-loan cost of servicing
Range	$68 – $140	$68 – $140	$68 – $140	$68 – $140
Weighted average	$68	$69	$68	$68
Effect on fair value of a:
5% adverse change	$(1,905)	$(364)	$(1,695)	$(158)
10% adverse change	$(3,809)	$(729)	$(3,390)	$(316)
20% adverse change	$(7,619)	$(1,457)	$(6,780)	$(633)

(1) The effect on value of an adverse change in one of the above-mentioned key inputs may result in recognition of MSR impairment. The extent of impairment recognized will depend on the relationship of fair value to the carrying value of MSRs.

(2) Pricing spread represents a margin that is added to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans and purchased MSRs not backed by pools of distressed mortgage loans.

(3) Prepayment speed is measured using Life Total CPR.

The preceding sensitivity analyses are limited in that they were performed at a particular point in time; only contemplate the movements in the indicated inputs; do not incorporate changes in the inputs in relation to other inputs; are subject to the accuracy of various models and assumptions used; and do not incorporate other factors that would affect the Company’s overall financial performance in such scenarios, including operational adjustments made by management to account for changing circumstances. For these reasons, the preceding estimates should not be viewed as earnings forecasts.

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Segments and Related Information - Financial Highlights by Operating Segment (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013	Dec. 31, 2013
Net investment income:
Net gain on mortgage loans acquired for sale	$ 9,509	$ 11,031	$ 29,702	$ 84,748
Net gain on investments	70,390	49,086	186,109	159,900
Interest income	41,236	35,278	129,100	78,950
Interest expense	(22,020)	(19,497)	(63,660)	(44,877)
Net interest income	19,216	15,781	65,440	34,073
Net loan servicing fees	10,533	6,659	26,712	20,562
Other income (loss)	(3,118)	3,505	(4,282)	10,148
Net investment income	106,530	86,062	303,681	309,431
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.	37,445	37,604	104,537	119,362
Other	11,154	12,396	31,620	30,163
Total expenses	48,599	50,000	136,157	149,525
Income before provision for income taxes	57,931	36,062	167,524	159,906
Total assets at period end	4,604,813	4,249,231	4,604,813	4,249,231	4,310,917
Operating segments [Member] | Correspondent production [Member]
Net investment income:
Net gain on mortgage loans acquired for sale	9,509	11,031	29,702	84,748
Net gain on investments		0	0	0
Interest income	7,727	12,536	16,948	28,151
Interest expense	(3,660)	(9,171)	(12,196)	(22,354)
Net interest income	4,067	3,365	4,752	5,797
Net loan servicing fees		0	0	0
Other income (loss)	6,524	4,490	13,365	14,715
Net investment income	20,100	18,886	47,819	105,260
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.	15,900	18,968	37,701	67,138
Other	1,410	211	2,248	485
Total expenses	17,310	19,179	39,949	67,623
Income before provision for income taxes	2,790	(293)	7,870	37,637
Total assets at period end	708,442	760,611	708,442	760,611
Operating segments [Member] | Investment activities [Member]
Net investment income:
Net gain on mortgage loans acquired for sale	0	0	0	0
Net gain on investments	70,390	49,086	186,109	159,900
Interest income	33,509	25,316	114,540	55,168
Interest expense	(18,360)	(12,900)	(53,852)	(26,892)
Net interest income	15,149	12,416	60,688	28,276
Net loan servicing fees	10,533	6,659	26,712	20,562
Other income (loss)	(9,642)	(985)	(17,647)	(4,567)
Net investment income	86,430	67,176	255,862	204,171
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.	21,545	18,636	66,836	48,940
Other	9,744	12,185	29,372	29,678
Total expenses	31,289	30,821	96,208	78,618
Income before provision for income taxes	55,141	36,355	159,654	125,553
Total assets at period end	3,896,371	3,490,632	3,896,371	3,490,632
Intersegment elimination & other [Member]
Net investment income:
Net gain on mortgage loans acquired for sale	0	0	0	0
Net gain on investments	0	0	0	0
Interest income	0	(2,574)	(2,388)	(4,369)
Interest expense	0	2,574	2,388	4,369
Net interest income	0	0	0	0
Net loan servicing fees	0		0	0
Other income (loss)	0	0	0	0
Net investment income	0	0	0	0
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.	0	0	0	3,284
Other	0	0	0	0
Total expenses	0	0	0	3,284
Income before provision for income taxes	0	0	0	(3,284)
Total assets at period end	$ 0	$ (2,012)	$ 0	$ (2,012)

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Derivative Financial Instruments

9 Months Ended

Sep. 30, 2014

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Financial Instruments

Note 9—Derivative Financial Instruments

The Company engages in interest rate risk management activities in an effort to reduce the variability of earnings caused by changes in interest rates. To manage the price risk resulting from interest rate risk, the Company uses derivative financial instruments acquired with the intention of moderating the risk that changes in market interest rates will result in unfavorable changes in the fair value of the Company’s MBS, IRLCs and inventory of mortgage loans acquired for sale. The Company records all derivative financial instruments at fair value and records changes in fair value in current period income.

The Company is exposed to price risk relative to its mortgage loans acquired for sale as well as to the IRLCs it issues to correspondent lenders. The Company bears price risk from the time an IRLC is issued to a correspondent lender to the time the purchased mortgage loan is sold. During this period, the Company is exposed to losses if mortgage interest rates increase because the value of the purchase commitment or mortgage loan acquired for sale decreases.

The Company is also exposed to risk relative to the fair value of its MSRs. The Company is exposed to loss in value of its MSRs when interest rates decrease. The Company periodically includes MSRs in its hedging activities.

Beginning in the third quarter of 2013, the Company entered into Eurodollar futures, which settle daily, to economically hedge net fair value changes of a portion of fixed-rate mortgage loans at fair value held in a VIE and MBS securities at fair value and the related variable rate repurchase agreement liabilities indexed to LIBOR. The Company uses the Eurodollar futures with the intention of moderating the risk of rising market interest rates that will result in unfavorable changes in the value of the Company’s fixed-rate assets and economic performance of its LIBOR-indexed variable interest rate repurchase agreement liabilities.

The Company does not use derivative financial instruments for purposes other than in support of its risk management activities other than IRLCs, which are generated in the normal course of business when the Company commits to purchase mortgage loans acquired for sale.

The Company had the following derivative assets and liabilities and related margin deposits recorded within Derivative assets and Derivative liabilities on the consolidated balance sheets:

	September 30, 2014								December 31, 2013
			Fair value								Fair value
	Notional		Derivative			Derivative			Notional		Derivative			Derivative
Instrument	amount		assets			liabilities			amount		assets			liabilities
	(in thousands)
Derivatives not designated as hedging instruments:
Free-standing derivatives:
Interest rate lock commitments		838,948	$	5,512		$	121			557,343	$	2,510		$	1,261
Forward sales contracts		2,776,249		1,142			5,272			3,588,027		16,385			1,295
Forward purchase contracts		1,910,139		4,614			478			2,781,066		1,229			7,420
MBS put options		565,000		830			—			55,000		272			—
MBS call options		50,000		239			—			110,000		—			—
Eurodollar future sale contracts		6,262,000		—			—			8,779,000		—			—
Treasury future sale contracts		85,000		857			—			105,000		—			—
Call options on Eurodollar futures		355,000		666			—			—		—			—
Put options on Eurodollar futures		220,000		422			—			52,500		566			—
Total derivative instruments before netting				14,282			5,871					20,962			9,976
Netting				(3,938	)		(3,982	)				(12,986	)		(8,015	)
			$	10,344		$	1,889				$	7,976		$	1,961
Margin deposits with (collateral received from) derivatives counterparties			$	44							$	(4,971	)

The following table summarizes the notional amount activity for derivative contracts used to hedge the Company’s IRLCs and inventory of mortgage loans acquired for sale:

	Quarter ended September 30, 2014
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Quarter ended September 30, 2014
Forward purchase contracts		3,058,604		8,191,022		(9,339,487	)		1,910,139
Forward sales contracts		4,185,633		11,620,826		(13,030,210	)		2,776,249
MBS put option		270,000		375,000		(345,000	)		300,000
MBS call option		25,000		55,000		(50,000	)		30,000

	Quarter ended September 30, 2013
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Quarter ended September 30, 2013
Forward purchase contracts		5,411,784		18,214,008		(21,291,203	)		2,334,589
Forward sales contracts		7,728,066		21,440,627		(25,844,850	)		3,323,843
MBS put options		460,000		180,000		(510,000	)		130,000
MBS call options		725,000		300,000		(1,025,000	)		—

	Nine months ended September 30, 2014
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Nine months ended September 30, 2014
Forward purchase contracts		2,781,066		26,555,921		(27,426,848	)		1,910,139
Forward sales contracts		3,463,027		35,672,348		(36,359,126	)		2,776,249
MBS put option		55,000		1,070,000		(825,000	)		300,000
MBS call option		110,000		80,000		(160,000	)		30,000

	Nine months ended September 30, 2013
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Nine months ended September 30, 2013
Forward purchase contracts		2,206,539		45,301,457		(45,173,407	)		2,334,589
Forward sales contracts		4,266,983		58,817,165		(59,760,305	)		3,323,843
MBS put options		495,000		3,205,000		(3,570,000	)		130,000
MBS call options		—		2,200,000		(2,200,000	)		—

The Company recorded net (losses) gains on derivative financial instruments used to hedge the Company’s IRLCs and inventory of mortgage loans totaling $(4.5) million and $3.1 million for the quarters ended September 30, 2014 and 2013, respectively, and $(44.0) million and $143.2 million for the nine months ended September 30, 2014 and 2013, respectively. Derivative gains and losses are included in Net gains on mortgage loans acquired for sale in the Company’s consolidated statements of income.

The following table summarizes the notional amount activity for derivative contracts used to hedge the Company’s MSRs:

	Quarter ended September 30, 2014
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Quarter ended September 30, 2014
Forward purchase contracts		—		25,000		(25,000	)		—
Forward sales contracts		—		50,000		(50,000	)		—
MBS put option		25,000		165,000		(25,000	)		165,000
MBS call option		70,000		20,000		(70,000	)		20,000
Treasury future sale contracts		—		43,900		(43,900	)		—
Treasury future purchase contracts		—		27,700		(27,700	)		—
Put option on Eurodollar futures		40,000		325,000		(265,000	)		100,000
Call option on Eurodollar futures		130,000		390,000		(275,000	)		245,000

	Nine months ended September 30, 2014
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Nine months ended September 30, 2014
Forward purchase contracts		—		95,000		(95,000	)		—
Forward sales contracts		—		110,000		(110,000	)		—
MBS put option		—		190,000		(25,000	)		165,000
MBS call option		—		150,000		(130,000	)		20,000
Treasury future sale contracts		—		76,700		(76,700	)		—
Treasury future purchase contracts		—		53,300		(53,300	)		—
Put option on Eurodollar futures		—		690,000		(590,000	)		100,000
Call option on Eurodollar futures		—		670,000		(425,000	)		245,000

The Company recorded net (losses) gains on derivative financial instruments used as economic hedges of MSRs totaling $(653,000) and $0 for the quarters ended September 30, 2014 and 2013, respectively, and $3.5 million and $(2.0) million for the nine months ended September 30, 2014 and 2013, respectively. The derivative net (losses) gains are included in Net loan servicing fees in the Company’s consolidated statements of income.

The following table summarizes the notional amount activity for derivative contracts used to hedge the Company’s net fair value changes of a portion of fixed-rate Mortgage loans at fair value held in a VIE and MBS securities at fair value and the related variable LIBOR rate repurchase agreement liabilities:

	Quarter ended September 30, 2014
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Quarter ended September 30, 2014
Eurodollar future sale contracts		5,562,000		990,000		(290,000	)		6,262,000
Eurodollar future purchase contracts		—		290,000		(290,000	)		—
Treasury future sale contracts		85,000		110,600		(110,600	)		85,000
Treasury future purchase contracts		—		110,600		(110,600	)		—
Put options on Eurodollar futures		85,000		165,500		(130,500	)		120,000
Call option on Eurodollar futures		100,000		190,000		(180,000	)		110,000
MBS put option purchase contracts		97,500		100,000		(97,500	)		100,000
	Quarter ended September 30, 2013
Period/Instrument	Balance, beginning of period		Additions		Dispositions/ expirations			Balance, end of period
	(in thousands)
Quarter ended September 30, 2013
Eurodollar futures		—		19,152,000		(9,188,000	)		9,964,000
Treasury futures		—		75,000		—			75,000
Options on Eurodollar futures		—		2,200,000		—			2,200,000

	Nine months ended September 30, 2014
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Nine months ended September 30, 2014
Eurodollar future sale contracts		8,779,000		1,452,000		(3,969,000	)		6,262,000
Eurodollar future purchase contracts		—		3,287,000		(3,287,000	)		—
Treasury future sale contracts		105,000		298,600		(318,600	)		85,000
Treasury future purchase contracts		—		278,600		(278,600	)		—
Put options on Eurodollar futures		52,500		362,500		(295,000	)		120,000
Call option on Eurodollar futures		—		290,000		(180,000	)		110,000
MBS put option purchase contracts		15,000		222,500		(137,500	)		100,000
	Nine months ended September 30, 2013
Period/Instrument	Balance, beginning of period		Additions		Dispositions/ expirations			Balance, end of period
	(in thousands)
Nine months ended September 30, 2013
Eurodollar futures		—		19,152,000		(9,188,000	)		9,964,000
Treasury futures		—		75,000		—			75,000
Options on Eurodollar futures		—		2,200,000		—			2,200,000

The Company recorded net losses on derivative financial instruments used to hedge the net change in fair value of fixed-rate assets and its variable LIBOR rate repurchase agreement liabilities of $807,000 for the quarter ended September 30, 2014 and $14.6 million for the nine months ended September 30, 2014. The Company recorded net losses on derivative financial instruments used to hedge the net change in fair value of fixed-rate assets and its variable LIBOR rate repurchase agreement liabilities of $12.1 million for the quarter and nine months ended September 30, 2013. The derivative losses are included in Net gain on investments in the Company’s consolidated statements of income.

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Net Gain on Investments (Tables)

9 Months Ended

Sep. 30, 2014

Investments, Debt and Equity Securities [Abstract]

Summary of Net Gain on Investments

Net gain on investments is summarized below:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Net gain (loss) on investments:
Mortgage-backed securities	$	(821	)	$	5,356		$	6,096		$	5,356
Agency debt security		—			578			—			578
Excess servicing spread purchased from PFSI at fair value		(7,396	)		29			(17,834	)		29
Hedging derivatives		(1,135	)		(4,863	)		(5,876	)		(4,863	)
		(9,352	)		1,100			(17,614	)		1,100
Mortgage loans		79,046			47,986			210,981			158,800
Asset-backed secured financing		696			—			(7,258	)		—
	$	70,390		$	49,086		$	186,109		$	159,900

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Asset-Backed Secured Financing of the Variable Interest Entity at Fair Value - Summary of Financial Information Relating to Asset-Backed Secured Financing of Variable Interest Entity (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
During the period:
Interest expense	$ 1,584	$ 0	$ 4,762	$ 0
Asset-backed secured financing of the variable interest entity at fair value [Member]
Period end:
Fair Value	166,841	170,008	166,841	170,008
Interest rate	3.50%	3.50%
During the period:
Weighted-average fair value	168,923	1,853	168,186	625
Interest expense	$ 1,584	$ 0	$ 4,762	$ 0
Weighted-average effective interest rate	3.67%	0.00%	3.73%	0.00%

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Netting of Financial Instruments - Summary of Derivative Liabilities, Financial Liabilities and Collateral Held by Counterparty (Detail) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Derivative [Line Items]
Net amounts of liabilities presented in the consolidated balance sheet	$ 2,418,575	$ 2,041,566
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(2,416,686)	(2,039,605)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	1,889	1,961
Interest rate lock commitments [Member]
Derivative [Line Items]
Net amounts of liabilities presented in the consolidated balance sheet	121	1,261
Gross amounts not offset in the consolidated balance sheet, Financial instruments	0	0
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	121	1,261
Morgan Stanley Bank, N.A. [Member]
Derivative [Line Items]
Net amounts of liabilities presented in the consolidated balance sheet	156,702	30,226
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(156,157)	(30,226)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	545	0
Bank of Oklahoma [Member]
Derivative [Line Items]
Net amounts of liabilities presented in the consolidated balance sheet	244	0
Gross amounts not offset in the consolidated balance sheet, Financial instruments	0	0
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	244	0
Daiwa Capital Markets [Member]
Derivative [Line Items]
Net amounts of liabilities presented in the consolidated balance sheet	129,887	132,525
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(129,682)	(132,525)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	205	0
Fannie Mae Capital Markets [Member]
Derivative [Line Items]
Net amounts of liabilities presented in the consolidated balance sheet	196	0
Gross amounts not offset in the consolidated balance sheet, Financial instruments	0	0
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	196	0
Citibank, N.A. [Member]
Derivative [Line Items]
Net amounts of liabilities presented in the consolidated balance sheet	766,578	945,015
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(766,476)	(944,856)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	102	159
Credit Suisse First Boston Mortgage Capital LLC [Member]
Derivative [Line Items]
Net amounts of liabilities presented in the consolidated balance sheet	685,521	523,546
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(685,521)	(523,546)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	0	0
Bank of America, N.A. [Member]
Derivative [Line Items]
Net amounts of liabilities presented in the consolidated balance sheet	459,728	408,452
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(459,728)	(408,452)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	0	0
RBS Securities [Member]
Derivative [Line Items]
Net amounts of liabilities presented in the consolidated balance sheet	219,122	0
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(219,122)	0
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	0	0
Other [Member]
Derivative [Line Items]
Net amounts of liabilities presented in the consolidated balance sheet	476	541
Gross amounts not offset in the consolidated balance sheet, Financial instruments	0	0
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	$ 476	$ 541

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Segments and Related Information (Tables)

9 Months Ended

Sep. 30, 2014

Segment Reporting [Abstract]

Financial Highlights by Operating Segment

Financial highlights by operating segment are summarized below:

Quarter ended September 30, 2014	Correspondent production			Investment activities			Intersegment elimination & other		Total
	(in thousands)
Net investment income:
Net gain on mortgage loans acquired for sale	$	9,509		$	—		$	—	$	9,509
Net gain on investments		—			70,390			—		70,390
Interest income		7,727			33,509			—		41,236
Interest expense		(3,660	)		(18,360	)		—		(22,020	)
		4,067			15,149			—		19,216
Net loan servicing fees		—			10,533					10,533
Other income (loss)		6,524			(9,642	)		—		(3,118	)
		20,100			86,430			—		106,530
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.		15,900			21,545			—		37,445
Other		1,410			9,744			—		11,154
		17,310			31,289			—		48,599
Pre-tax income	$	2,790		$	55,141		$	—	$	57,931
Total assets at period end	$	708,442		$	3,896,371		$	—	$	4,604,813

Quarter ended September 30, 2013	Correspondent production			Investment activities			Intersegment elimination & other			Total
	(in thousands)
Net investment income:
Net gain on mortgage loans acquired for sale	$	11,031		$	—		$	—		$	11,031
Net gain on investments		—			49,086			—			49,086
Interest income		12,536			25,316			(2,574	)		35,278
Interest expense		(9,171	)		(12,900	)		2,574			(19,497	)
		3,365			12,416			—			15,781
Net loan servicing fees		—			6,659						6,659
Other income (loss)		4,490			(985	)		—			3,505
		18,886			67,176			—			86,062
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.		18,968			18,636			—			37,604
Other		211			12,185			—			12,396
		19,179			30,821			—			50,000
Pre-tax (loss) income	$	(293	)	$	36,355		$	—		$	36,062
Total assets at period end	$	760,611		$	3,490,632		$	(2,012	)	$	4,249,231

Nine months ended September 30, 2014	Correspondent production			Investment activities			Intersegment elimination & other			Total
	(in thousands)
Net investment income:
Net gain on mortgage loans acquired for sale	$	29,702		$	—		$	—		$	29,702
Net gain on investments		—			186,109			—			186,109
Interest income		16,948			114,540			(2,388	)		129,100
Interest expense		(12,196	)		(53,852	)		2,388			(63,660	)
		4,752			60,688			—			65,440
Net loan servicing fees		—			26,712			—			26,712
Other income (loss)		13,365			(17,647	)		—			(4,282	)
		47,819			255,862			—			303,681
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.		37,701			66,836			—			104,537
Other		2,248			29,372			—			31,620
		39,949			96,208			—			136,157
Pre-tax income	$	7,870		$	159,654		$	—		$	167,524
Total assets at period end	$	708,442		$	3,896,371		$	—		$	4,604,813
Nine months ended September 30, 2013	Correspondent production			Investment activities			Intersegment elimination & other			Total
	(in thousands)
Net investment income:
Net gain on mortgage loans acquired for sale	$	84,748		$	—		$	—		$	84,748
Net gain on investments		—			159,900			—			159,900
Interest income		28,151			55,168			(4,369	)		78,950
Interest expense		(22,354	)		(26,892	)		4,369			(44,877	)
		5,797			28,276			—			34,073
Net loan servicing fees		—			20,562			—			20,562
Other income (loss)		14,715			(4,567	)		—			10,148
		105,260			204,171			—			309,431
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.		67,138			48,940			3,284	(1)		119,362
Other		485			29,678			—			30,163
		67,623			78,618			3,284			149,525
Pre-tax income	$	37,637		$	125,553		$	(3,284	)	$	159,906
Total assets at period end	$	760,611		$	3,490,632		$	(2,012	)	$	4,249,231

(1) Corporate absorption of fulfillment fees for transition adjustment related to the amended and restated management agreement effective February 1, 2013.

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Derivative Financial Instruments - Additional Information (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Derivative Instruments, Gain (Loss) [Line Items]
Net (losses) gains on derivative financial instruments used as economic hedges	$ (654)	$ 0	$ 3,532	$ (1,988)
Mortgage loans acquired for sale at fair value [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net (losses) gains on derivative financial instruments used as economic hedges	(4,500)	3,100	(44,000)	143,200
Mortgage service rights [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net (losses) gains on derivative financial instruments used as economic hedges	(653)	0	3,500	(2,000)
LIBOR [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net (losses) gains on derivative financial instruments used as economic hedges	$ 807	$ 12,100	$ 14,600	$ 12,100

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Net Interest Income (Tables)

9 Months Ended

Sep. 30, 2014

Banking and Thrift, Interest [Abstract]

Summary of Net Interest Income

Net interest income is summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Interest income:
Short-term investments	$	138	$	252	$	462	$	340
Mortgage-backed securities		1,935		345		5,657		345
Agency debt securities		—		162		—		162
Mortgage loans acquired for sale at fair value		7,712		12,535		16,911		28,150
Mortgage loans at fair value		27,858		20,751		92,870		48,300
Mortgage loans under forward purchase agreements at fair value		—		1,197		3,584		1,457
Excess servicing spread purchased from PFSI, at fair value		3,577		—		9,578		—
Other		16		36		38		196
		41,236		35,278		129,100		78,950
Interest expense:
Assets sold under agreements to repurchase		15,814		13,464		43,496		34,990
Borrowings under forward purchase agreements		—		1,762		2,363		2,013
Asset-backed secured financing		1,584		—		4,762		—
Exchangeable senior notes		3,592		3,577		10,763		5,961
Other		1,030		694		2,276		1,913
		22,020		19,497		63,660		44,877
Net interest income	$	19,216	$	15,781	$	65,440	$	34,073

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Fair Value - Summary of Total Gains (Losses) Recognized on Assets Measured at Estimated Fair Values on Nonrecurring Basis (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Fair Value Disclosures [Abstract]
Real estate asset acquired in settlement of loans	$ (14,242)	$ (4,554)	$ (24,027)	$ (8,191)
Real estate asset acquired in settlement of loans under forward purchase agreements	0	(29)	0	(29)
Mortgage servicing rights at lower of amortized cost or fair value	602	(212)	(2,249)	3,495
Total assets, gains (losses) recognized	$ (13,640)	$ (4,795)	$ (26,276)	$ (4,725)

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Net Gain on Mortgage Loans Acquired for Sale - Summary of Net Gain on Mortgage Loans Acquired for Sale (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Cash (loss) gain:
Sales proceeds, net	$ (15,473)	$ (108,960)	$ (21,540)	$ (207,912)
Hedging activities	(12,705)	114,405	(35,004)	160,109
Cash gain, net of effects of cash hedging, on sale of mortgage loans acquired for sale	(28,178)	5,445	(56,544)	(47,803)
Non cash gain:
Receipt of MSRs in loan sale transactions	39,613	48,957	89,230	156,229
Provision for losses relating to representations and warranties provided in loan sales	(1,359)	(1,474)	(3,125)	(4,701)
Change in fair value of IRLCs, mortgage loans and hedging derivatives held at period end:
IRLCs	(5,697)	28,413	4,140	(8,033)
Mortgage loans	(3,073)	48,205	5,000	11,211
Hedging derivatives	8,203	(118,515)	(8,999)	(22,155)
Total non cash portion of gain on mortgage loans acquired for sale	(567)	(41,897)	142	(18,977)
Net gain on mortgage loans acquired for sale	$ 9,509	$ 11,031	$ 29,702	$ 84,748

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Other Expenses

9 Months Ended

Sep. 30, 2014

Other Income and Expenses [Abstract]

Other Expenses

Note 27—Other Expenses

Other expenses are summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Common overhead allocation from PFSI	$	2,802	$	2,527	$	8,018	$	7,793
Servicing and collection costs		2,064		1,393		5,809		1,726
Loan origination		1,202		1,322		1,637		3,768
Insurance		247		219		738		648
Technology		246		234		720		588
Securitization		—		1,887		—		1,887
Other expenses		823		373		1,682		2,062
	$	7,384	$	7,955	$	18,604	$	18,472

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Mortgage Loans Under Forward Purchase Agreements at Fair Value (Tables) (Forward Purchasers [Member])

9 Months Ended

Sep. 30, 2014

Forward Purchasers [Member]

Summary of Distribution of Company's Mortgage Loans under Forward Purchase Agreements at Fair Value

Following is a summary of the distribution of the Company’s mortgage loans under forward purchase agreements at fair value:

	September 30, 2014				December 31, 2013
Loan type	Fair value		Unpaid principal balance		Fair value		Unpaid principal balance
	(in thousands)
Nonperforming loans	$	—	$	—	$	177,841	$	268,600
Performing loans:
Fixed		—		—		19,292		29,496
ARM/hybrid		—		—		19,510		31,933
Interest rate step-up		—		—		1,485		2,455
		—		—		40,287		63,884
	$	—	$	—	$	218,128	$	332,484

Summary of Certain Concentrations of Credit Risk in Portfolio of Mortgage Loans at Fair Value

Following is a summary of certain concentrations of credit risk in the portfolio of mortgage loans under forward purchase agreements at fair value:

	September 30, 2014		December 31, 2013
Portion of mortgage loans originated between 2005 and 2007		—		72	%
Percentage of mortgage loans secured by California real estate		—		25	%
Additional states contributing 5% or more of mortgage loans				New Jersey Washington New York Maryland

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Mortgage Servicing Rights

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Mortgage Servicing Rights

Note 14—Mortgage Servicing Rights

Carried at Fair Value:

Following is a summary of MSRs carried at fair value:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Balance at beginning of period	$	46,802		$	1,827		$	26,452		$	1,346
Additions:
Purchases		—			1,696			—			1,881
MSRs resulting from loan sales		12,812			7,939			39,954			8,043
Total additions		12,812			9,635			39,954			9,924
Change in fair value:
Due to changes in valuation inputs or assumptions used in valuation model (1)		(106	)		(366	)		(4,974	)		(64	)
Other changes in fair value (2)		(1,500	)		(99	)		(3,424	)		(209	)
		(1,606	)		(465	)		(8,398	)		(273	)
Sales		(137	)		—			(137	)		—
Balance at end of period	$	57,871		$	10,997		$	57,871		$	10,997

(1) Principally reflects changes in pricing spread (discount rate) and prepayment speed inputs, primarily due to changes in interest rates.

(2) Represents changes due to realization of expected cash flows.

Carried at Lower of Amortized Cost or Fair Value:

Following is a summary of MSRs carried at lower of amortized cost or fair value:

	Quarter ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013
	(in thousands)
Amortized Cost:
Balance at beginning of period	$	274,110		$	228,912		$	266,697		$	132,977
MSRs resulting from loan sales		26,802			41,018			49,276			148,186
Amortization		(8,109	)		(7,200	)		(23,170	)		(18,433	)
Application of valuation allowance to write down MSRs with other-than temporary impairment		—			—			—			—
Balance at end of period		292,803			262,730			292,803			262,730
Valuation Allowance:
Balance at beginning of period		(5,428	)		(3,839	)		(2,577	)		(7,547	)
Reversals (additions)		602			(213	)		(2,249	)		3,495
Application of valuation allowance to write down MSRs with other-than-temporary impairment		—			—			—			—
Balance at end of period		(4,826	)		(4,052	)		(4,826	)		(4,052	)
MSRs, net	$	287,977		$	258,678		$	287,977		$	258,678
Estimated fair value at end of period	$	312,196		$	277,711

The following table summarizes the Company’s estimate of amortization of its existing MSRs carried at amortized cost. This projection was developed using the assumptions made by management in its September 30, 2014 valuation of MSRs. The assumptions underlying the following estimate will change as market conditions and portfolio composition and behavior change, causing both actual and projected amortization levels to change over time. Therefore, the following estimates will change in a manner and amount not presently determinable by management.

12 months ending September 30,	Estimated MSR amortization
	(in thousands)
2015	$	29,606
2016		29,570
2017		28,092
2018		25,972
2019		23,490
Thereafter		156,073
Total	$	292,803

Servicing fees relating to MSRs are recorded in Net loan servicing fees on the consolidated statements of income and are summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Contractually-specified servicing fees	$	19,345	$	13,687	$	54,396	$	34,158

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Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013	Dec. 31, 2013
Disclosure of Repurchase Agreements [Abstract]
Weighted-average interest rate	2.13%	2.39%	2.18%	2.50%
Average balance	$ 2,501,816	$ 1,755,850	$ 2,186,135	$ 1,456,278
Total interest expense	15,814	13,464	43,496	34,990
Maximum daily amount outstanding	2,815,572	2,736,873	2,700,586	2,802,193
Balance	2,416,686	1,980,058	2,416,686	1,980,058
Weighted-average interest rate	2.17%	2.14%
Available borrowing capacity, Committed	578,969	1,359,746
Available borrowing capacity, Uncommitted	894,343	473,547
Available borrowing capacity	1,473,312	1,833,293
Margin deposits placed with counterparties	8,210	3,201	8,210	3,201
Mortgage-backed securities	262,378	217,491	262,378	217,491
Mortgage loans acquired for sale at fair value	675,659	731,717	675,659	731,717	454,210
Mortgage loans at fair value	2,273,768	2,101,061	2,273,768	2,101,061
Real estate acquired in settlement of loans	76,561	67,870	76,561	67,870	89,404
Fair value of assets securing agreements to repurchase	$ 3,288,366	$ 3,118,139	$ 3,288,366	$ 3,118,139

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Liability for Losses Under Representations and Warranties

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Liability for Losses Under Representations and Warranties

Note 19—Liability for Losses Under Representations and Warranties

Following is a summary of the Company’s liability for losses under representations and warranties:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Balance, beginning of period	$	11,876	$	7,668	$	10,110	$	4,441
Provision for losses		1,359		1,474		3,125		4,701
Incurred losses		—		—		—		—
Balance, end of period	$	13,235	$	9,142	$	13,235	$	9,142

Following is a summary of the Company’s repurchase and indemnification activity:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
During the period:
Losses charged to liability for representations and warranties	$	—	$	—	$	—	$	—
Unpaid principal balance of mortgage loans repurchased	$	7,490	$	5,687	$	15,296	$	6,895
Unpaid principal balance of repurchased mortgage loans repurchased by correspondent lenders	$	5,841	$	967	$	10,109	$	1,891
Unpaid principal balance of mortgage loans indemnified by PMT	$	1,571	$	—	$	4,227	$	—
At end of period:
Unpaid principal balance of mortgage loans subject to pending claims for repurchase	$	19,969	$	9,415
Unpaid principal balance of mortgage loans indemnified by PMT	$	4,764	$	—
Unpaid principal balance of mortgage loans subject to representations and warranties	$	32,654,307	$	23,531,815

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Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments (Detail)	Sep. 30, 2014	Dec. 31, 2013
Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pull-through rate	49.80%	64.80%
Servicing fee multiple	1.60%	1.40%
Percentage of unpaid principal balance	0.40%	0.40%
Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pull-through rate	98.00%	98.00%
Servicing fee multiple	5.20%	5.10%
Percentage of unpaid principal balance	2.50%	1.30%
Weighted average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pull-through rate	83.50%	86.40%
Servicing fee multiple	3.90%	4.10%
Percentage of unpaid principal balance	1.00%	1.00%

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Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2014

Derivative Assets and Liabilities and Related Margin Deposits Recorded within Derivative Assets and Derivative Liabilities

The Company had the following derivative assets and liabilities and related margin deposits recorded within Derivative assets and Derivative liabilities on the consolidated balance sheets:

	September 30, 2014								December 31, 2013
			Fair value								Fair value
	Notional		Derivative			Derivative			Notional		Derivative			Derivative
Instrument	amount		assets			liabilities			amount		assets			liabilities
	(in thousands)
Derivatives not designated as hedging instruments:
Free-standing derivatives:
Interest rate lock commitments		838,948	$	5,512		$	121			557,343	$	2,510		$	1,261
Forward sales contracts		2,776,249		1,142			5,272			3,588,027		16,385			1,295
Forward purchase contracts		1,910,139		4,614			478			2,781,066		1,229			7,420
MBS put options		565,000		830			—			55,000		272			—
MBS call options		50,000		239			—			110,000		—			—
Eurodollar future sale contracts		6,262,000		—			—			8,779,000		—			—
Treasury future sale contracts		85,000		857			—			105,000		—			—
Call options on Eurodollar futures		355,000		666			—			—		—			—
Put options on Eurodollar futures		220,000		422			—			52,500		566			—
Total derivative instruments before netting				14,282			5,871					20,962			9,976
Netting				(3,938	)		(3,982	)				(12,986	)		(8,015	)
			$	10,344		$	1,889				$	7,976		$	1,961
Margin deposits with (collateral received from) derivatives counterparties			$	44							$	(4,971	)

Mortgage loans acquired for sale [Member]

Summary of Activity in Notional Amount of Derivative Contracts

The following table summarizes the notional amount activity for derivative contracts used to hedge the Company’s IRLCs and inventory of mortgage loans acquired for sale:

	Quarter ended September 30, 2014
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Quarter ended September 30, 2014
Forward purchase contracts		3,058,604		8,191,022		(9,339,487	)		1,910,139
Forward sales contracts		4,185,633		11,620,826		(13,030,210	)		2,776,249
MBS put option		270,000		375,000		(345,000	)		300,000
MBS call option		25,000		55,000		(50,000	)		30,000

	Quarter ended September 30, 2013
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Quarter ended September 30, 2013
Forward purchase contracts		5,411,784		18,214,008		(21,291,203	)		2,334,589
Forward sales contracts		7,728,066		21,440,627		(25,844,850	)		3,323,843
MBS put options		460,000		180,000		(510,000	)		130,000
MBS call options		725,000		300,000		(1,025,000	)		—

	Nine months ended September 30, 2014
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Nine months ended September 30, 2014
Forward purchase contracts		2,781,066		26,555,921		(27,426,848	)		1,910,139
Forward sales contracts		3,463,027		35,672,348		(36,359,126	)		2,776,249
MBS put option		55,000		1,070,000		(825,000	)		300,000
MBS call option		110,000		80,000		(160,000	)		30,000

	Nine months ended September 30, 2013
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Nine months ended September 30, 2013
Forward purchase contracts		2,206,539		45,301,457		(45,173,407	)		2,334,589
Forward sales contracts		4,266,983		58,817,165		(59,760,305	)		3,323,843
MBS put options		495,000		3,205,000		(3,570,000	)		130,000
MBS call options		—		2,200,000		(2,200,000	)		—

Mortgage service rights [Member]

Summary of Activity in Notional Amount of Derivative Contracts

The following table summarizes the notional amount activity for derivative contracts used to hedge the Company’s MSRs:

	Quarter ended September 30, 2014
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Quarter ended September 30, 2014
Forward purchase contracts		—		25,000		(25,000	)		—
Forward sales contracts		—		50,000		(50,000	)		—
MBS put option		25,000		165,000		(25,000	)		165,000
MBS call option		70,000		20,000		(70,000	)		20,000
Treasury future sale contracts		—		43,900		(43,900	)		—
Treasury future purchase contracts		—		27,700		(27,700	)		—
Put option on Eurodollar futures		40,000		325,000		(265,000	)		100,000
Call option on Eurodollar futures		130,000		390,000		(275,000	)		245,000

	Nine months ended September 30, 2014
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Nine months ended September 30, 2014
Forward purchase contracts		—		95,000		(95,000	)		—
Forward sales contracts		—		110,000		(110,000	)		—
MBS put option		—		190,000		(25,000	)		165,000
MBS call option		—		150,000		(130,000	)		20,000
Treasury future sale contracts		—		76,700		(76,700	)		—
Treasury future purchase contracts		—		53,300		(53,300	)		—
Put option on Eurodollar futures		—		690,000		(590,000	)		100,000
Call option on Eurodollar futures		—		670,000		(425,000	)		245,000

Mortgage loans at fair value held by VIE [Member]

Summary of Activity in Notional Amount of Derivative Contracts

The following table summarizes the notional amount activity for derivative contracts used to hedge the Company’s net fair value changes of a portion of fixed-rate Mortgage loans at fair value held in a VIE and MBS securities at fair value and the related variable LIBOR rate repurchase agreement liabilities:

	Quarter ended September 30, 2014
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Quarter ended September 30, 2014
Eurodollar future sale contracts		5,562,000		990,000		(290,000	)		6,262,000
Eurodollar future purchase contracts		—		290,000		(290,000	)		—
Treasury future sale contracts		85,000		110,600		(110,600	)		85,000
Treasury future purchase contracts		—		110,600		(110,600	)		—
Put options on Eurodollar futures		85,000		165,500		(130,500	)		120,000
Call option on Eurodollar futures		100,000		190,000		(180,000	)		110,000
MBS put option purchase contracts		97,500		100,000		(97,500	)		100,000
	Quarter ended September 30, 2013
Period/Instrument	Balance, beginning of period		Additions		Dispositions/ expirations			Balance, end of period
	(in thousands)
Quarter ended September 30, 2013
Eurodollar futures		—		19,152,000		(9,188,000	)		9,964,000
Treasury futures		—		75,000		—			75,000
Options on Eurodollar futures		—		2,200,000		—			2,200,000

	Nine months ended September 30, 2014
	Balance,							Balance,
	beginning				Dispositions/			end
Period/Instrument	of period		Additions		expirations			of period
	(in thousands)
Nine months ended September 30, 2014
Eurodollar future sale contracts		8,779,000		1,452,000		(3,969,000	)		6,262,000
Eurodollar future purchase contracts		—		3,287,000		(3,287,000	)		—
Treasury future sale contracts		105,000		298,600		(318,600	)		85,000
Treasury future purchase contracts		—		278,600		(278,600	)		—
Put options on Eurodollar futures		52,500		362,500		(295,000	)		120,000
Call option on Eurodollar futures		—		290,000		(180,000	)		110,000
MBS put option purchase contracts		15,000		222,500		(137,500	)		100,000
	Nine months ended September 30, 2013
Period/Instrument	Balance, beginning of period		Additions		Dispositions/ expirations			Balance, end of period
	(in thousands)
Nine months ended September 30, 2013
Eurodollar futures		—		19,152,000		(9,188,000	)		9,964,000
Treasury futures		—		75,000		—			75,000
Options on Eurodollar futures		—		2,200,000		—			2,200,000

XML

Mortgage Loans at Fair Value - Summary of Certain Concentrations of Credit Risk in Portfolio of Mortgage Loans at Fair Value, Excluding VIE Securing Asset-Backed Financing (Parenthetical) (Detail)	Sep. 30, 2014	Dec. 31, 2013
Risks and Uncertainties [Abstract]
Percentage of fair value of mortgage loans	100.00%	100.00%
Percentage of contribution by states in mortgage loans	5.00%	5.00%

XML

Organization and Basis of Presentation (Policies)

9 Months Ended

Sep. 30, 2014

Accounting Policies [Abstract]

Segment Reporting

The Company operates in two segments: correspondent production and investment activities:

• The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between mortgage lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality mortgage loans either directly or in the form of mortgage-backed securities (“MBS”), using the services of PNMAC Capital Management, LLC (“PCM” or the “Manager”) and PennyMac Loan Services, LLC (“PLS” or the “Servicer”), both indirect subsidiaries of PennyMac Financial Services, Inc. (“PFSI”).

Most of the loans the Company has acquired in its correspondent production activities have been eligible for sale to government-sponsored entities such as the Federal National Mortgage Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac”) or through government agencies such as the Government National Mortgage Association (“Ginnie Mae”). Fannie Mae, Freddie Mac and Ginnie Mae are each referred to as an “Agency” and, collectively, as the “Agencies.”

• The investment activities segment represents the Company’s investments in mortgage-related assets, which include distressed mortgage loans, real estate acquired in settlement of loans (“REO”), MBS, mortgage servicing rights (“MSRs”) and excess servicing spread (“ESS”). The Company seeks to maximize the value of its acquired distressed mortgage loans through proprietary loan modification programs, special servicing or other initiatives focused on keeping borrowers in their homes. Where this is not possible, such as in the case of many nonperforming mortgage loans, the Company seeks to effect property resolution in a timely, orderly and economically efficient manner, including through the use of resolution alternatives to foreclosure.

Basis of Accounting

The Company conducts substantially all of its operations and makes substantially all of its investments through its subsidiary, PennyMac Operating Partnership, L.P. (the “Operating Partnership”), and the Operating Partnership’s subsidiaries. A wholly-owned subsidiary of the Company is the sole general partner, and the Company is the sole limited partner, of the Operating Partnership.

The accompanying consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“U.S. GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (the “ASC”) and with the SEC’s instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Accordingly, these financial statements and notes do not include all of the information required by U.S. GAAP for complete financial statements. The interim consolidated information should be read together with the Company’s Annual Report on Form 10-K for the year ended December 31, 2013 (the “Annual Report”). Intercompany accounts and transactions have been eliminated.

Concentration Risk

Because of the Company’s investment focus, PMT is exposed, to a greater extent than traditional mortgage investors, to the risks that borrowers may be in economic distress and/or may have become unemployed, bankrupt or otherwise unable or unwilling to make payments when due, and to the effects of fluctuations in the residential real estate market on the performance of its investments. Factors influencing these risks include, but are not limited to:

• changes in the overall economy and unemployment rates and residential real estate values in the markets where the properties securing the Company’s mortgage loans are located;

• PCM’s ability to identify and the Servicer’s ability to execute optimal resolutions of problem mortgage loans;

• the accuracy of valuation information obtained during the Company’s due diligence activities;

• PCM’s ability to effectively model, and to develop appropriate model assumptions that properly anticipate, future outcomes;

• the level of government support for problem loan resolution and the effect of current and future proposed and enacted legislative and regulatory changes on the Company’s ability to effect cures or resolutions to distressed loans; and

• regulatory, judicial and legislative support of the foreclosure process, and the resulting effect on the Company’s ability to acquire and liquidate the real estate securing its portfolio of distressed mortgage loans in a timely manner or at all.

Due to these uncertainties, there can be no assurance that risk management activities identified and executed on PMT’s behalf will prevent significant losses arising from the Company’s investments in real estate-related assets.

Earnings Per Share

The Company grants restricted share units which entitle the recipients to receive dividend equivalents during the vesting period on a basis equivalent to the dividends paid to holders of common shares. Unvested share-based compensation awards containing non-forfeitable rights to receive dividends or dividend equivalents (collectively, “dividends”) are classified as “participating securities” and are included in the basic earnings per share calculation using the two-class method.

Under the two-class method, all earnings (distributed and undistributed) are allocated to common shares and participating securities, based on their respective rights to receive dividends. Basic earnings per share is determined using net income reduced by income attributable to the participating securities and divided by the weighted-average common shares outstanding during the period.

Diluted earnings per share is determined by dividing net income attributable to diluted shareholders, which adds back to net income the interest expense, net of applicable income taxes, on the Company’s exchangeable senior notes (the “Notes”), by the weighted-average common shares outstanding, assuming all potentially dilutive securities were issued. In periods in which the Company records a loss, potentially dilutive securities are excluded from the diluted loss per share calculation, as their effect on loss per share is anti-dilutive.

Derivative Financial Instruments

The Company uses derivative financial instruments to manage exposure to interest rate risk created by its MBS, interest rate lock commitments (“IRLC”), mortgage loans acquired for sale at fair value, mortgage loans at fair value, ESS and MSRs. All derivative financial instruments are recorded on the balance sheet at fair value. The Company has elected to net derivative asset and liability positions, and cash collateral obtained (or posted) by (or to) its counterparties when subject to a legally enforceable master netting arrangement. The derivative financial instruments that are not subject to master netting arrangements are IRLCs.

Fair Value Measurement

The Company’s consolidated financial statements include assets and liabilities that are measured based on their fair values. Measurement at fair value may be on a recurring or nonrecurring basis depending on the accounting principles applicable to the specific asset or liability and whether management has elected to carry the item at its fair value as discussed in the following paragraphs.

Fair Value Accounting Elections

Management identified all of its non-cash financial assets and MSRs relating to loans with initial interest rates of more than 4.5% to be accounted for at fair value. Management has elected to account for these financial statement items at fair value so such changes in fair value will be reflected in income as they occur and more timely reflect the results of the Company’s performance. Management has also identified its asset-backed secured financing of the VIE to be accounted for at fair value to reflect the generally offsetting changes in fair value of these borrowings to changes in fair value of the mortgage loans at fair value collateralizing this financing.

For MSRs relating to mortgage loans with initial interest rates of less than or equal to 4.5%, management concluded that such assets present different risks to the Company than MSRs relating to mortgage loans with initial interest rates of more than 4.5% and therefore require a different risk management approach. Management’s risk management efforts relating to MSRs relating to mortgage loans with initial interest rates of less than or equal to 4.5% are aimed at moderating the effects of non-interest rate risks on fair value, such as the effect of changes in home prices on the assets’ fair values. Management has identified these assets to be accounted for using the amortization method.

Management’s risk management efforts in connection with MSRs relating to mortgage loans with initial interest rates of more than 4.5% are generally aimed at moderating the effects of changes in interest rates on the assets’ fair values.

For assets sold under agreements to repurchase, borrowings under forward purchase agreements and the Notes, management has determined that historical cost accounting is more appropriate because under this method debt issuance costs are amortized over the term of the debt, thereby matching the debt issuance cost to the periods benefiting from the usage of the debt.

Recently Issued Accounting Pronouncements

Recently Issued Accounting Pronouncements

In January of 2014, the FASB issued Accounting Standard Update (“ASU”) No 2014-04, Receivables: Troubled Debt Restructuring by Creditors Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure (“ASU 2014-04”) to the Troubled Debt Restructuring subtopic of the Receivables topic of the ASC

ASU 2014-04 clarifies when a creditor should be considered to have received physical possession of residential real estate collateralizing a mortgage loan and the mortgage loan derecognized in the receivable and recognized as real estate property. ASU 2014-04 specifies that an in substance repossession occurs when either the creditor has obtained the legal title to the property after a foreclosure or the borrower has transferred all interest in the property to the creditor through a deed in lieu of foreclosure or similar legal agreement so that at that time the asset should be reclassified from Mortgage loans at fair value to Real estate acquired in settlement of loans.

ASU 2014-04 also provides that a disclosure of the amount of Real estate acquired in settlement of loans and the recorded investment in Mortgage loans at fair value that are in the process of foreclosure must be included in both interim and annual financial statements.

ASU 2014-04 is effective for all year-end and interim periods beginning after December 15, 2014. The adoption of ASU 2014-04 is not expected to have a material effect on the Company’s consolidated financial statements.

In May of 2014, the FASB issued ASU No 2014-09, Revenue from Contracts with Customers (“ASU 2014-09”) to the Revenue from Contracts with Customers topic of the ASC. ASU 2014-09 was issued to standardize revenue recognition between public and private companies as well as across industries in an effort to more closely align U.S. GAAP revenue recognition with international standards to provide a more comparable revenue number for the users of the financial statements.

ASU 2014-09 specifies that for all contracts, revenue should be recognized when or as the entity satisfies a performance obligation. Revenue is recognized either over a period or at one point in time in accordance with how the control of the service or good is transferred.

ASU 2014-09 is effective for all year-end and interim periods beginning after December 15, 2016 and early application is not permitted. The Company is evaluating the adoption of ASU 2014-09 and the effect that ASU 2014-09 will have on its consolidated financial statements.

In June of 2014, the FASB issued ASU No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (“ASU 2014-11”) to the Transfers and Servicing topic of the ASC. The amendments in ASU 2014-11 require two accounting changes. First, the amendments in ASU 2014-11 change the accounting for repurchase-to-maturity transactions to secured borrowing accounting. Second, for repurchase financing arrangements, the amendments require separate accounting for a transfer of a financial asset executed contemporaneously with a repurchase agreement with the same counterparty, which will result in secured borrowing accounting for the repurchase agreement.

ASU 2014-11 requires disclosures for certain transactions comprising (1) a transfer of a financial asset accounted for as a sale and (2) an agreement with the same transferee entered into in contemplation of the initial transfer that results in the transferor retaining substantially all of the exposure to the economic return on the transferred financial asset throughout the term of the transaction. ASU 2014-11 also specifies certain disclosure requirements for those transactions outstanding at the reporting date and for repurchase agreements, securities lending transactions and repurchase-to-maturity transactions, the transferor is required to make certain disclosures by type of transaction.

ASU 2014-11 is effective for the annual periods, and interim periods within those annual periods, beginning after December 15, 2014. The adoption of ASU 2014-11 is not expected to have a material effect on the Company’s consolidated financial statements.

In August of 2014, FASB issued ASU 2014-15, Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern (“ASU 2014-15”) to the Going Concern subtopic of the Presentation of Financial Statements topic of the ASC. ASU 2014-15 requires that when management identifies conditions or events that raise substantial doubt about an entity’s ability to continue as a going concern, management should consider whether its plans that are intended to mitigate those relevant conditions or events will alleviate the substantial doubt.

ASU 2014-15 requires that if conditions or events raise substantial doubt about an entity’s ability to continue as a going concern, but the substantial doubt is alleviated as a result of consideration of management’s plans, the entity should include a statement in the notes to its financial statements that enables users of the financial statements to understand all of the following:

a. Principal conditions or events that raised substantial doubt about the entity’s ability to continue as a going concern (before consideration of management’s plans)

b. Management’s evaluation of the significance of those conditions or events in relation to the entity’s ability to meet its obligations

c. Management’s plans that alleviated substantial doubt about the entity’s ability to continue as a going concern.

If conditions or events raise substantial doubt about an entity’s ability to continue as a going concern, and substantial doubt is not alleviated after consideration of management’s plans, an entity should include a statement in the notes to its financial statements indicating that there is substantial doubt about the entity’s ability to continue as a going concern within one year after the date that the financial statements are issued (or available to be issued). The entity should disclose information that enables users of the financial statements to understand all of the following:

a. Principal conditions or events that raise substantial doubt about the entity’s ability to continue as a going concern

b. Management’s evaluation of the significance of those conditions or events in relation to the entity’s ability to meet its obligations

c. Management’s plans that are intended to mitigate the conditions or events that raise substantial doubt about the entity’s ability to continue as a going concern.

ASU 2014-15 is effective for the annual period ending after December 15, 2016, and for annual periods and interim periods thereafter. Early application is permitted. The adoption of ASU 2014-15 is not expected to have a material effect on the Company’s consolidated financial statements.

XML

Mortgage Loans Under Forward Purchase Agreements at Fair Value - Summary of Certain Concentrations of Credit Risk in Portfolio of Mortgage Loans at Fair Value (Detail)	12 Months Ended
	Dec. 31, 2013	Sep. 30, 2014
Risks and Uncertainties [Abstract]
Portion of mortgage loans originated between 2005 and 2007	72.00%	0.00%
Percentage of mortgage loans secured by California real estate	25.00%	0.00%
Additional states contributing 5% or more of mortgage loans	New Jersey Washington New York Maryland

XML

Consolidated Statements of Changes in Shareholders' Equity (Unaudited) (USD $) In Thousands, except Share data	Total	Common Stock [Member]	Additional paid-in capital [Member]	Retained earnings [Member]
Balance, Amount at Dec. 31, 2012	$ 1,201,336	$ 589	$ 1,129,858	$ 70,889
Balance, Shares at Dec. 31, 2012		58,904,000
Net income	147,494	0	0	147,494
Share-based compensation, Amount	4,066	3	4,063	0
Share-based compensation, Shares		249,000
Dividends	(107,405)	0	0	(107,405)
Proceeds from offerings of common shares, Amount	261,595	113	261,482	0
Proceeds from offerings of common shares, Shares		11,300,000
Underwriting and offering costs	(12,321)	0	(12,321)	0
Balance, Amount at Sep. 30, 2013	1,494,765	705	1,383,082	110,978
Balance, Shares at Sep. 30, 2013		70,453,000
Balance, Amount at Dec. 31, 2013	1,467,114	705	1,384,468	81,941
Balance, Shares at Dec. 31, 2013		70,458,000
Net income	168,033	0	0	168,033
Share-based compensation, Amount	4,356	2	4,354	0
Share-based compensation, Shares		235,000
Dividends	(132,863)	0	0	(132,863)
Proceeds from offerings of common shares, Amount	82,453	34	82,419	0
Proceeds from offerings of common shares, Shares	3,447,022	3,447,000
Underwriting and offering costs	(1,052)	0	(1,052)	0
Balance, Amount at Sep. 30, 2014	$ 1,588,041	$ 741	$ 1,470,189	$ 117,111
Balance, Shares at Sep. 30, 2014		74,140,000

XML

Fair Value - Summary of Changes in Items Measured Using Level 3 Inputs on Recurring Basis (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Assets:
Beginning balance	$ 2,404,634	$ 1,537,156	$ 2,461,217	$ 1,210,796
Purchases	9,253	597,494	367,049	1,041,475
Repayments and sales	(135,336)		(545,673)
Repayments		(67,404)		(202,645)
Accrual of interest	3,577		9,578	0
ESS received pursuant to a recapture agreement with PFSI	2,619		6,093
Interest rate lock commitments issued, net	14,046	16,299	45,800	71,195
Capitalization of interest	10,451	13,203	40,805	25,017
Servicing received as proceeds from sales of mortgage loans	12,812	7,939	39,954	8,043
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk	13,850	18,801	56,881	31,245
Other factors	57,144	34,168	117,974	102,057
Total	70,994	52,969	174,855	133,302
Transfers of mortgage loans under forward purchase agreements to mortgage loans			0	0
Transfers of mortgage loans to REO	(90,733)	(46,794)	(253,649)	(115,562)
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements		(3,515)	(9,802)	(3,604)
Transfers of interest rate lock commitments to mortgage loans acquired for sale at fair value	(20,585)	7,273	(54,495)	(53,397)
Ending balance	2,281,732	2,114,620	2,281,732	2,114,620
Changes in fair value recognized during the period relating to assets	64,959	51,599	99,374	120,729
Mortgage loans at fair value [Member]
Assets:
Beginning balance	2,156,501	1,309,765	2,076,665	1,189,971
Purchases	0	579,260	283,017	779,746
Repayments and sales	(126,413)		(513,843)
Repayments		(59,404)		(194,645)
Accrual of interest	0		0
ESS received pursuant to a recapture agreement with PFSI	0		0
Interest rate lock commitments issued, net	0	0	0	0
Capitalization of interest	10,451	13,203	39,005	25,017
Servicing received as proceeds from sales of mortgage loans	0	0	0	0
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk	13,850	18,732	54,612	31,176
Other factors	67,446	20,876	139,393	119,935
Total	81,296	39,608	194,005	151,111
Transfers of mortgage loans under forward purchase agreements to mortgage loans		13,018	205,902	13,018
Transfers of mortgage loans to REO	(90,733)	(46,794)	(253,649)	(115,562)
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements		0	0	0
Transfers of interest rate lock commitments to mortgage loans acquired for sale at fair value	0	0	0	0
Ending balance	2,031,102	1,848,656	2,031,102	1,848,656
Changes in fair value recognized during the period relating to assets	70,713	33,062	126,773	102,843
Excess servicing spread [Member]
Assets:
Beginning balance	190,244	0	138,723	0
Purchases	9,253	2,828	82,646	2,828
Repayments and sales	(8,786)		(25,280)
Repayments		0		0
Accrual of interest	3,577		9,578
ESS received pursuant to a recapture agreement with PFSI	2,619		6,093
Interest rate lock commitments issued, net	0	0	0	0
Capitalization of interest	0	0	0	0
Servicing received as proceeds from sales of mortgage loans	0	0	0	0
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk	0	0	0	0
Other factors	(9,539)	29	(24,392)	29
Total	(9,539)	29	(24,392)	29
Transfers of mortgage loans under forward purchase agreements to mortgage loans		0	0	0
Transfers of mortgage loans to REO	0	0	0	0
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements		0	0	0
Transfers of interest rate lock commitments to mortgage loans acquired for sale at fair value	0	0	0	0
Ending balance	187,368	2,857	187,368	2,857
Changes in fair value recognized during the period relating to assets	(9,539)	29	(24,392)	29
Interest rate lock commitments [Member]
Assets:
Beginning balance	11,087	(16,967)	1,249	19,479
Purchases	0	0	0	0
Repayments and sales	0		0
Repayments		0		0
Accrual of interest	0		0
ESS received pursuant to a recapture agreement with PFSI	0		0
Interest rate lock commitments issued, net	14,046	16,299	45,800	71,195
Capitalization of interest	0	0	0	0
Servicing received as proceeds from sales of mortgage loans	0	0	0	0
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk	0
Other factors	843	4,841	12,837	(25,831)
Total	843	4,841	12,837	(25,831)
Transfers of mortgage loans under forward purchase agreements to mortgage loans			0
Transfers of mortgage loans to REO	0		0
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements			0
Transfers of interest rate lock commitments to mortgage loans acquired for sale at fair value	(20,585)	7,273	(54,495)	(53,397)
Ending balance	5,391	11,446	5,391	11,446
Changes in fair value recognized during the period relating to assets	5,391	11,446	5,391	11,446
Mortgage servicing rights [Member]
Assets:
Beginning balance	46,802	1,827	26,452	1,346
Purchases	0	1,696	0	1,881
Repayments and sales	(137)		(137)
Repayments		0		0
Accrual of interest	0		0
ESS received pursuant to a recapture agreement with PFSI	0		0
Interest rate lock commitments issued, net	0	0	0	0
Capitalization of interest	0	0	0	0
Servicing received as proceeds from sales of mortgage loans	12,812	7,939	39,954	8,043
Changes in fair value included in income arising from:
Other factors	(1,606)	(465)	(8,398)	(273)
Total	(1,606)	(465)	(8,398)	(273)
Transfers of mortgage loans under forward purchase agreements to mortgage loans			0
Transfers of mortgage loans to REO	0		0
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements			0
Transfers of interest rate lock commitments to mortgage loans acquired for sale at fair value	0	0	0	0
Ending balance	57,871	10,997	57,871	10,997
Changes in fair value recognized during the period relating to assets	(1,606)	(465)	(8,398)	(273)
Agency debt securities [Member]
Assets:
Beginning balance		0		0
Purchases		12,000		12,000
Repayments		0		0
Interest rate lock commitments issued, net		0		0
Capitalization of interest		0		0
Servicing received as proceeds from sales of mortgage loans		0		0
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		0		0
Other factors		578		578
Total		578		578
Transfers of mortgage loans under forward purchase agreements to mortgage loans		0		0
Transfers of mortgage loans to REO		0		0
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements		0		0
Transfers of interest rate lock commitments to mortgage loans acquired for sale at fair value		0		0
Ending balance		12,578		12,578
Changes in fair value recognized during the period relating to assets		578		578
Mortgage loans under forward purchase agreements [Member]
Assets:
Beginning balance		242,531	218,128	0
Purchases		1,710	1,386	245,020
Repayments and sales			(6,413)
Repayments		(8,000)		(8,000)
Accrual of interest			0
ESS received pursuant to a recapture agreement with PFSI			0
Interest rate lock commitments issued, net		0	0	0
Capitalization of interest		0	1,800	0
Servicing received as proceeds from sales of mortgage loans		0	0	0
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		69	2,269	69
Other factors		8,309	(1,466)	7,619
Total		8,378	803	7,688
Transfers of mortgage loans under forward purchase agreements to mortgage loans		(13,018)	(205,902)	(13,018)
Transfers of mortgage loans to REO		0	0	0
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements		(3,515)	(9,802)	(3,604)
Transfers of interest rate lock commitments to mortgage loans acquired for sale at fair value		0	0	0
Ending balance	0	228,086	0	228,086
Changes in fair value recognized during the period relating to assets		$ 6,949	$ 0	$ 6,106

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Transactions with Related Parties

9 Months Ended

Sep. 30, 2014

Related Party Transactions [Abstract]

Transactions with Related Parties

Note 3—Transactions with Related Parties

Following is a summary of correspondent production activity between the Company and PFSI:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Loan fulfillment fees payable to PFSI	$	15,497	$	18,327	$	36,832	$	68,625
Unpaid principal balance of loans fulfilled by PFSI	$	3,677,613	$	3,681,771	$	8,588,955	$	12,792,482
Sourcing fees received from PFSI	$	1,384	$	1,204	$	3,401	$	3,563
Fair value of loans sold to PFSI	$	4,861,392	$	4,147,535	$	11,947,251	$	12,429,698
At period end:
Mortgage loans included in mortgage loans acquired for sale pending sale to PFSI	$	59,719	$	273,007

Following is a summary of mortgage loan servicing fees payable to PFSI:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Mortgage loans acquired for sale at fair value:
Base	$	28	$	62	$	74	$	231
Activity-based		35		77		112		260
		63		139		186		491
Distressed mortgage loans:
Base		4,679		4,166		14,620		11,737
Activity-based		4,076		3,414		16,208		7,739
		8,755		7,580		30,828		19,476
MSRs:
Base		3,459		2,911		9,930		7,037
Activity-based		48		108		152		247
		3,507		3,019		10,082		7,284
	$	12,325	$	10,738	$	41,096	$	27,251

Following is a summary of the base management and performance incentive fees payable to PFSI recorded by the Company:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Management fee:
Base	$	6,033	$	5,104	$	17,392	$	14,043
Performance incentive		3,590		3,435		9,217		9,443
	$	9,623	$	8,539	$	26,609	$	23,486

In the event of termination of the management agreement between the Company and PFSI, PFSI may be entitled to a termination fee in certain circumstances. The termination fee is equal to three times the sum of (a) the average annual base management fee, and (b) the average annual performance incentive fee earned by PFSI, in each case during the 24-month period before termination.

Following is a summary of investment activity between the Company and PFSI:

	Quarter ended September 30,					Nine months ended September 30,
	2014			2013		2014			2013
	(in thousands)
Purchases of excess servicing spread	$	9,253		$	2,828	$	82,646		$	2,828
Interest income from excess servicing spread	$	3,577		$	—	$	9,578		$	—
Net (loss) gain on excess servicing spread purchased from PFSI at fair value	($	7,396	)	$	29	($	17,834	)		29
Excess servicing spread recapture recognized	$	2,143		$	—	$	6,558		$	—
MSR recapture recognized	$	—		$	86	$	9		$	586

Other Transactions

In connection with the initial public offering of PMT’s common shares (“IPO”) on August 4, 2009, the Company entered into an agreement with PCM pursuant to which the Company agreed to reimburse PCM for the $2.9 million payment that it made to the IPO underwriters if the Company satisfied certain performance measures over a specified period (the “Conditional Reimbursement”). Effective February 1, 2013, the Company amended the terms of the reimbursement agreement to provide for the reimbursement of PCM of the Conditional Reimbursement if the Company is required to pay PCM performance incentive fees under the management agreement at a rate of $10 in reimbursement for every $100 of performance incentive fees earned. The reimbursement of the Conditional Reimbursement is subject to a maximum reimbursement in any particular 12-month period of $1.0 million and the maximum amount that may be reimbursed under the agreement is $2.9 million. During the quarter and nine months ended September 30, 2014, the Company paid $256,000 and $292,000 to PCM.

The Company has also agreed to pay the IPO underwriters an amount to which it agreed at the time of the offering if the Company satisfies certain performance measures over a specified period. As PCM earns performance incentive fees under the management agreement, such underwriters will be paid at a rate of $20 of payments for every $100 of performance incentive fees earned by PCM. The payment to the underwriters is subject to a maximum reimbursement in any particular 12-month period of $2.0 million and the maximum amount that may be paid under the agreement is $5.9 million. During the quarter and nine months ended September 30, 2014, the Company paid $615,000 and $1.0 million to the underwriters, respectively.

In the event the termination fee is payable to PCM under the management agreement and PCM and the underwriters have not received the full amount of the reimbursements and payments under the reimbursement agreement, such amounts will be paid in full. The term of the reimbursement agreement expires on February 1, 2019.

The Company reimburses PFSI and its affiliates for other expenses, including common overhead expenses and other expenses incurred on its behalf by PFSI, in accordance with the terms of its management agreement as summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(in thousands)
Reimbursement of:
Common overhead incurred by PFSI	$	2,912	$	2,552	$	8,181	$	8,359
Expenses incurred on the Company’s behalf		122		1,934		671		3,767
	$	3,034	$	4,486	$	8,852	$	12,126
Payments and settlements during the period (1)	$	31,621	$	29,315	$	72,975	$	94,606

(1) Payments and settlements include payments for management fees and correspondent production activities itemized in the preceding tables and netting settlements made pursuant to master netting agreements between the Company and PFSI.

Amounts due to PFSI are summarized below:

	September 30, 2014		December 31, 2013
	(in thousands)
Management fees	$	9,623	$	8,924
Servicing fees		6,942		5,915
Allocated expenses		3,360		2,009
Contingent underwriting fees		1,495		1,788
	$	21,420	$	18,636

Amounts due from PFSI totaled $4.3 million and $6.0 million at September 30, 2014 and December 31, 2013, respectively. At September 30, 2014, the balance represents payments receivable relating to cash flows from the Company’s investment in ESS and amounts receivable relating to unsettled MSR and ESS recaptures.

PFSI held 75,000 of the Company’s common shares at both September 30, 2014 and December 31, 2013.

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Exchangeable Senior Notes (Tables)

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Summary of Financial Information Relating to Notes

Following is financial information relating to the Notes:

	Quarter ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013
	(dollars in thousands)
Period end:
Balance	$	250,000	$	250,000
Unamortized issuance costs (1)	$	6,156	$	7,063
During the period:
Weighted-average balance	$	250,000	$	250,000	$	250,000	$	141,026
Interest expense (2)	$	3,592	$	3,577	$	10,763	$	5,961

(1) Unamortized issuance costs are included in Other assets in the consolidated balance sheets.

(2) Total interest expense includes amortization of debt issuance costs of $232,000 and $685,000 during the quarter and nine months ended September 30, 2014, respectively, and $218,000 and $362,000 during the quarter and nine months ended September 30, 2013, respectively.

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Netting of Financial Instruments - Summary of Offsetting of Derivative Assets (Detail) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Derivative [Line Items]
Gross amounts of recognized assets	$ 14,282	$ 20,962
Gross amounts offset in the consolidated balance sheet	(3,938)	(12,986)
Net amounts of assets presented in the consolidated balance sheet	10,344	7,976
MBS put options [Member]
Derivative [Line Items]
Gross amounts of recognized assets	830	272
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	830	272
MBS call options [Member]
Derivative [Line Items]
Gross amounts of recognized assets	239	0
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	239	0
Forward purchase contracts [Member]
Derivative [Line Items]
Gross amounts of recognized assets	4,614	1,229
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	4,614	1,229
Forward sales contracts [Member]
Derivative [Line Items]
Gross amounts of recognized assets	1,142	16,385
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	1,142	16,385
Treasury future sale contracts [Member]
Derivative [Line Items]
Gross amounts of recognized assets	857	0
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	857	0
Put options on Eurodollar futures [Member]
Derivative [Line Items]
Gross amounts of recognized assets	422	566
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	422	566
Call options on Eurodollar futures [Member]
Derivative [Line Items]
Gross amounts of recognized assets	666	0
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	666	0
Netting [Member]
Derivative [Line Items]
Gross amounts of recognized assets	0	0
Gross amounts offset in the consolidated balance sheet	(3,938)	(12,986)
Net amounts of assets presented in the consolidated balance sheet	(3,938)	(12,986)
Derivatives subject to master netting arrangements [Member]
Derivative [Line Items]
Gross amounts of recognized assets	8,770	18,452
Gross amounts offset in the consolidated balance sheet	(3,938)	(12,986)
Net amounts of assets presented in the consolidated balance sheet	4,832	5,466
Interest rate lock commitments [Member]
Derivative [Line Items]
Gross amounts of recognized assets	5,512	2,510
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	5,512	2,510
Derivatives not subject to master netting arrangements [Member]
Derivative [Line Items]
Gross amounts of recognized assets	14,282	20,962
Gross amounts offset in the consolidated balance sheet	(3,938)	(12,986)
Net amounts of assets presented in the consolidated balance sheet	$ 10,344	$ 7,976

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Mortgage Loans Under Forward Purchase Agreements at Fair Value - Summary of Distribution of Company's Mortgage Loans under Forward Purchase Agreements at Fair Value (Detail) (USD $) In Thousands, unless otherwise specified	Sep. 30, 2014	Dec. 31, 2013
Financing Receivable, Recorded Investment [Line Items]
Fair value	$ 0	$ 218,128
Unpaid principal balance	0	332,484
Nonperforming loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	0	177,841
Unpaid principal balance	0	268,600
Performing loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	0	40,287
Unpaid principal balance	0	63,884
Performing loans [Member] | Fixed [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	0	19,292
Unpaid principal balance	0	29,496
Performing loans [Member] | ARM/hybrid [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	0	19,510
Unpaid principal balance	0	31,933
Performing loans [Member] | Interest rate step-up [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	0	1,485
Unpaid principal balance	$ 0	$ 2,455

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Concentration of Risks - Fair Value of Mortgage Loans and REO Purchased (Including Purchases under Forward Purchase Agreements) Portion Representing Assets Purchased (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended			12 Months Ended	9 Months Ended	12 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014 Forward Purchase Commitments [Member]	Dec. 31, 2013 Forward Purchase Commitments [Member]	Sep. 30, 2014 Forward Purchase Commitments [Member] Mortgage loans under forward purchase agreements [Member]	Dec. 31, 2013 Forward Purchase Commitments [Member] Mortgage loans under forward purchase agreements [Member]
Investment portfolio purchases:
Investment portfolio purchases, Mortgage loans	$ 0	$ 580,822	$ 284,403	$ 1,024,404
Investment portfolio purchases, REO	0	3,597	3,117	3,686
Investment portfolio purchases, total	0	584,419	287,520	1,028,090
Investment portfolio purchases above through one or more subsidiaries of Citigroup Inc.:
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. Mortgage loans	0	0	26,737	443,183	974,402	1,138,131	0	218,128
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. REO	0	3,597	68	3,686	114,195	84,726	0	8,705
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. total	0	3,597	26,805	446,869	1,088,597	1,449,690
Total holdings of mortgage loans and REO					$ 2,837,096	$ 2,966,525

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Commitments and Contingencies

9 Months Ended

Sep. 30, 2014

Commitments and Contingencies Disclosure [Abstract]

Commitments and Contingencies

Note 20—Commitments and Contingencies

Litigation

From time to time, the Company may be involved in various proceedings, claims and legal actions arising in the ordinary course of business. As of September 30, 2014, the Company was not involved in any such proceedings, claims or legal actions that in management’s view would reasonably be likely to have a material adverse effect on the Company.

Mortgage Loan Commitments

The following table summarizes the Company’s outstanding contractual loan commitments:

	September 30, 2014
	(in thousands)
Commitments to purchase mortgage loans:
Correspondent production	$	838,948

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Assets Sold Under Agreements to Repurchase - Summary of Maturities of Outstanding Assets Sold under Agreements to Repurchase by Maturity Date (Detail) (USD $) In Thousands, unless otherwise specified			9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014 Securities sold under agreements to repurchase at fair value [Member]	Sep. 30, 2014 Securities sold under agreements to repurchase at fair value [Member] Within 30 days [Member]	Sep. 30, 2014 Securities sold under agreements to repurchase at fair value [Member] Over 30 to 90 days [Member]	Sep. 30, 2014 Securities sold under agreements to repurchase at fair value [Member] Over 90 days to 180 days [Member]	Sep. 30, 2014 Securities sold under agreements to repurchase at fair value [Member] Over 180 days to 1 year [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Maturity of repurchase agreements	$ 2,416,686	$ 1,980,058	$ 2,416,686	$ 435,316	$ 859,651	$ 429,498	$ 692,221
Weighted average maturity			4 years 6 months

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Net Interest Income - Summary of Net Interest Income (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Interest income:
Short-term investments	$ 138	$ 252	$ 462	$ 340
Mortgage-backed securities	1,935	345	5,657	345
Agency debt securities	0	162	0	162
Mortgage loans acquired for sale at fair value	7,712	12,535	16,911	28,150
Mortgage loans at fair value	27,858	20,751	92,870	48,300
Mortgage loans under forward purchase agreements at fair value	0	1,197	3,584	1,457
Excess servicing spread purchased from PFSI, at fair value	3,577	0	9,578	0
Other	16	36	38	196
Interest income, total	41,236	35,278	129,100	78,950
Interest expense:
Assets sold under agreements to repurchase	15,814	13,464	43,496	34,990
Borrowings under forward purchase agreements	0	1,762	2,363	2,013
Asset-backed secured financing	1,584	0	4,762	0
Exchangeable senior notes	3,592	3,577	10,763	5,961
Other	1,030	694	2,276	1,913
Interest expense, total	22,020	19,497	63,660	44,877
Net interest income	$ 19,216	$ 15,781	$ 65,440	$ 34,073

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Liability for Losses under Representations and Warranties - Summary of Company's Repurchase and Indemnification Activity (Detail) (USD $) In Thousands, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2014	Sep. 30, 2013	Sep. 30, 2014	Sep. 30, 2013
Mortgage Banking [Abstract]
Losses charged to liability for representations and warranties	$ 0	$ 0	$ 0	$ 0
Unpaid principal balance of mortgage loans repurchased	7,490	5,687	15,296	6,895
Unpaid principal balance of repurchased mortgage loans repurchased by correspondent lenders	5,841	967	10,109	1,891
Unpaid principal balance of mortgage loans indemnified by PMT	1,571	0	4,227	0
Unpaid principal balance of mortgage loans subject to pending claims for repurchase	19,969	9,415	19,969	9,415
Unpaid principal balance of mortgage loans indemnified by PMT	4,764	0	4,764	0
Unpaid principal balance of mortgage loans subject to representations and warranties	$ 32,654,307	$ 23,531,815	$ 32,654,307	$ 23,531,815

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Transactions with Related Parties - Management Fees - Additional Information (Detail)	9 Months Ended
	Sep. 30, 2014
Related Party Transactions [Abstract]
Termination fees, description	The termination fee is equal to three times the sum of (a) the average annual base management fee, and (b) the average annual performance incentive fee earned by PFSI, in each case during the 24-month period before termination.

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Regulatory Net Worth

9 Months Ended

Sep. 30, 2014

Mortgage Banking [Abstract]

Regulatory Net Worth

Note 31—Regulatory Net Worth

PMC is a seller-servicer for Fannie Mae and Freddie Mac. To retain its status as an approved seller-servicer, PMC is required to meet Fannie Mae’s and Freddie Mac’s capital standards, which require PMC to maintain a minimum net worth of $57.7 million and $27.7 million, respectively. Management believes that PMC complies with Fannie Mae’s and Freddie Mac’s net worth requirement as of September 30, 2014.

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Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements

9 Months Ended

Sep. 30, 2014

Text Block [Abstract]

Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements

Note 13—Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements

Following is a summary of the activity in REO under forward purchase agreements:

	Quarter ended September 30,					Nine months ended September 30,
	2014		2013			2014			2013
	(in thousands)
Balance at beginning of period	$	—	$	89		$	9,138		$	—
Purchases		—		—			68			—
Transfers from mortgage loans under forward purchase agreements at fair value and advances		—		3,640			9,369			3,729
Transfers to REO		—		(114	)		(12,737	)		(114	)
Results of REO under forward purchase agreements:
Valuation adjustments, net		—		(31	)		(779	)		(31	)
Gain on sale, net		—		(10	)		306			(10	)
		—		(41	)		(473	)		(41	)
Proceeds from sales		—		(65	)		(5,365	)		(65	)
Balance at end of period	$	—	$	3,509		$	—		$	3,509

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Derivative Financial Instruments - Summary of Activity in Notional Amount of Derivative Contracts (Detail) (USD $) In Thousands, unless otherwise specified													3 Months Ended		9 Months Ended		3 Months Ended		9 Months Ended		3 Months Ended		9 Months Ended		3 Months Ended		9 Months Ended		3 Months Ended	9 Months Ended	3 Months Ended	9 Months Ended	3 Months Ended	9 Months Ended	3 Months Ended	9 Months Ended	3 Months Ended	9 Months Ended	3 Months Ended	9 Months Ended	3 Months Ended	9 Months Ended	3 Months Ended	9 Months Ended	3 Months Ended	9 Months Ended	3 Months Ended	9 Months Ended	3 Months Ended		9 Months Ended		3 Months Ended	9 Months Ended	3 Months Ended	9 Months Ended	3 Months Ended	9 Months Ended	3 Months Ended	9 Months Ended	3 Months Ended	9 Months Ended	3 Months Ended	9 Months Ended
	Sep. 30, 2014 Forward purchase contracts [Member]	Dec. 31, 2013 Forward purchase contracts [Member]	Sep. 30, 2014 Forward sales contracts [Member]	Dec. 31, 2013 Forward sales contracts [Member]	Sep. 30, 2014 Treasury future sale contracts [Member]	Dec. 31, 2013 Treasury future sale contracts [Member]	Sep. 30, 2014 Put options on Eurodollar futures [Member]	Dec. 31, 2013 Put options on Eurodollar futures [Member]	Sep. 30, 2014 Call options on Eurodollar futures [Member]	Dec. 31, 2013 Call options on Eurodollar futures [Member]	Sep. 30, 2014 Eurodollar future sale contracts [Member]	Dec. 31, 2013 Eurodollar future sale contracts [Member]	Sep. 30, 2014 Mortgage loans acquired for sale [Member] Forward purchase contracts [Member]	Sep. 30, 2013 Mortgage loans acquired for sale [Member] Forward purchase contracts [Member]	Sep. 30, 2014 Mortgage loans acquired for sale [Member] Forward purchase contracts [Member]	Sep. 30, 2013 Mortgage loans acquired for sale [Member] Forward purchase contracts [Member]	Sep. 30, 2014 Mortgage loans acquired for sale [Member] Forward sales contracts [Member]	Sep. 30, 2013 Mortgage loans acquired for sale [Member] Forward sales contracts [Member]	Sep. 30, 2014 Mortgage loans acquired for sale [Member] Forward sales contracts [Member]	Sep. 30, 2013 Mortgage loans acquired for sale [Member] Forward sales contracts [Member]	Sep. 30, 2014 Mortgage loans acquired for sale [Member] MBS put options [Member]	Sep. 30, 2013 Mortgage loans acquired for sale [Member] MBS put options [Member]	Sep. 30, 2014 Mortgage loans acquired for sale [Member] MBS put options [Member]	Sep. 30, 2013 Mortgage loans acquired for sale [Member] MBS put options [Member]	Sep. 30, 2014 Mortgage loans acquired for sale [Member] MBS call options [Member]	Sep. 30, 2013 Mortgage loans acquired for sale [Member] MBS call options [Member]	Sep. 30, 2014 Mortgage loans acquired for sale [Member] MBS call options [Member]	Sep. 30, 2013 Mortgage loans acquired for sale [Member] MBS call options [Member]	Sep. 30, 2014 Mortgage servicing rights [Member] Forward purchase contracts [Member]	Sep. 30, 2014 Mortgage servicing rights [Member] Forward purchase contracts [Member]	Sep. 30, 2014 Mortgage servicing rights [Member] Forward sales contracts [Member]	Sep. 30, 2014 Mortgage servicing rights [Member] Forward sales contracts [Member]	Sep. 30, 2014 Mortgage servicing rights [Member] MBS put options [Member]	Sep. 30, 2014 Mortgage servicing rights [Member] MBS put options [Member]	Sep. 30, 2014 Mortgage servicing rights [Member] MBS call options [Member]	Sep. 30, 2014 Mortgage servicing rights [Member] MBS call options [Member]	Sep. 30, 2014 Mortgage servicing rights [Member] Treasury future sale contracts [Member]	Sep. 30, 2014 Mortgage servicing rights [Member] Treasury future sale contracts [Member]	Sep. 30, 2014 Mortgage servicing rights [Member] Treasury future purchase contracts [Member]	Sep. 30, 2014 Mortgage servicing rights [Member] Treasury future purchase contracts [Member]	Sep. 30, 2014 Mortgage servicing rights [Member] Put options on Eurodollar futures [Member]	Sep. 30, 2014 Mortgage servicing rights [Member] Put options on Eurodollar futures [Member]	Sep. 30, 2014 Mortgage servicing rights [Member] Call options on Eurodollar futures [Member]	Sep. 30, 2014 Mortgage servicing rights [Member] Call options on Eurodollar futures [Member]	Sep. 30, 2014 Mortgage loans at fair value held by VIE [Member] Treasury future sale contracts [Member]	Sep. 30, 2014 Mortgage loans at fair value held by VIE [Member] Treasury future sale contracts [Member]	Sep. 30, 2014 Mortgage loans at fair value held by VIE [Member] Treasury future purchase contracts [Member]	Sep. 30, 2014 Mortgage loans at fair value held by VIE [Member] Treasury future purchase contracts [Member]	Sep. 30, 2014 Mortgage loans at fair value held by VIE [Member] Put options on Eurodollar futures [Member]	Sep. 30, 2013 Mortgage loans at fair value held by VIE [Member] Put options on Eurodollar futures [Member]	Sep. 30, 2014 Mortgage loans at fair value held by VIE [Member] Put options on Eurodollar futures [Member]	Sep. 30, 2013 Mortgage loans at fair value held by VIE [Member] Put options on Eurodollar futures [Member]	Sep. 30, 2014 Mortgage loans at fair value held by VIE [Member] Call options on Eurodollar futures [Member]	Sep. 30, 2014 Mortgage loans at fair value held by VIE [Member] Call options on Eurodollar futures [Member]	Sep. 30, 2014 Mortgage loans at fair value held by VIE [Member] Eurodollar future sale contracts [Member]	Sep. 30, 2014 Mortgage loans at fair value held by VIE [Member] Eurodollar future sale contracts [Member]	Sep. 30, 2014 Mortgage loans at fair value held by VIE [Member] Eurodollar future purchase contracts [Member]	Sep. 30, 2014 Mortgage loans at fair value held by VIE [Member] Eurodollar future purchase contracts [Member]	Sep. 30, 2014 Mortgage loans at fair value held by VIE [Member] MBS put option [Member]	Sep. 30, 2014 Mortgage loans at fair value held by VIE [Member] MBS put option [Member]	Sep. 30, 2013 Mortgage loans at fair value held by VIE [Member] Eurodollar futures [Member]	Sep. 30, 2013 Mortgage loans at fair value held by VIE [Member] Eurodollar futures [Member]	Sep. 30, 2013 Mortgage loans at fair value held by VIE [Member] Treasury futures [Member]	Sep. 30, 2013 Mortgage loans at fair value held by VIE [Member] Treasury futures [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period	$ 1,910,139	$ 2,781,066	$ 2,776,249	$ 3,588,027	$ 85,000	$ 105,000	$ 220,000	$ 52,500	$ 355,000	$ 0	$ 6,262,000	$ 8,779,000	$ 3,058,604	$ 5,411,784	$ 2,781,066	$ 2,206,539	$ 4,185,633	$ 7,728,066	$ 3,463,027	$ 4,266,983	$ 270,000	$ 460,000	$ 55,000	$ 495,000	$ 25,000	$ 725,000	$ 110,000	$ 0	$ 0	$ 0	$ 0	$ 0	$ 25,000	$ 0	$ 70,000	$ 0	$ 0	$ 0	$ 0	$ 0	$ 40,000	$ 0	$ 130,000	$ 0	$ 85,000	$ 105,000	$ 0	$ 0	$ 85,000	$ 0	$ 52,500	$ 0	$ 100,000	$ 0	$ 5,562,000	$ 8,779,000	$ 0	$ 0	$ 97,500	$ 15,000	$ 0	$ 0	$ 0	$ 0
Additions													8,191,022	18,214,008	26,555,921	45,301,457	11,620,826	21,440,627	35,672,348	58,817,165	375,000	180,000	1,070,000	3,205,000	55,000	300,000	80,000	2,200,000	25,000	95,000	50,000	110,000	165,000	190,000	20,000	150,000	43,900	76,700	27,700	53,300	325,000	690,000	390,000	670,000	110,600	298,600	110,600	278,600	165,500	2,200,000	362,500	2,200,000	190,000	290,000	990,000	1,452,000	290,000	3,287,000	100,000	222,500	19,152,000	19,152,000	75,000	75,000
Disposition/expirations													(9,339,487)	(21,291,203)	(27,426,848)	(45,173,407)	(13,030,210)	(25,844,850)	(36,359,126)	(59,760,305)	(345,000)	(510,000)	(825,000)	(3,570,000)	(50,000)	(1,025,000)	(160,000)	(2,200,000)	(25,000)	(95,000)	(50,000)	(110,000)	(25,000)	(25,000)	(70,000)	(130,000)	(43,900)	(76,700)	(27,700)	(53,300)	(265,000)	(590,000)	(275,000)	(425,000)	(110,600)	(318,600)	(110,600)	(278,600)	(130,500)	0	(295,000)	0	(180,000)	(180,000)	(290,000)	(3,969,000)	(290,000)	(3,287,000)	(97,500)	(137,500)	(9,188,000)	(9,188,000)	0	0
Balance, end of period	$ 1,910,139	$ 2,781,066	$ 2,776,249	$ 3,588,027	$ 85,000	$ 105,000	$ 220,000	$ 52,500	$ 355,000	$ 0	$ 6,262,000	$ 8,779,000	$ 1,910,139	$ 2,334,589	$ 1,910,139	$ 2,334,589	$ 2,776,249	$ 3,323,843	$ 2,776,249	$ 3,323,843	$ 300,000	$ 130,000	$ 300,000	$ 130,000	$ 30,000	$ 0	$ 30,000	$ 0	$ 0	$ 0	$ 0	$ 0	$ 165,000	$ 165,000	$ 20,000	$ 20,000	$ 0	$ 0	$ 0	$ 0	$ 100,000	$ 100,000	$ 245,000	$ 245,000	$ 85,000	$ 85,000	$ 0	$ 0	$ 120,000	$ 2,200,000	$ 120,000	$ 2,200,000	$ 110,000	$ 110,000	$ 6,262,000	$ 6,262,000	$ 0	$ 0	$ 100,000	$ 100,000	$ 9,964,000	$ 9,964,000	$ 75,000	$ 75,000