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, 2015

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 4 , 2015
Common Shares of Beneficial Interest, $0.01 par value	73,767,435

PENNYMAC MORTGAGE INVESTMENT TRUST

FORM 10-Q

September  30, 2015

TABLE OF CONTENTS

		Page
Special Note Regarding Forward-Looking Statements			1
PART I. FINANCIAL INFORMATION			4
Item 1.	Financial Statements (Unaudited):		4
	Consolidated Balance Sheets		4
	Consolidated Statements of Income		6
	Consolidated Statements of Changes in Shareholders’ Equity		7
	Consolidated Statements of Cash Flows		8
	Notes to Consolidated Financial Statements		10
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		59
	Observations on Current Market Conditions		60
	Results of Operations		62
	Net Investment Income		63
	Expenses		79
	Balance Sheet Analysis		83
	Asset Acquisitions		84
	Investment Portfolio Composition		85
	Cash Flows		91
	Liquidity and Capital Resources		92
	Off-Balance Sheet Arrangements and Aggregate Contractual Obligations		94
	Quantitative and Qualitative Disclosures About Market Risk		100
Item 3.	Quantitative and Qualitative Disclosures About Market Risk		102
Item 4.	Controls and Procedures		102
PART II. OTHER INFORMATION			102
Item 1.	Legal Proceedings		102
Item 1A.	Risk Factors		102
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		104

SPECIAL NOTE REGARDING FORWARD-LOOKING STATEMENTS

This Quarterly Report on Form 10-Q (“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 the section entitled “Risk Factors” in our Annual Report on Form 10-K for the year ended December 31, 2014, filed with the SEC on March 2, 2015.

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 real estate finance and real estate markets specifically, whether the result of market events or otherwise;

• 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;

• declines in 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 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;

1

• 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;

• changes in the number of investor repurchases or indemnifications and our ability to obtain indemnification or demand repurchase from our correspondent sellers;

• 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;

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

• increased prepayments of the mortgages and other loans underlying our mortgage-backed securities (“MBS”) or relating to our mortgage servicing rights (“MSRs”), excess servicing spread (“ESS”) and other investments;

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

• 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;

• technologies for loans and our ability to mitigate security risks and cyber intrusions;

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

• our ability to detect misconduct and fraud;

• 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 Government National Mortgage Association (“Ginnie Mae”), the Federal Housing Administration (the “FHA”), the Veterans Administration (the “VA”) or the U.S. Department of Agriculture (“USDA”), or government-sponsored entities such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (Fannie Mae, Freddie Mac and Ginnie Mae are each referred to as an “Agency” and, collectively, as the “Agencies”), or such changes that increase the cost of doing business with such entities;

• the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank 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 mortgage lending and servicing-related regulations promulgated by the Consumer Financial Protection Bureau and its enforcement of the regulations;

• changes in government support of homeownership;

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

2

• limitations imposed on our business and our ability to satisfy complex rules for us to qualify as a real estate investment trust (“REIT”) for U.S. federal income tax purposes and qualify for an exemption from registering as an investment company under the Investment Company Act of 1940 and the ability of certain of our subsidiaries to qualify as REITs or as taxable REIT subsidiaries (“TRSs”) 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;

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

• our organizational structure and certain requirements in our charter documents.

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, results of operations 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.

3

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS (UNAUDITED)

	September 30, 2015		December 31, 2014
	(in thousands, except share data)
ASSETS
Cash	$	89,303	$	76,386
Short-term investments		31,518		139,900
Mortgage-backed securities at fair value (includes $306,638 and $307,363 pledged to secure assets sold under agreements to repurchase and $8,961 and $0 pledged to secure Federal Home Loan Bank advances)		315,599		307,363
Mortgage loans acquired for sale at fair value (includes $903,806 and $609,608 pledged to secure assets sold under agreements to repurchase, $63,162 and $20,862 pledged to secure mortgage loan participation and sale agreement, and $68,937 and $0 pledged to secure Federal Home Loan Bank advances)		1,050,296		637,722
Mortgage loans at fair value (includes $2,485,046 and $2,709,161 pledged to secure assets sold under agreements to repurchase and asset-backed secured financing of a variable interest entity at fair value and $140,025 and $0 pledged to secure Federal Home Loan Bank advances)		2,637,730		2,726,952
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value pledged to secure note payable to PennyMac Financial Services, Inc.		418,573		191,166
Derivative assets		16,806		11,107
Real estate acquired in settlement of loans (includes $280,045 and $150,649 pledged to secure assets sold under agreements to repurchase)		353,563		303,228
Real estate held for investment		4,448		—
Mortgage servicing rights (includes $57,751 and $57,358 carried at fair value and $423,095 and $0 pledged to secure borrowings under notes payable)		423,095		357,780
Servicing advances		79,528		79,878
Due from PennyMac Financial Services, Inc.		9,050		6,621
Other		162,722		59,155
Total assets	$	5,592,231	$	4,897,258
LIABILITIES
Assets sold under agreements to repurchase	$	2,864,032	$	2,729,027
Mortgage loan participation and sale agreement		61,078		20,222
Federal Home Loan Bank advances		183,000		—
Notes payable		192,332		—
Note payable to PennyMac Financial Services, Inc.		150,000		—
Asset-backed secured financing of a variable interest entity at fair value		234,287		165,920
Exchangeable senior notes		244,805		244,079
Derivative liabilities		2,786		2,430
Accounts payable and accrued liabilities		67,086		67,806
Due to PennyMac Financial Services, Inc.		17,220		23,943
Income taxes payable		42,702		51,417
Liability for losses under representations and warranties		18,473		14,242
Total liabilities		4,077,801		3,319,086

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

4

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS (UNAUDITED)

	September 30, 2015		December 31, 2014
	(in thousands, except share data)
SHAREHOLDERS’ EQUITY
Common shares of beneficial interest—authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding, 73,792,435 and 74,510,159 common shares		738		745
Additional paid-in capital		1,468,739		1,479,699
Retained earnings		44,953		97,728
Total shareholders’ equity		1,514,430		1,578,172
Total liabilities and shareholders’ equity	$	5,592,231	$	4,897,258

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

	September 30, 2015		December 31, 2014
	(in thousands)
ASSETS
Mortgage loans at fair value	$	477,271	$	527,369
Derivative assets		626		—
Other assets
Interest receivable		1,502		1,651
Restricted cash		87,891		—
	$	567,290	$	529,020
LIABILITIES
Asset-backed secured financing at fair value	$	234,287	$	165,920
Accounts payable and accrued expenses—interest payable		679		477
	$	234,966	$	166,397

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

5

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF INCOME (UNAUDITED)

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
	(in thousands, except per share data)
Net investment income
Interest income
From nonaffiliates	$	53,412		$	37,659		$	129,860		$	119,522
From PennyMac Financial Services, Inc.		8,026			3,577			17,596			9,578
		61,438			41,236			147,456			129,100
Interest expense
To nonaffiliates		36,471			22,020			91,423			63,660
To PennyMac Financial Services, Inc.		1,289			—			1,822			—
		37,760			22,020			93,245			63,660
Net interest income		23,678			19,216			54,211			65,440
Net gain on mortgage loans acquired for sale		13,884			9,509			35,219			29,702
Loan origination fees		9,135			6,447			21,701			13,288
Net gain on investments
From nonaffiliates		32,802			77,786			56,521			203,943
From PennyMac Financial Services, Inc.		(7,844	)		(7,396	)		(5,502	)		(17,834	)
		24,958			70,390			51,019			186,109
Net loan servicing fees		20,791			10,533			41,810			26,712
Results of real estate acquired in settlement of loans		(4,221	)		(11,926	)		(11,859	)		(23,900	)
Other		2,549			2,361			6,095			6,330
Net investment income		90,774			106,530			198,196			303,681
Expenses
Earned by PennyMac Financial Services, Inc.:
Loan fulfillment fees		17,553			15,497			45,752			36,832
Loan servicing fees		11,736			12,325			34,542			41,096
Management fees		5,742			9,623			18,524			26,609
Compensation		1,550			1,843			5,748			6,668
Professional services		1,759			1,927			5,249			6,348
Other		7,327			7,384			22,006			18,604
Total expenses		45,667			48,599			131,821			136,157
Income before provision for (benefit from) income taxes		45,107			57,931			66,375			167,524
Provision for (benefit from) income taxes		6,295			2,982			(8,016	)		(509	)
Net income	$	38,812		$	54,949		$	74,391		$	168,033
Earnings per share
Basic	$	0.51		$	0.74		$	0.98		$	2.28
Diluted	$	0.49		$	0.69		$	0.95		$	2.13
Weighted-average shares outstanding
Basic		74,681			74,140			74,675			73,254
Diluted		83,411			82,832			83,486			81,978
Dividends declared per share	$	0.47		$	0.61		$	1.69		$	1.79

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

6

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (UNAUDITED)

	Common shares
	Number of shares			Par value			Additional paid-in capital			Retained earnings			Total
Balance at December, 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
Common share dividends, $1.79 per share		—			—			—			(132,863	)		(132,863	)
Issuance of common shares		3,447			34			82,419			—			82,453
Share underwriting and offering costs		—			—			(1,052	)		—			(1,052	)
Balance at September 30, 2014		74,140		$	741		$	1,470,189		$	117,111		$	1,588,041
Balance at December 31, 2014		74,510		$	745		$	1,479,699		$	97,728		$	1,578,172
Net income		—			—			—			74,391			74,391
Share-based compensation		302			3			4,977			—			4,980
Common share dividends, $1.69 per share		—			—			—			(127,166	)		(127,166	)
Issuance of common shares		—			—			8			—			8
Repurchase of common shares		(1,020	)		(10	)		(15,945	)		—			(15,955	)
Balance at September 30, 2015		73,792		$	738		$	1,468,739		$	44,953		$	1,514,430

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

7

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)

	Nine months ended September 30,
	2015			2014
	(in thousands)
Cash flows from operating activities
Net income	$	74,391		$	168,033
Adjustments to reconcile net income to net cash used by operating activities:
Accrual of unearned discounts and amortization of premiums on mortgage-backed securities, mortgage loans at fair value, and asset-backed secured financing		(884	)		(905	)
Capitalization of interest on mortgage loans at fair value		(34,979	)		(40,805	)
Accrual of interest on excess servicing spread		(17,596	)		(9,578	)
Amortization of credit facility commitment fees and debt issuance costs		8,491			7,298
Net gain on mortgage loans acquired for sale		(35,219	)		(29,702	)
Reversal of costs related to forward purchase agreements		—			(168	)
Net gain on investments		(51,019	)		(186,109	)
Change in fair value, amortization and impairment of mortgage servicing rights		32,876			30,285
Results of real estate acquired in settlement of loans		11,859			23,900
Share-based compensation expense		4,980			4,356
Purchases of mortgage loans acquired for sale at fair value from nonaffiliates		(35,922,418	)		(20,759,885	)
Purchases of mortgage loans acquired for sale at fair value from PennyMac Financial Services, Inc.		(13,708	)		(4,955	)
Repurchase of mortgage loans subject to representation and warranties		(14,873	)		(14,266	)
Sales and repayments of mortgage loans acquired for sale at fair value to nonaffiliates		10,593,309			8,548,903
Sales of mortgage loans acquired for sale to PennyMac Financial Services, Inc.		24,877,077			11,947,251
Increase in servicing advances		(16,930	)		(14,347	)
(Increase) decrease in due from PennyMac Financial Services, Inc.		(2,090	)		2,163
Increase in other assets		(14,891	)		(70,252	)
Increase in accounts payable and accrued liabilities		10,624			6,038
(Decrease) increase in payable to PennyMac Financial Services, Inc.		(6,487	)		3,076
(Decrease) increase in income taxes payable		(8,715	)		6,273
Net cash used in operating activities		(526,202	)		383,396
Cash flows from investing activities
Net decrease in short-term investments		108,382			54,946
Purchases of mortgage-backed securities at fair value		(62,224	)		(73,922	)
Repayments of mortgage-backed securities at fair value		52,520			9,830
Purchases of mortgage loans at fair value		(241,981	)		(283,017	)
Sales and repayments of mortgage loans at fair value		215,630			532,375
Repayments of mortgage loans under forward purchase agreements at fair value		—			6,413
Purchases of excess servicing spread from PennyMac Financial Services, Inc.		(271,452	)		(82,646	)
Repayments of excess servicing spread by PennyMac Financial Services, Inc.		55,800			25,280
Purchase of Federal Home Loan Bank capital stock		(7,330	)		—
Settlements of derivative financial instruments		(8,766	)		(7,879	)
Sale of mortgage loans at fair value to PennyMac Financial Services, Inc.		1,466			—
Purchase of real estate acquired in settlement of loans		—			(3,049	)
Sales of real estate acquired in settlement of loans		174,784			124,794
Sales of real estate acquired in settlement of loans under forward purchase agreements		—			5,365
Sale of mortgage servicing rights		392			137
Deposits of cash collateral to variable interest entities		(87,891	)		—
Decrease (increase) in margin deposits and restricted cash		1,438			(350	)
Net cash (used) provided by investing activities		(69,232	)		308,277

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

8

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)

	Nine months ended September 30,
	2015			2014
	(in thousands)
Cash flows from financing activities
Sales of assets under agreement to repurchase		38,669,898			26,109,117
Repurchases of assets sold under agreements to repurchase		(38,534,306	)		(25,732,035	)
Sales of mortgage loan participation certificates		3,613,090			—
Repayments of mortgage loan participation certificates		(3,572,232	)		—
Issuances of credit risk transfer financing		1,204,187			—
Repayments of credit risk transfer financing		(1,204,187	)		—
Federal Home Loan Bank advances		461,484			—
Repayments of Federal Home Loan Bank advances		(278,484	)		—
Advances under note payable		346,179			—
Repayments under note payable		(153,765	)		—
Advances under note payable to PennyMac Financial Services, Inc.		168,546			—
Repayments under note payable to PennyMac Financial Services, Inc.		(18,546	)		—
Repayments of borrowings under forward purchase agreements		—			(227,866	)
Issuances of asset-backed secured financing at fair value		85,206			—
Repayments of asset-backed secured financing at fair value		(15,590	)		(6,161	)
Payments of debt issuance cost and commitment fees		(8,436	)		—
Issuances of common shares		8			82,453
Repurchases of common shares		(15,955	)		—
Payments of common share underwriting and offering costs		—			(1,052	)
Payments of contingent underwriting fees payable		(705	)		(1,295	)
Payments of dividends		(138,041	)		(128,966	)
Net cash provided financing activities		608,351			94,195
Net increase in cash		12,917			19,076
Cash at beginning of period		76,386			27,411
Cash at end of period	$	89,303		$	46,487

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

9

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 mortgage 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 the 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 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 (“GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“ASC”) for interim financial information and with the Securities and Exchange Commission’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 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 fiscal year ended December 31, 2014.

The accompanying unaudited consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, income, and cash flows for the interim periods, but are not necessarily indicative of the results of operations that may be anticipated for the full year. Intercompany accounts and transactions have been eliminated.

Preparation of financial statements in compliance with GAAP requires the Manager to make estimates and judgments 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.

10

Reclassification of previously presented balances

In April of 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-03, Interest—Imputation of Interest (Subtopic 835-30): Simplifying the Presentation of Debt Issuance Costs (“ASU 2015-03”). The amendments in this ASU require that debt issuance costs related to a recognized debt liability be presented in the consolidated balance sheet as a direct deduction from the carrying amount of that debt liability. ASU 2015-03 specifies that its adoption be made on a retrospective basis. Accordingly, the Company has reclassified its debt issuance costs from Other assets as previously presented to Assets sold under agreements to repurchase, Mortgage loan participation and sale agreement and Exchangeable senior notes to conform its December 31, 2014 balance sheet to the current presentation. The adoption of ASU 2015-03 did not result in changes to the Company’s previously presented consolidated statements of income.

Following is a summary of the balance sheet reclassifications:

	December 31, 2014
	As reported		As previously reported		Reclassification
	(in thousands)
ASSETS
Other	$	59,155	$	66,193	$	(7,038	)
Total assets	$	4,897,258	$	4,904,296	$	(7,038	)
LIABILITIES
Assets sold under agreements to repurchase	$	2,729,027	$	2,730,130	$	(1,103	)
Mortgage loan participation and sale agreement	$	20,222	$	20,236	$	(14	)
Exchangeable senior notes	$	244,079	$	250,000	$	(5,921	)
Total liabilities	$	3,319,086	$	3,326,124	$	(7,038	)
Total liabilities and shareholders’ equity	$	4,897,258	$	4,904,296	$	(7,038	)

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. The mortgage loans at fair value not acquired for sale are generally 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 PLS’ 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 mortgage 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 mortgage 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.

11

A substantial portion of the distressed mortgage loans and REO purchased by the Company in prior years 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,
	2015		2014		2015		2014
	(in thousands)
Investment portfolio purchases:
Mortgage loans	$	—	$	—	$	241,981	$	284,403
REO		—		—		—		3,117
	$	—	$	—	$	241,981	$	287,520
Investment portfolio purchases above through one or more subsidiaries of Citigroup Inc.:
Mortgage loans	$	—	$	—	$	—	$	26,737
REO		—		—		—		68
	$	—	$	—	$	—	$	26,805

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

	September 30, 2015		December 31, 2014
	(in thousands)
Mortgage loans	$	879,990	$	943,163
REO		97,619		108,302
	$	977,609	$	1,051,465
Total holdings of mortgage loans and REO	$	2,991,293	$	3,030,180

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

	Quarter ended September 30, 2014		Nine months ended September 30, 2014
	(in thousands)
Statements of income:
Interest income	$	—	$	3,584
Interest expense	$	—	$	2,364
Net gain on investments	$	—	$	803
Net loan servicing fees	$	—	$	517
Results of REO	$	—	$	(473	)
Statements of cash flows:
Repayments of mortgage loans	$	—	$	6,413
Sales of REO	$	—	$	5,365
Repayments of borrowings under forward purchase agreements	$	—	$	(227,866	)

12

The Company had 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.

Note 3—Transactions with Related Parties

Correspondent Production Activities

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

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Fulfillment fees earned by PLS	$	17,553	$	15,497	$	45,752	$	36,832
Unpaid principal balance of loans fulfilled by PLS	$	4,073,201	$	3,677,613	$	10,542,411	$	8,588,955
Sourcing fees received from PLS	$	3,236	$	1,384	$	7,084	$	3,401
Unpaid principal balance of loans sold to PLS	$	10,783,882	$	4,609,947	$	23,602,020	$	11,332,898
Purchases of mortgage loans acquired for sale at fair value from PLS	$	2,880	$	2,970	$	13,708	$	4,955
Tax service fee to paid to PLS	$	1,291	$	703	$	3,293	$	1,753
At period end:
Mortgage loans included in mortgage loans acquired for sale pending sale to PLS	$	373,812	$	59,719

Mortgage Loan Servicing Activities

Following is a summary of mortgage loan servicing fees earned by PLS:

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Mortgage loans acquired for sale at fair value:
Base	$	130	$	28	$	198	$	74
Activity-based		153		35		243		112
		283		63		441		186
Mortgage loans at fair value:
Distressed mortgage loans
Base		3,896		4,662		12,053		14,549
Activity-based		2,961		4,076		8,948		16,208
		6,857		8,738		21,001		30,757
Mortgage loans held in VIE
Base		34		17		92		71
Activity-based		—		—		—		—
		34		17		92		71
MSRs:
Base		4,473		3,459		12,783		9,930
Activity-based		89		48		225		152
		4,562		3,507		13,008		10,082
	$	11,736	$	12,325	$	34,542	$	41,096
Average investment in:
Mortgage loans acquired for sale at fair value	$	1,783,011	$	732,287	$	1,189,754	$	530,861
Distressed mortgage loans	$	2,201,533	$	2,122,397	$	2,268,538	$	2,171,724
Mortgage loans held in a VIE	$	481,925	$	537,367	$	504,351	$	534,784
Average mortgage loan servicing portfolio	$	38,172,371	$	30,701,324	$	36,446,663	$	28,597,033

13

Investing and Financing Activities

Following is a summary of investing and financing activities between the Company and PFSI:

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
	(in thousands)
ESS:
Purchases	$	84,165		$	9,253		$	271,452		$	82,646
Recapture income recognized	$	2,428		$	2,143		$	5,173		$	6,558
Repayments	$	24,717		$	8,786		$	55,800		$	25,280
Interest income	$	8,026		$	3,577		$	17,596		$	9,578
Net gain (loss)	$	(10,272	)	$	(9,539	)	$	(10,675	)	$	(24,392	)
MSR recapture income recognized	$	670		$	—		$	670		$	9
Note payable:
Advances	$	97,474		$	—		$	168,546		$	—
Repayments	$	—		$	—		$	18,546		$	—
Interest expense	$	1,289		$	—		$	1,822		$	—

PLS is a party to a lending facility with a nonaffiliate lender pursuant to which it finances certain of its MSRs and servicing advance receivables. On April 30, 2015, PLS amended and restated the lending facility to increase the maximum loan amount to $407 million, $150 million of which is for the purpose of facilitating its financing of the related ESS by PennyMac Holdings, LLC (“PMH”), a wholly owned subsidiary of the Company.

In connection with the amendment to lending facility, PMH and PLS entered into an underlying loan and security agreement, dated as of April 30, 2015, pursuant to which PMH may borrow up to $150 million from PLS for the purpose of financing its purchase of ESS. The principal amount of the borrowings under the underlying loan and security agreement is based upon a percentage of the market value of the ESS pledged by PMH, subject to the $150 million sublimit described above. Pursuant to the underlying loan and security agreement, PMH granted to PLS a security interest in all of its right, title and interest in, to and under the ESS pledged to secure loans. The portion of the loan amount outstanding under the lending facility between PLS and the nonaffiliate lender and relating to advances for ESS outstanding with PMH under the underlying loan and security agreement was guaranteed in full by the Company.

PMH and PLS have agreed that PMH is required to repay PLS the principal amount of such borrowings plus accrued interest to the date of such repayment, and PLS is required to repay its lender the corresponding amount under the lending facility. Interest accrues under the underlying loan and security agreement at a rate based on the nonaffiliate lender’s cost of funds. PMH was also required to pay PLS a fee for the structuring of the underlying loan and security agreement in an amount equal to the portion of the corresponding fee paid by PLS to the nonaffiliate lender under the lending facility and allocable to the $150 million relating to the ESS financing.

In addition, in connection with its initial public offering of common shares on August 4, 2009 (“IPO”), the Company conditionally agreed to reimburse PCM up to $2.9 million for underwriting fees paid to the IPO underwriters by PCM on the Company’s behalf. During the quarter and nine months ended September 30, 2015, the Company reimbursed PCM $7,000 and $237,000, respectively, compared to $256,000 and $292,000 for the same periods in 2014.

Also in connection with its IPO, the Company agreed to pay the IPO underwriters up to $5.9 million in contingent underwriting fees. During the quarter and nine months ended September 30, 2015, the Company paid $14,000 and $473,000 to the underwriters, respectively, compared to $615,000 and $1.0 million for the same periods in 2014. At September 30, 2015 and December 31, 2014, $459,000 and $1.7 million, respectively, of contingent underwriting fees were included in accounts payable and accrued liabilities.

14

Other Transactions

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

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Base	$	5,742	$	6,033	$	17,181	$	17,392
Performance incentive		—		3,590		1,343		9,217
Total management fee incurred during the period	$	5,742	$	9,623	$	18,524	$	26,609

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

	Quarter ended September 30,					Nine months ended September 30,
	2015			2014		2015		2014
	(in thousands)
Reimbursement of:
Common overhead incurred by PCM and its affiliates (1)	$	2,694		$	2,912	$	8,125	$	8,181
Expenses incurred on the Company’s behalf		(85	)		122		377		671
	$	2,609		$	3,034	$	8,502	$	8,852
Payments and settlements during the period (2)	$	17,709		$	31,621	$	64,575	$	72,975

(1) For the quarter and nine months ended September 30, 2015, in accordance with the terms of the management agreement, PCM provided the Company discretionary waivers of $900,000 and $1.6 million, respectively, of overhead expenses that otherwise would have been allocable to the Company.

(2) 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, on the one hand, and PCM and PLS, on the other hand.

Amounts due to PCM and PLS are summarized below:

	September 30, 2015		December 31, 2014
	(in thousands)
Management fees	$	5,742	$	8,426
Allocated expenses		5,237		6,582
Fulfillment fees		3,031		506
Servicing fees		2,310		3,457
Conditional reimbursement		900		1,136
Unsettled purchases of ESS		—		3,836
	$	17,220	$	23,943

15

Amounts due from PCM and its affiliates totaled $9.1 million and $6.6 million at September 30, 2015 and December 31, 2014, respectively. At September 30, 2015 and December 31, 2015, the balance represents payments receivable relating to cash flows from the Company’s investment in ESS and amounts receivable relating to unsettled ESS and MSR recaptures.

PFSI, through a controlled subsidiary, held 75,000 of the Company’s common shares at both September 30, 2015 and December 31, 2014.

Note 4—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 by dividing net income, reduced by income attributable to the participating securities, 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 “Exchangeable 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,
	2015			2014			2015			2014
	(in thousands except per share amounts)
Basic earnings per share:
Net income		38,812		$	54,949		$	74,391		$	168,033
Effect of participating securities—share-based compensation awards		(361	)		(305	)		(1,352	)		(1,360	)
Net income attributable to common shareholders	$	38,451		$	54,644		$	73,039		$	166,673
Diluted earnings per share:
Net income attributable to common shareholders	$	38,451		$	54,949		$	73,039		$	168,033
Interest on Exchangeable Notes, net of income taxes		2,123			2,081			6,364			6,237
Net income attributable to diluted shareholders	$	40,574		$	57,030		$	79,403		$	174,270
Weighted-average basic shares outstanding		74,681			74,140			74,675			73,254
Potentially dilutive securities:
Shares issuable pursuant to exchange of the Exchangeable Notes		8,414			8,401			8,414			8,401
Shares issuable under share-based compensation plan		316			291			397			323
Diluted weighted-average number of shares outstanding		83,411			82,832			83,486			81,978
Basic earnings per share	$	0.51		$	0.74		$	0.98		$	2.28
Diluted earnings per share	$	0.49		$	0.69		$	0.95		$	2.13

Dividends and undistributed earnings allocated to participating securities under the basic and diluted earnings per share calculations require specific shares to be included or excluded that may differ in certain circumstances.

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 purposes. The Company has segregated its involvement with VIEs between those VIEs which the Company does not consolidate and those VIEs which the Company consolidates.

16

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 (“UPB”) information at period end:

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Cash flows:
Proceeds from sales	$	4,885,668	$	3,745,193	$	10,593,309	$	8,534,637
Servicing fees received (1)	$	25,054	$	17,797	$	69,876	$	52,704
Period end information:
Unpaid principal balance of:
Mortgage loans outstanding	$	39,786,376	$	32,134,609
Delinquent mortgage loans:
30-89 days delinquent	$	154,346	$	87,374
90 or more days delinquent
Not in foreclosure or bankruptcy		25,243		20,708
In foreclosure or bankruptcy		30,406		11,583
		55,649		32,291
	$	209,995	$	119,665

(1) Net of guarantee fees.

Consolidated VIEs

Credit Risk Transfer (“CRT”) Transactions

The Company, through its wholly-owned subsidiary, PennyMac Corp. (“PMC”), entered into CRT arrangements with Fannie Mae, pursuant to which PMC, through subsidiary trust entities, may sell pools of mortgage loans into Fannie Mae-guaranteed securitizations while retaining a portion of the credit risk underlying such mortgage loans (the “CRT Agreements”).

Transfers of mortgage loans subject to CRT Agreements receive sale accounting treatment upon fulfillment of the criteria for sale recognition contained in the Transfers and Servicing topic of the FASB’s ASC.

The Company retains a portion of the credit risk underlying such mortgage loans by issuing a credit guarantee to Fannie Mae in exchange for a portion of the guarantee fee normally charged by Fannie Mae for mortgage loan securitizations that it guarantees. The mortgage loans subject to the CRT Agreements are transferred by PMC to subsidiary trust entities which sell the mortgage loans into Fannie Mae mortgage loan securitizations and issue the credit guarantees to Fannie Mae.

The Manager has concluded that the Company’s subsidiary trust entities are VIEs. The Manager concluded that the Company is the primary beneficiary of the VIEs as it is the holder of the primary beneficial interests which absorb the variability of the trusts’ results of operations. Consolidation of the VIEs results in the inclusion on the Company’s consolidated balance sheet of the credit guarantees, including the cash pledged to fulfill the guarantee obligation, on the Company’s consolidated balance sheet in the form of a net derivative and the restricted cash deposited to secure the guarantee obligation. The restricted cash represents the Company’s maximum contractual exposure to claims under its credit guarantee and is the sole source of settlement of losses under the CRT Agreements. Gains and losses on net derivatives related to CRT Agreements are included in net gain on investments in the consolidated statements of income.

17

Following is a summary of the CRT Agreements:

	Quarter ended September 30,		Nine months ended September 30,
	2015		2015
	(in thousands)
During the period:
UPB of mortgage loans transferred and sold under CRT Agreements	$	1,660,280	$	2,400,433
Restricted cash deposited to fund guarantees	$	59,841	$	87,891
Gains recognized on net derivatives related to CRT Agreements
Realized	$	—	$	—
Resulting from valuation changes		626		626
	$	626	$	626
Payments made to settle losses	$	—	$	—
At period end:
UPB of mortgage loans subject to guarantee obligation	$	2,400,433
Delinquency
Current—89 days delinquent	$	2,400,433
90 or more days delinquent		—
	$	2,400,433
Carrying value of CRT Agreements:
Restricted cash included in Other assets	$	87,891
Net derivative assets included in Derivative assets		626
	$	88,517

Jumbo Mortgage Loan Financing

On September 30, 2013, the Company completed a securitization transaction in which a VIE issued $537.0 million in UPB of 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. During the quarter ended September 30, 2015, the Company sold an additional $85.2 million in certificates issued under PMT Loan Trust 2013-J1, thereby reducing the certificates retained by the Company to $238.8 million as of September 30, 2015.

The Manager 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 a 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 (“IRLCs”), mortgage loans acquired for sale at fair value, mortgage loans at fair value held in VIE, 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 and the net derivatives related to CRT Agreements. As of September 30, 2015 and December 31, 2014, the Company did not enter into reverse repurchase agreements or securities lending transactions that are required to be disclosed in the following tables.

18

Offsetting of Derivative Assets

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

	September 30, 2015								December 31, 2014
	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	$	—	$	—		$	—		$	374	$	—		$	374
MBS call options		—		—			—			—		—			—
Forward purchase contracts		22,985		—			22,985			3,775		—			3,775
Forward sale contracts		15		—			15			52		—			52
Put options on interest rate futures		693		—			693			193		—			193
Call options on interest rate futures		3,270		—			3,270			3,319		—			3,319
Treasury futures contracts		—		—			—			—		—			—
Netting		—		(19,892	)		(19,892	)		—		(2,284	)		(2,284	)
		26,963		(19,892	)		7,071			7,713		(2,284	)		5,429
Derivatives not subject to master netting arrangements:
Interest rate lock commitments		9,109		—			9,109			5,678		—			5,678
Net derivatives related to CRT Agreements		626		—			626			—		—			—
	$	36,698	$	(19,892	)	$	16,806		$	13,391	$	(2,284	)	$	11,107

19

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 qualifying for netting.

	September 30, 2015								December 31, 2014
	Net amount of assets presented in the consolidated balance sheet		Gross amounts not offset in the consolidated balance sheet						Net amount of assets presented in the consolidated balance sheet		Gross amounts not offset in the consolidated balance sheet
			Financial instruments		Cash collateral received		Net amount				Financial instruments		Cash collateral received		Net amount
	(in thousands)
Interest rate lock commitments	$	9,109	$	—	$	—	$	9,109	$	5,678	$	—	$	—	$	5,678
RJ O’Brien & Associates, LLC		3,112		—		—		3,112		3,034		—		—		3,034
Nomura Securities International, Inc		733		—		—		733		—		—		—		—
Fannie Mae Capital Markets		730		—		—		730		—		—		—		—
Jefferies Group, LLC		598		—		—		598		133		—		—		133
Deutsche Bank		572		—		—		572		124		—		—		124
Morgan Stanley Bank, N.A.		531		—		—		531		104		—		—		104
Bank of New York Mellon		403		—		—		403		—		—		—		—
JP Morgan Chase & Co.		313		—		—		313		—		—		—		—
Credit Suisse First Boston Mortgage Capital LLC		188		—		—		188		253		—		—		253
Goldman Sachs		186		—		—		186		—		—		—		—
Royal Bank of Canada		173		—		—		173		—		—		—		—
Daiwa Capital Markets		100		—		—		100		29		—		—		29
Bank of America, N.A.		—		—		—		—		738		—		—		738
Other		58		—		—		58		1,014		—		—		1,014
Total	$	16,806	$	—	$	—	$	16,806	$	11,107	$	—	$	—	$	11,107

20

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 setoff accounting.

	September 30, 2015									December 31, 2014
	Gross amounts of recognized liabilities in the consolidated balance sheet			Gross amounts offset in the consolidated balance sheet			Net amounts of liabilities presented in the consolidated balance sheet			Gross amounts of recognized liabilities in the consolidated balance sheet			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	$	6		$	—		$	6		$	34		$	—		$	34
Forward sales contracts		21,794			—			21,794			6,649			—			6,649
Treasury futures sales contracts		—			—			—			478			—			478
Netting		—			(19,316	)		(19,316	)		—			(4,748	)		(4,748	)
		21,800			(19,316	)		2,484			7,161			(4,748	)		2,413
Derivatives not subject to master netting arrangements:
Interest rate lock commitments		302			—			302			17			—			17
		22,102			(19,316	)		2,786			7,178			(4,748	)		2,430
Assets sold under agreements to repurchase		2,865,722			—			2,865,722			2,730,130			—			2,730,130
Unamortized commitment fees and issuance cost		(1,690	)		—			(1,690	)		(1,103	)		—			(1,103	)
		2,864,032			—			2,864,032			2,729,027			—			2,729,027
	$	2,886,134		$	(19,316	)	$	2,866,818		$	2,736,205		$	(4,748	)	$	2,731,457

21

Derivative Liabilities, Financial Liabilities and Collateral Pledged 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 qualifying 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, 2015										December 31, 2014
				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 (1)			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	$	302		$	—		$	—	$	302	$	17		$	—		$	—	$	17
Morgan Stanley Bank, N.A.		163,104			(163,104	)		—		—		121,975			(121,975	)		—		—
Credit Suisse First Boston Mortgage Capital LLC		861,527			(861,527	)		—		—		966,155			(966,155	)		—		—
Citibank		843,743			(843,743	)		—		—		797,851			(797,663	)		—		188
JPMorgan Chase & Co.		446,348			(446,348	)		—		—		—			—			—		—
Bank of America, N.A.		403,193			(402,917	)		—		276		508,908			(508,908	)		—		—
Daiwa Capital Markets		148,083			(148,083	)		—		—		126,909			(126,909	)		—		—
RBS Securities		—			—			—		—		208,520			(208,520	)		—		—
Other		2,208			—			—		2,208		2,225			—			—		2,225
Unamortized commitment fees and issuance cost		(1,690	)		1,690			—		—		(1,103	)		1,103			—		—
Total	$	2,866,818		$	(2,864,032	)	$	—	$	2,786	$	2,731,457		$	(2,729,027	)	$	—	$	2,430

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 the Manager has elected to carry the item at its fair value as discussed in the following paragraphs.

Fair Value Accounting Elections

The Manager identified all of the Company’s 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. The Manager 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.

The Manager has also identified the Company’s CRT financing and 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 mortgage loans at fair value collateralizing these financings.

The Company’s subsequent accounting for MSRs is based on the class of MSRs. Originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5% are accounted for using the amortization method. Originated MSRs backed by loans with initial interest rates of more than 4.5% are accounted for at fair value with changes in fair value recorded in current period income.

For assets sold under agreements to repurchase, borrowings under forward purchase agreements and the Exchangeable Notes, the Manager 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 availability of the debt.

22

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, 2015
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	31,518	$	—	$	—	$	31,518
Mortgage-backed securities at fair value		—		315,599		—		315,599
Mortgage loans acquired for sale at fair value		—		1,050,296		—		1,050,296
Mortgage loans at fair value		—		477,271		2,160,459		2,637,730
Excess servicing spread purchased from PFSI		—		—		418,573		418,573
Derivative assets:
Interest rate lock commitments		—		—		9,109		9,109
Forward purchase contracts		—		22,985		—		22,985
Forward sales contracts		—		15		—		15
Net derivatives related to CRT Agreements		—		—		626		626
Put options on interest rate futures		693		—		—		693
Call options on interest rate futures		3,270		—		—		3,270
Total derivative assets before netting before netting		3,963		23,000		9,735		36,698
Netting (1)		—		—		—		(19,892	)
Total derivative assets after netting		3,963		23,000		9,735		16,806
Mortgage servicing rights at fair value		—		—		57,751		57,751
	$	35,481	$	1,866,166	$	2,646,518	$	4,528,273
Liabilities:
Asset-backed secured financing of a variable interest entity at fair value		—		234,287		—		234,287
Derivative liabilities:
Interest rate lock commitments		—		—		302		302
Forward purchase contracts		—		6		—		6
Forward sales contracts		—		21,794		—		21,794
Total derivative liabilities before netting		—		21,800		302		22,102
Netting (1)		—		—		—		(19,316	)
Total derivative liabilities after netting		—		21,800		302		2,786
	$	—	$	256,087	$	302	$	237,073

(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.

23

	December 31, 2014
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	139,900	$	—	$	—	$	139,900
Mortgage-backed securities at fair value		—		307,363		—		307,363
Mortgage loans acquired for sale at fair value		—		637,722		—		637,722
Mortgage loans at fair value		—		527,369		2,199,583		2,726,952
Excess servicing spread purchased from PFSI		—		—		191,166		191,166
Derivative assets:
Interest rate lock commitments		—		—		5,678		5,678
MBS put options		—		374		—		374
Forward purchase contracts		—		3,775		—		3,775
Forward sales contracts		—		52		—		52
Put options on interest rate futures		193		—		—		193
Call options on interest rate futures		3,319		—		—		3,319
Total derivative assets		3,512		4,201		5,678		13,391
Netting (1)		—		—		—		(2,284	)
Total derivative assets after netting		3,512		4,201		5,678		11,107
Mortgage servicing rights at fair value		—		—		57,358		57,358
	$	143,412	$	1,476,655	$	2,453,785	$	4,071,568
Liabilities:
Asset-backed secured financing of a variable interest entity at fair value	$	—	$	165,920	$	—	$	165,920
Derivative liabilities:
Interest rate lock commitments		—		—		17		17
MBS call options		478		—		—		478
Forward purchase contracts		—		34		—		34
Forward sales contracts		—		6,649		—		6,649
Total derivative liabilities		478		6,683		17		7,178
Netting (1)		—		—		—		(4,748	)
Total derivative liabilities		478		6,683		17		2,430
Total liabilities	$	478	$	172,603	$	17	$	168,350

(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.

24

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

	Quarter ended September 30, 2015
	Mortgage loans at fair value			Excess servicing spread			Interest rate lock commitments (1)			Net derivatives related to CRT Agreements		Mortgage servicing rights			Total
	(in thousands)
Assets:
Balance, June 30, 2015	$	2,246,944		$	359,102		$	(267	)	$	—	$	57,343		$	2,663,122
Purchases		—			84,165			—			—		—			84,165
Repayments and sales		(57,022	)		(24,717	)		—			—		—			(81,739	)
Capitalization of interest		14,849			8,026			—			—		—			22,875
ESS received pursuant to a recapture agreement with PFSI		—			2,268			—			—		—			2,268
Interest rate lock commitments issued, net		—			—			11,834			—		—			11,834
Servicing received as proceeds from sales of mortgage loans													5,674			5,674
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		9,255			—			—			—		—			9,255
Other factors		22,638			(10,271	)		16,458			626		(5,266	)		24,185
		31,893			(10,271	)		16,458			626		(5,266	)		33,440
Transfers of mortgage loans to REO		(76,205	)		—			—			—		—			(76,205	)
Transfers of interest rate lock commitments to mortgage loans acquired for sale		—			—			(19,218	)		—		—			(19,218	)
Balance, September 30, 2015	$	2,160,459		$	418,573		$	8,807		$	626	$	57,751		$	2,646,216
Changes in fair value recognized during the period relating to assets still held at September 30, 2015	$	32,971		$	(10,271	)	$	8,807		$	626	$	(5,266	)	$	26,867

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

	Quarter ended September 30, 2014
	Mortgage loans at fair value			Excess servicing spread			Net 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	)
Capitalization of interest		10,451			3,577			—			—			14,028
ESS received pursuant to a recapture agreement with PFSI		—			2,619			—			—			2,619
Interest rate lock commitments issued, net		—			—			14,046			—			14,046
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		—			—			(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.

25

	Nine months ended September 30, 2015
	Mortgage loans at fair value			Excess servicing spread			Interest rate lock commitments (1)			Net derivatives related to CRT Agreements		Mortgage servicing rights			Total
	(in thousands)
Assets:
Balance, December 31, 2014	$	2,199,583		$	191,166		$	5,661		$	—	$	57,358		$	2,453,768
Purchases		241,981			271,452			—			—		—			513,433
Repayments and sales		(171,093	)		(55,800	)		—			—		—			(226,893	)
Capitalization of interest		34,979			17,596			—			—		—			52,575
ESS received pursuant to a recapture agreement with PFSI		—			4,833			—			—		—			4,833
Interest rate lock commitments issued, net		—			—			42,917			—		—			42,917
Servicing received as proceeds from sales of mortgage loans		—			—			—			—		9,169			9,169
Charges in fair value included in income arising from:
Changes in instrument-specific credit risk		29,563			—			—			—		—			29,563
Other factors		49,584			(10,674	)		(6,941	)		626		(8,776	)		23,819
		79,147			(10,674	)		(6,941	)		626		(8,776	)		53,382
Transfers of mortgage loans to REO		(224,138	)		—			—			—		—			(224,138	)
Transfers of interest rate lock commitments to mortgage loans acquired for sale		—			—			(32,830	)		—		—			(32,830	)
Balance, September 30, 2015	$	2,160,459		$	418,573		$	8,807		$	626	$	57,751		$	2,646,216
Changes in fair value recognized during the period relating to assets still held at September 30, 2015	$	80,885		$	(10,674	)	$	8,807		$	626	$	(8,776	)	$	70,868

(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			Net 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	)
Capitalization of interest		39,005			1,800			9,578			—			—			50,383
ESS received pursuant to a recapture agreement with PFSI		—			—			6,093			—			—			6,093
Interest rate lock commitments issued, net		—			—			—			45,800			—			45,800
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 purpose of this table, the interest rate lock asset and liability positions are shown net.

26

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 held in a consolidated VIE):

	September 30, 2015
	Fair value		Principal amount due upon maturity		Difference
	(in thousands)
Mortgage loans acquired for sale at fair value:
Current through 89 days delinquent	$	1,050,006	$	1,003,249	$	46,757
90 or more days delinquent (1)
Not in foreclosure		85		116		(31	)
In foreclosure		205		254		(49	)
		290		370		(80	)
	$	1,050,296	$	1,003,619	$	46,677
Mortgage loans at fair value:
Mortgage loans held in a consolidated VIE:
Current through 89 days delinquent	$	477,271	$	471,496	$	5,775
90 or more days delinquent (1)
Not in foreclosure		—		—		—
In foreclosure		—		—		—
		—		—		—
		477,271		471,496		5,775
Other mortgage loans at fair value:
Current through 89 days delinquent		801,018		1,049,502		(248,484	)
90 or more days delinquent (1)
Not in foreclosure		533,070		739,183		(206,113	)
In foreclosure		826,371		1,149,326		(322,955	)
		1,359,441		1,888,509		(529,068	)
		2,160,459		2,938,011		(777,552	)
	$	2,637,730	$	3,409,507	$	(771,777	)

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

27

	December 31, 2014
	Fair value		Principal amount due upon maturity		Difference
	(in thousands)
Mortgage loans acquired for sale:
Current through 89 days delinquent	$	637,518	$	610,372	$	27,146
90 or more days delinquent (1)
Not in foreclosure		204		255		(51	)
In foreclosure		—		—		—
		204		255		(51	)
	$	637,722	$	610,627	$	27,095
Mortgage loans at fair value:
Mortgage loans held in a consolidated VIE:
Current through 89 days delinquent	$	527,369	$	517,500	$	9,869
90 or more days delinquent (1)
Not in foreclosure		—		—		—
In foreclosure		—		—		—
		—		—		—
		527,369		517,500		9,869
Other mortgage loans at fair value:
Current through 89 days delinquent		664,266		935,385		(271,119	)
90 or more days delinquent (1)
Not in foreclosure		608,144		875,214		(267,070	)
In foreclosure		927,173		1,371,371		(444,198	)
		1,535,317		2,246,585		(711,268	)
		2,726,952		3,699,470		(972,518	)
	$	3,364,674	$	4,310,097	$	(945,423	)

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

28

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, 2015
	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		—		91			3,564			—			3,655
Mortgage loans acquired for sale at fair value		39,504		—			—			—			39,504
Mortgage loans at fair value		—		1,024			39,273			—			40,297
Excess servicing spread at fair value		—		—			(7,844	)		—			(7,844	)
Mortgage servicing rights at fair value		—		—			—			(5,266	)		(5,266	)
	$	39,504	$	1,115		$	34,993		$	(5,266	)	$	70,346
Liabilities:
Asset-backed secured financing at fair value		—		(351	)		(3,940	)		—			(4,291	)
	$	—	$	(351	)	$	(3,940	)	$	—		$	(4,291	)

	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
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

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	Nine months ended September 30, 2015
	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		—		155			(1,622	)		—			(1,467	)
Mortgage loans acquired for sale at fair value		57,568		—			—			—			57,568
Mortgage loans at fair value		—		1,203			76,249			—			77,452
Excess servicing spread at fair value		—		—			(5,502	)		—			(5,502	)
Mortgage servicing rights at fair value		—		—			—			(8,776	)		(8,776	)
	$	57,568	$	1,358		$	69,125		$	(8,776	)	$	119,275
Liabilities:
Asset-backed secured financing at fair value		—		(474	)		(719	)		—			(1,193	)
	$	—	$	(474	)	$	(719	)	$	—		$	(1,193	)

	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	)

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Financial Statement Items Measured at Fair Value on a Nonrecurring Basis

Following is a summary of financial statement items that were re-measured at fair value on a nonrecurring basis during the periods presented:

	September 30, 2015
	Level 1		Level 2		Level 3		Total
	(in thousands)
Real estate asset acquired in settlement of loans	$	—	$	—	$	145,815	$	145,815
Mortgage servicing rights at lower of amortized cost or fair value		—		—		125,952		125,952
	$	—	$	—	$	271,767	$	271,767

	December 31, 2014
	Level 1		Level 2		Level 3		Total
	(in thousands)
Real estate asset acquired in settlement of loans	$	—	$	—	$	157,203	$	157,203
Mortgage servicing rights at lower of amortized cost or fair value		—		—		91,990		91,990
	$	—	$	—	$	249,193	$	249,193

The following table summarizes the fair value changes recognized during the period on assets held at period end that were measured at fair value on a nonrecurring basis:

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
	(in thousands)
Real estate asset acquired in settlement of loans	$	(8,182	)	$	(14,242	)	$	(18,308	)	$	(24,027	)
Mortgage servicing rights at lower of amortized cost or fair value		(7,845	)		602			(7,142	)		(2,249	)
	$	(16,027	)	$	(13,640	)	$	(25,450	)	$	(26,276	)

Real Estate Acquired in Settlement of Loans

The Company evaluates its REO for impairment with reference to the respective properties’ fair values less cost to sell on a nonrecurring basis. The initial carrying value of the REO is measured at 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 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 Company’s 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 asset’s 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, those MSRs are impaired.

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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.

The Manager 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 the Manager 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. Cash is measured using “Level 1” inputs. The Company’s assets sold under agreements to repurchase and mortgage loan participation and sale agreement are classified as “Level 3” financial statement instruments as of September 30, 2015 due to the lack of current market activity and the Company’s reliance on unobservable inputs to estimate these instruments’ fair values.

The Manager has concluded that the fair values of Cash, Assets sold under agreements to repurchase and Mortgage loan participation and sale agreement approximate the agreements’ carrying values due to the immediate realizability of cash at their carrying amounts and to the borrowing agreements’ short terms and variable interest rates.

The Exchangeable Notes are carried at amortized cost. The fair value of the Exchangeable Notes at September 30, 2015 and December 31, 2014 was $225.0 million and $239.0 million, respectively. The fair value of the Exchangeable Notes is estimated using a broker indication of value. The Company has classified the Exchangeable Notes as “Level 3” financial statement items as of September 30, 2015 due to the lack of current market activity.

Valuation Techniques and Inputs

Most of the Company’s assets and asset-backed financing of a VIE are carried at fair value with changes in fair value recognized in current period income. A substantial portion of these items are “Level 3” financial statement items which require the use of unobservable inputs that are significant to the estimation of the items’ fair values. Unobservable inputs reflect the Company’s own judgments 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 values of “Level 3” financial statement items, the Manager has assigned the responsibility for estimating fair value of these items to specialized staff and subjects the valuation process to significant executive management oversight. The Manager’s Financial Analysis and Valuation group (the “FAV group”) is responsible for estimating the fair values of “Level 3” financial statement items other than IRLCs and maintaining its valuation policies and procedures.

With respect to the Level 3 valuations, the FAV group reports to the Manager’s senior management valuation committee, which oversees and approves the valuations. 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 the Manager’s senior management valuation committee. The Manager’s senior management valuation committee includes PFSI’s chief executive, financial, operating, risk and asset/liability management officers.

The FAV group is responsible for reporting to the Manager’s senior management valuation committee on a monthly basis on the changes in the valuation of the financial statement items, including major factors affecting the valuation and any changes in model methods and inputs. To assess the reasonableness of its valuations, the FAV group presents an analysis of the effect on the valuation of changes to the significant inputs to the models.

With respect to IRLCs, the Manager has assigned responsibility for developing fair values to its capital markets risk management staff. The fair values developed by the capital markets risk management staff are submitted to the Manager’s senior management secondary marketing working group. The Manager’s secondary marketing working group includes PFSI’s chief executive, operating, institutional mortgage banking, capital markets, asset/liability, portfolio risk, and capital markets operations officers.

The following is a description of the techniques and inputs used in estimating the fair values of “Level 2” and “Level 3” financial statement items:

Mortgage-Backed Securities

The Company’s MBS include Agency and senior non-agency MBS. The Company categorized its current holdings of MBS as “Level 2” financial statement items. Fair value of Agency and senior non-Agency MBS is established based on quoted market prices for the Company’s MBS or similar securities.

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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. The Company obtains indications of fair value from nonaffiliated brokers based on comparable securities and validates the brokers’ indications of fair value using pricing models and inputs the Manager believes are similar to the models and inputs used by other market participants.

• 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 mortgage loans’ 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 the Manager’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 and history 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 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:

	Range
	(Weighted average)
Key inputs	September 30, 2015	December 31, 2014
Discount rate
Range	2.5% – 15.0%	2.3% – 15.0%
Weighted average	6.9%	7.7%
Twelve-month projected housing price index change
Range	2.0% – 4.3%	4.0% – 5.3%
Weighted average	3.9%	4.8%
Prepayment speed (1)
Range	0.1% – 4.6%	0.0% – 6.5%
Weighted average	3.6%	3.1%
Total prepayment speed (2)
Range	3.6% – 27.3%	0.0% – 27.9%
Weighted average	20.5%	21.6%

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

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

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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 mortgage 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 on the Company’s consolidated statements of income. Changes to other inputs result in a change to fair value that is recognized in Net gain (loss) on investments on the Company’s consolidated statements of income.

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

	Range
	(Weighted average)
Key inputs	September 30, 2015	December 31, 2014
Unpaid principal balance of underlying mortgage loans (in thousands)	$54,189,421	$28,227,340
Average servicing fee rate (in basis points)	32	31
Average ESS rate (in basis points)	17	16
Pricing spread (1)
Range	4.8% – 6.5%	1.7% – 12.0%
Weighted average	5.7%	5.3%
Life (in years)
Range	1.5 – 8.9	0.4 – 7.3
Weighted average	6.7	5.8
Annual total prepayment speed (2)
Range	5.5% – 50.3%	7.6% – 74.6%
Weighted average	10.4%	11.2%

(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 categorizes IRLCs as a “Level 3” financial statement item. 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 mortgage 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 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 or the MSR component of the IRLCs, in isolation, may result in a significant change in fair value. The financial effects of changes in these inputs 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 mortgage loans whose payments cash flows have decreased in fair value.

34

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

	Range
	(Weighted average)
Key inputs	September 30, 2015	December 31, 2014
Pull-through rate
Range	44.8% – 99.9%	65.0% – 98.0%
Weighted average	88.6%	94.9%
MSR value expressed as:
Servicing fee multiple
Range	1.9 – 6.0	0.7 – 5.2
Weighted average	4.5	4.3
Percentage of unpaid principal balance
Range	0.5% – 3.7%	0.2% – 1.3%
Weighted average	1.2%	1.1%

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 uses as hedging derivatives based on observed interest rate volatilities in the MBS market. These derivative financial instruments are categorized by the Company as “Level 2” financial statement items.

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 fair value from a broker’s price opinion or a full appraisal, or the price given in a current contract of sale.

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

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 mortgage 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.

35

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

	Quarter ended September 30,
	2015				2014
Key inputs	Amortized cost		Fair value		Amortized cost		Fair value
	(MSR recognized and unpaid principal balance of underlying loan amounts in thousands)
MSR recognized	$	47,140	$	5,674	$	26,802	$	12,812
Unpaid principal balance of underlying mortgage loans	$	3,512,016	$	578,894	$	2,423,013	$	1,234,028
Weighted-average annual servicing fee rate (in basis points)		25		25		25		25
Pricing spread (1)
Range		6.5% – 13.0%		7.2% – 14.3%		6.5% – 17.5%		8.8% – 13.5%
Weighted average		7.8%		8.4%		8.5%		9.1%
Life (in years)
Range		2.0 – 7.4		2.3 – 7.2		1.4 – 7.3		2.8 – 7.3
Weighted average		6.8		6.6		6.6		7.1
Annual total prepayment speed (2)
Range		7.6% – 37.6%		8.4% – 22.4%		7.6% – 48.8%		8.0% – 30.4%
Weighted average		9.2%		11.9%		9.2%		9.7%
Annual per-loan cost of servicing
Range		$62 – $68		$62 – $68		$68 – $140		$68 – $140
Weighted average		$65		$65		$70		$70

	Nine months ended September 30,
	2015				2014
Key inputs	Amortized cost		Fair value		Amortized cost		Fair value
	(MSR recognized and unpaid principal balance of underlying loan amounts in thousands)
MSR recognized	$	103,281	$	9,169	$	49,276	$	39,954
Unpaid principal balance of underlying mortgage loans	$	9,140,782	$	978,951	$	4,518,100	$	3,784,142
Weighted-average annual servicing fee rate (in basis points)		25		25		25		25
Pricing spread (1)
Range		6.5% – 17.5%		7.2% – 16.3%		6.3% – 17.5%		8.5% – 13.5%
Weighted average		8.1%		9.2%		8.5%		9.1%
Life (in years)
Range		1.3 – 7.7		2.3 – 7.3		1.1 – 7.3		2.8 – 7.3
Weighted average		6.7		6.5		6.3		7.1
Annual total prepayment speed (2)
Range		7.6% – 51.0%		8.3% – 34.2%		7.6% – 56.4%		8.0% – 30.4%
Weighted average		8.9%		12.1%		9.7%		9.5%
Annual per-loan cost of servicing
Range		$62 – $134		$62 – $68		$68 – $140		$68 – $140
Weighted average		$63		$64		$69		$69

(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.

36

(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 inputs:

	September 30, 2015						December 31, 2014
	Amortized cost			Fair value			Amortized cost			Fair value
	(Carrying value, unpaid principal balance and effect on fair value amounts in thousands)
Carrying value	$	365,344		$	57,751		$	300,422		$	57,358
Key inputs:
Unpaid principal balance of underlying mortgage loans	$	33,834,143		$	6,061,654		$	28,006,797		$	6,278,676
Weighted-average annual servicing fee rate (in basis points)		26			25			26			25
Weighted-average note interest rate		3.84	%		4.77	%		3.80	%		4.78	%
Pricing spread (1) (2)
Range		7.2% – 10.7%			7.2% – 10.7%			6.3% – 17.5%			8.1% – 16.3%
Weighted average		7.2%			7.2%			7.9%			10.3%
Effect on fair value of a:
5% adverse change	$	(5,826	)	$	(813	)	$	(5,801	)	$	(937	)
10% adverse change	$	(11,484	)	$	(1,602	)	$	(11,410	)	$	(1,845	)
20% adverse change	$	(22,318	)	$	(3,117	)	$	(22,086	)	$	(3,577	)
Weighted average life (in years)
Range		1.3 – 7.4			1.9 – 5.6			1.8 – 7.2			1.8 – 7.2
Weighted average		6.9			5.6			6.4			6.7
Prepayment speed (1) (3)
Range		8.6% – 54.2%			14.3% – 38.5%			7.8% – 47.9%			8.0% – 39.6%
Weighted average		10.2%			14.6%			8.8%			11.4%
Effect on fair value of a:
5% adverse change	$	(8,064	)	$	(1,751	)	$	(6,166	)	$	(1,430	)
10% adverse change	$	(15,826	)	$	(3,416	)	$	(12,138	)	$	(2,803	)
20% adverse change	$	(30,511	)	$	(6,508	)	$	(23,532	)	$	(5,394	)
Annual per-loan cost of servicing
Range		$68 – $68			$68 – $68			$62 – $134			$62 – $134
Weighted average		$68			$68			$62			$62
Effect on fair value of a:
5% adverse change	$	(2,512	)	$	(412	)	$	(1,807	)	$	(334	)
10% adverse change	$	(5,024	)	$	(824	)	$	(3,614	)	$	(668	)
20% adverse change	$	(10,047	)	$	(1,648	)	$	(7,228	)	$	(1,337	)

(1) The effect on fair 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.

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

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Securities Sold Under Agreements to Repurchase

Fair value of securities sold under agreements to repurchase is based on the accrued cost of the agreements, which approximates the fair values of the agreements, due to the short maturities of such agreements.

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, 2015				December 31, 2014
Loan type	Fair value		Unpaid principal balance		Fair value		Unpaid principal balance
	(in thousands)
Conventional:
Agency-eligible	$	601,394	$	575,458	$	287,300	$	274,650
Jumbo		69,157		67,544		137,440		134,079
Held for sale to PennyMac Loan Services, LLC—Government insured or guaranteed		373,812		354,529		209,325		198,265
Commercial real estate loan		1,851		1,798		—		—
Mortgage loans repurchased pursuant to representations and warranties		4,082		4,291		3,657		3,634
	$	1,050,296	$	1,003,620	$	637,722	$	610,628
Mortgage loans pledged to secure:
Assets sold under agreements to repurchase	$	903,806			$	609,608
Mortgage loan participation and sale agreements	$	63,162			$	20,862
Federal Home Loan Bank (“FHLB”) advances	$	68,937			$	—

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 UPB plus interest earned during the period it holds each such mortgage 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, MSRs, ESS, mortgage loans held by VIE, asset backed financing, 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. The Company is exposed to loss 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 fair value of its MSRs when interest rates decrease. The Company includes MSRs in its hedging activities.

The Company uses Eurodollar futures, which settle daily, with the intention of moderating the risk of changing 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 has entered into CRT Agreements whereby it retains a portion of the credit risk relating to mortgage loans it sells into Fannie Mae-guaranteed securitizations. These investments are accounted for as derivative financial instruments. The Company’s remaining derivative financial instrument transactions, except for IRLCs, are in support of its risk management activities. IRLCs are generated in the normal course of business when the Company commits to purchase mortgage loans acquired for sale.

38

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, 2015								December 31, 2014
			Fair value								Fair value
Instrument	Notional amount		Derivative assets			Derivative liabilities			Notional amount		Derivative assets			Derivative liabilities
	(in thousands)
Derivatives not designated as hedging instruments:
Free-standing derivatives:
Interest rate lock commitments		1,163,415	$	9,109		$	302			695,488	$	5,678		$	17
Forward sales contracts		3,410,839		15			21,794			1,601,282		52			6,649
Forward purchase contracts		3,282,364		22,985			6			1,100,700		3,775			34
MBS put options		450,000		—			—			340,000		374			—
MBS call options		—		—			—			—		—			—
Eurodollar future sales contracts		1,756,000		—			—			7,426,000		—			—
Eurodollar future purchase contracts		—		—			—			800,000		—			—
Treasury future contracts		—		—			—			85,000		—			478
Call options on interest rate futures		1,555,000		3,270			—			1,030,000		3,319			—
Put options on interest rate futures		1,625,000		693			—			275,000		193			—
Net derivative related to CRT transactions		2,400,433		626			—			—		—			—
Total derivative instruments before netting				36,698			22,102					13,391			7,178
Netting				(19,892	)		(19,316	)				(2,284	)		(4,748	)
			$	16,806		$	2,786				$	11,107		$	2,430

The following tables summarize the notional amount activity for derivative arising from CRT Agreements and derivative contracts used to hedge the Company’s IRLCs, inventory of mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS.

	Quarter ended September 30, 2015
Instrument	Balance, beginning of period		Additions		Dispositions/ expirations			Balance, end of period
	(in thousands)
Forward sales contracts		3,252,286		15,003,760		(14,845,207	)		3,410,839
Forward purchase contracts		2,263,622		10,938,733		(9,919,991	)		3,282,364
MBS put options		367,500		700,000		(617,500	)		450,000
MBS call options		40,000		—		(40,000	)		—
Eurodollar future sale contracts		5,984,000		—		(4,228,000	)		1,756,000
Treasury future contracts		40,000		—		(40,000	)		—
Call option on interest rate futures		1,135,000		1,805,000		(1,385,000	)		1,555,000
Put options on interest rate futures		1,273,000		1,650,000		(1,298,000	)		1,625,000
Net derivative related to CRT transactions		—		2,400,433		—			2,400,433

39

	Quarter ended September 30, 2014
Instrument	Balance, beginning of period		Additions		Dispositions/ expirations			Balance, end of period
	(in thousands)
Forward purchase contracts		3,058,604		8,216,022		(9,364,487	)		1,910,139
Forward sales contracts		4,185,633		11,670,826		(13,080,210	)		2,776,249
MBS put option		392,500		640,000		(467,500	)		565,000
MBS call option		95,000		75,000		(120,000	)		50,000
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		154,500		(154,500	)		85,000
Treasury future purchase contracts		—		138,300		(138,300	)		—
Put options on interest rate futures		125,000		490,500		(395,500	)		220,000
Call options on interest rate futures		230,000		580,000		(455,000	)		355,000

	Nine months ended September 30, 2015
Instrument	Balance, beginning of period		Additions		Dispositions/ expirations			Balance, end of period
	(in thousands)
Forward sales contracts		1,601,283		38,880,821		(37,071,265	)		3,410,839
Forward purchase contracts		1,100,700		27,871,913		(25,690,249	)		3,282,364
MBS put options		340,000		1,692,500		(1,582,500	)		450,000
MBS call options		—		140,000		(140,000	)		—
Eurodollar future sale contracts		7,426,000		285,000		(5,955,000	)		1,756,000
Eurodollar future purchase contracts		800,000		—		(800,000	)		—
Treasury future contracts		85,000		161,500		(246,500	)		—
Call options on interest rate futures		1,030,000		4,080,000		(3,555,000	)		1,555,000
Put options on interest rate futures		275,000		4,318,000		(2,968,000	)		1,625,000
Net derivative related to CRT transactions		—		2,400,433		—			2,400,433

	Nine months ended September 30, 2014
Instrument	Balance, beginning of period		Additions		Dispositions/ expirations			Balance, end of period
	(in thousands)
Forward purchase contracts		2,781,066		26,650,920		(27,521,847	)		1,910,139
Forward sales contracts		3,588,027		35,657,347		(36,469,125	)		2,776,249
MBS put option		55,000		1,482,500		(972,500	)		565,000
MBS call option		110,000		230,000		(290,000	)		50,000
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		375,300		(395,300	)		85,000
Treasury future purchase contracts		—		331,900		(331,900	)		—
Put options on interest rate futures		52,500		1,052,500		(885,000	)		220,000
Call options on interest rate futures		—		960,000		(605,000	)		355,000

40

Following are the net gains (losses) recognized by the Company on derivative financial instruments and the income statement line items where such gains and losses are included:

Hedged Item	Income Statement Line	Quarter ended September 30,						Nine months ended September 30,
		2015			2014			2015			2014
		(in thousands)
Interest rate lock commitments and mortgage loans acquired for sale	Net gain on mortgage loans acquired for sale	$	(33,652	)	$	(4,503	)	$	(23,198	)	$	(44,003	)
Mortgage servicing rights	Net loan servicing fees	$	19,061		$	(654	)	$	13,868		$	3,532
Fixed-rate assets and LIBOR—indexed repurchase agreements	Net gain on investments	$	(6,772	)	$	(807	)	$	(18,065	)	$	(14,609	)

41

Note 10—Mortgage Loans at Fair Value

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

	September 30, 2015				December 31, 2014
Loan type	Fair value		Unpaid principal balance		Fair value		Unpaid principal balance
	(in thousands)
Distressed mortgage loans:
Nonperforming mortgage loans	$	1,359,441	$	1,888,509	$	1,535,317	$	2,246,585
Performing mortgage loans:
Fixed interest rate		380,322		494,804		322,704		449,496
Adjustable-rate/hybrid		157,265		186,534		127,405		162,329
Interest rate step-up		263,270		367,958		213,999		323,350
Balloon		161		206		158		210
		801,018		1,049,502		664,266		935,385
Fixed interest rate jumbo mortgage loans held in a VIE		477,271		471,496		527,369		517,500
	$	2,637,730	$	3,409,507	$	2,726,952	$	3,699,470
Mortgage loans at fair value pledged to secure :
Assets sold under agreements to repurchase	$	2,390,784			$	2,543,242
FHLB advances	$	140,025			$	—
Asset-backed secured financing	$	477,271			$	527,369

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, 2015	December 31, 2014
	(percentages are at fair value)
Portion of mortgage loans originated between 2005 and 2007	73%	75%
Percentage of fair value of mortgage loans with unpaid-principal balance-to-current-property-value in excess of 100%	46%	55%
Percentage of mortgage loans secured by California real estate	22%	22%
Additional states contributing 5% or more of mortgage loans	New York New Jersey Florida	New York New Jersey Florida

42

Note 11—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,
	2015			2014			2015			2014
	(in thousands)
Balance at beginning of period	$	324,278		$	240,471		$	303,228		$	138,942
Purchases		—			—			—			3,049
Transfers from mortgage loans at fair value and servicing advances		82,405			94,530			240,483			268,677
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment		(2,212	)		—			(3,505	)		—
Transfers from REO under forward purchase agreements		—			—			—			12,737
Results of REO:
Valuation adjustments, net		(8,734	)		(15,639	)		(26,740	)		(32,912	)
Gain on sale, net		4,513			3,713			14,881			9,485
		(4,221	)		(11,926	)		(11,859	)		(23,427	)
Proceeds from sales		(46,687	)		(47,890	)		(174,784	)		(124,793	)
Balance at end of period	$	353,563		$	275,185		$	353,563		$	275,185
At period end:
REO pledged to secure assets sold under agreements to repurchase	$	280,045		$	56,702
REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties	$	—		$	19,858

Note 12—Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements

The Company held no real estate acquired in settlement of loans under forward purchase agreements during the quarter and nine months ended September 30, 2015. Following is a summary of the activity in REO under forward purchase agreements during the quarter and nine months ended September 30, 2014:

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

43

Note 13—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,
	2015			2014			2015			2014
	(in thousands)
Balance at beginning of period	$	57,343		$	46,802		$	57,358		$	26,452
MSRs resulting from mortgage loan sales		5,674			12,812			9,169			39,954
Changes in fair value:
Due to changes in valuation inputs or assumptions used in valuation model (1)		(3,418	)		(106	)		(3,525	)		(4,974	)
Other changes in fair value (2)		(1,848	)		(1,500	)		(5,251	)		(3,424	)
		(5,266	)		(1,606	)		(8,776	)		(8,398	)
Sales		—			(137	)		—			(137	)
Balance at end of period	$	57,751		$	57,871		$	57,751		$	57,871
MSRs pledged to secure note payable at end of period	$	57,751		$	—

(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,
	2015			2014			2015			2014
	(in thousands)
Amortized Cost:
Balance at beginning of period	$	344,405		$	274,110		$	308,137		$	266,697
MSRs resulting from loan sales		47,140			26,802			103,281			49,276
Amortization		(11,333	)		(8,109	)		(30,913	)		(23,170	)
Application of valuation allowance to write down MSRs with other-than temporary impairment		—			—			—			—
Sales		(12	)		—			(305	)		—
Balance at end of period		380,200			292,803			380,200			292,803
Valuation Allowance:
Balance at beginning of period		(7,011	)		(5,428	)		(7,714	)		(2,577	)
(Additions) reversals		(7,845	)		602			(7,142	)		(2,249	)
Application of valuation allowance to write down MSRs with other-than temporary impairment		—			—			—			—
Balance at end of period		(14,856	)		(4,826	)		(14,856	)		(4,826	)
MSRs, net	$	365,344		$	287,977		$	365,344		$	287,977
Fair value at beginning of period	$	362,908		$	289,226		$	322,230		$	289,737
Fair value at end of period	$	386,539		$	312,196
Carrying value of MSRs pledged to secure note payable	$	365,344		$	—

44

The following table summarizes the Company’s estimate of future amortization of its existing MSRs carried at amortized cost. This estimate was developed with the inputs used in the September 30, 2015 valuation of MSRs. The inputs 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.

Quarter ended September 30, 2015	Estimated MSR amortization
	(in thousands)
2015	$	49,227
2016		42,898
2017		37,642
2018		33,216
2019		29,421
Thereafter		187,796
Total	$	380,200

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

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Contractually-specified servicing fees	$	25,500	$	19,345	$	74,016	$	54,396

Note 14—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,
	2015			2014			2015			2014
	(dollars in thousands)
During the period:
Weighted-average interest rate (1)		2.30	%		2.13	%		2.27	%		2.18	%
Average balance	$	3,252,341		$	2,501,816		$	3,125,328		$	2,186,135
Total interest expense	$	21,350		$	15,814		$	60,470		$	43,496
Maximum daily amount outstanding	$	4,160,814		$	2,815,572		$	4,612,001		$	2,700,586
At period end:
Amount outstanding	$	2,865,722		$	2,416,686
Unamortized debt issuance costs		(1,690	)		(639	)
	$	2,864,032		$	2,416,047
Weighted-average interest rate		2.22	%		2.17	%
Available borrowing capacity:
Committed	$	510,109		$	578,969
Uncommitted		868,978			894,343
	$	1,379,087		$	1,473,312
Margin deposits placed with counterparties	$	7,230		$	8,210
Fair value of assets securing agreements to repurchase:
Mortgage-backed securities	$	306,638		$	262,378
Mortgage loans acquired for sale at fair value		903,806			609,608
Mortgage loans at fair value		2,390,784			2,273,768
Real estate acquired in settlement of loans		280,045			76,561
	$	3,881,273		$	3,222,315

(1) Excludes the effect of amortization of commitment fees and issuance costs of $2.2 million and $6.7 million for the quarter and nine months ended September 30, 2015 and $2.2 million and $7.4 million for the quarter and nine months ended September 30, 2014, respectively.

45

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

Remaining Maturity at September 30, 2015	Contractual balance
	(in thousands)
Within 30 days	$	1,521,695
Over 30 to 90 days		413,728
Over 90 days to 180 days		252,357
Over 180 days to 1 year		290,986
Over 1 year to 2 year		386,956
	$	2,865,722
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 fair 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, 2015:

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)
Citibank, N.A.	$	366,115	October 22, 2015	October 22, 2015
Credit Suisse First Boston Mortgage Capital LLC	$	317,292	October 30, 2015	October 30, 2015
JPMorgan Chase & Co.	$	160,224	—	January 26, 2017
Bank of America, N.A.	$	31,157	December 19, 2015	January 29, 2016
Morgan Stanley	$	10,905	November 17, 2015	December 17, 2015

Securities sold under agreements to repurchase

Counterparty	Amount at risk		Maturity
	(in thousands)
Citibank, N.A.	$	517	December 30, 2015
JPMorgan Chase & Co.	$	16,547	October 23, 2015
Daiwa Capital Markets America Inc.	$	8,275	November 6, 2015
Bank of America, N.A.	$	15,181	November 18, 2015

The following is a summary of the tangible net worth and minimum required amounts for the Company and certain of its subsidiaries at September 30, 2015 to comply with the debt covenants contained in the borrowing agreements:

	Tangible net worth at September 30, 2015
Entity	Balance		Minimum required
	(in thousands)
PennyMac Mortgage Investment Trust	$	1,514,430	$	860,000
Operating Partnership	$	1,554,310	$	700,000
PennyMac Holdings, LLC	$	896,693	$	250,000
PennyMac Corp.	$	417,780	$	150,000

46

Note 15—Mortgage Loan Participation and Sale Agreement

One of the borrowing facilities secured by mortgage loans acquired for sale is in the form of a mortgage loan participation and sale agreement. Participation certificates, each of which represents an undivided beneficial ownership interest in a pool of mortgage loans that have been pooled with Fannie Mae or Freddie Mac, are sold to the lender pending the securitization of such mortgage loans and the sale of the resulting security. A commitment between the Company and a non-affiliate to sell such security is also assigned to the lender at the time a participation certificate is sold.

The purchase price paid by the lender for each participation certificate is based on the trade price of the security, plus an amount of interest expected to accrue on the security to its anticipated delivery date, minus a present value adjustment, any related hedging costs and a holdback amount that is based on a percentage of the purchase price and is not required to be paid to the Company until the settlement of the security and its delivery to the lender.

The mortgage loan participation and sale agreements are summarized below:

	Quarter ended September 30, 2015			Nine months ended September 30, 2015
	(dollars in thousands)
During the period:
Weighted-average interest rate (1)		1.44	%		1.43	%
Average balance	$	48,832		$	50,933
Total interest expense	$	226		$	699
Maximum daily amount outstanding	$	120,374		$	148,032
At period end:
Amount outstanding	$	61,093
Unamortized debt issuance costs		(16	)
	$	61,078
Weighted-average interest rate		1.44	%
Mortgage loans pledged to secure mortgage loan participation and sale agreement	$	63,162

(1) Excludes the effect of amortization of commitment fees of $47,000 and $146,000 for the quarter and nine months ended September 30, 2015.

Note 16—Federal Home Loan Bank Advances

In June 2015, the Company entered into a collateral, pledge, and security agreement with the Federal Home Loan Bank of Des Moines with no specified termination date. The Company may request advances up to a maximum of $400.0 million. The Company is required to comply with certain financial covenants and must also maintain capital stock equal to at least 4% of the outstanding balance of FHLB advances.

47

The FHLB advances are summarized below:

	Quarter ended September 30, 2015			Nine months ended September 30, 2015
	(dollars in thousands)
During the period:
Weighted-average interest rate		0.27	%		0.27	%
Average balance	$	170,902		$	58,100
Total interest expense	$	117		$	119
Maximum daily amount outstanding	$	188,834		$	188,834
At period end:
Balance	$	183,000
Weighted-average interest rate		0.27	%
Fair value of assets securing FHLB advances:
Mortgage-backed securities	$	8,961
Mortgage loans acquired for sale at fair value		68,937
Mortgage loans at fair value		140,025
	$	217,923

Note 17—Notes Payable

On September 14, 2015, the Company, through its wholly-owned subsidiary PMC, entered into a Loan and Security Agreement with Barclays Bank PLC, pursuant to which PMC may finance certain of its MSRs relating to mortgage loans pooled into Fannie Mae MBS in an aggregate loan amount not to exceed $150 million. The note matures on September 13, 2016. The Company used the proceeds of this financing to repay its borrowings collateralized by MSRs relating to mortgage loans pooled into Fannie Mae MBS under a Loan and Security Agreement with Citibank, N.A, which is now used to finance Freddie Mac MSRs only. The note in favor of Citibank, N.A. matures on March 29, 2016.

Following is a summary of financial information relating to the notes payable:

	Quarter ended September 30, 2015			Nine months ended September 30, 2015
	(dollars in thousands)
During the period:
Weighted-average interest rate (1)		4.25	%		4.24	%
Average balance	$	195,030		$	85,907
Total interest expense	$	2,375		$	3,369
Maximum daily amount outstanding	$	198,191		$	198,191
At period end:
Amount outstanding	$	192,332
Weighted-average interest rate		4.39	%
Mortgage servicing rights pledged to secure notes payable	$	423,095

(1) Excludes the effect of amortization of commitment fees and issuance costs of $562,000 and $915,000 for the quarter and nine months ended September 30, 2015.

48

Note 18—Asset-Backed Secured Financing of a Variable Interest Entity at Fair Value

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

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
	(dollars in thousands)
During the period:
Weighted-average fair value	$	170,262		$	168,923		$	165,024		$	168,186
Interest expense	$	1,787		$	1,584		$	4,671		$	4,762
Weighted-average effective interest rate		3.30	%		3.67	%		3.35	%		3.73	%
At period end:
Fair value	$	234,287		$	166,841
Interest rate		3.50	%		3.50	%

The asset-backed secured financing of a variable interest entity is a non-recourse liability and secured solely by the assets of a consolidated 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.

Note 19—Exchangeable Senior Notes

PMC issued in a private offering $250 million aggregate principal amount of the Exchangeable Notes due May 1, 2020. The Exchangeable Notes bear interest at a rate of 5.375% per year, payable semiannually. The Exchangeable Notes are exchangeable into common shares of the Company at a rate of 33.6567 common shares per $1,000 principal amount of the Exchangeable Notes as of September 30, 2015, which exchange rate increased from the initial exchange rate of 33.5149. The increase in the calculated exchange rate was the result of cumulative cash dividends exceeding the quarterly dividend threshold amount of $0.57 per share as provided in the related indenture.

Following is financial information relating to the Exchangeable Notes:

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015		2014
	(dollars in thousands)
During the period:
Weighted-average unpaid principal balance	$	250,000		$	250,000		$	250,000	$	250,000
Interest expense (1)	$	3,605		$	3,592		$	10,803	$	10,763
At period end:
Amount outstanding	$	250,000		$	250,000
Unamortized issuance costs		(5,195	)		(6,156	)
	$	244,805		$	243,844

(1) Total interest expense includes amortization of debt issuance costs of $245,000 and $726,000 during the quarter and nine months ended September 30, 2015, respectively, and $232,000 and $685,000 during the quarter and nine months ended September 2014, respectively.

49

Note 20—Borrowings under Forward Purchase Agreements

There were no borrowings under forward purchase agreements during the quarter and nine months ended September 30, 2015. Following is a summary of financial information relating to borrowings under forward purchase agreements:

	Quarter ended September 30, 2014		Nine months ended September 30, 2014
	(dollars in thousands)
During the period:
Weighted-average effective interest rate		—		2.84	%
Weighted-average balance	$	—	$	109,708
Interest expense	$	—	$	2,364
Maximum daily amount outstanding	$	—	$	226,847
At period end:
Balance	$	—
Interest rate		—
Fair value of underlying loans and REO	$	—

Note 21—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,
	2015			2014		2015			2014
	(in thousands)
Balance, beginning of period	$	16,714		$	11,876	$	14,242		$	10,110
Provision for losses		1,833			1,359		4,177			3,125
Losses incurred		(74	)		—		(176	)		—
Recoveries		—			—		230			—
Balance, end of period	$	18,473		$	13,235	$	18,473		$	13,235
Unpaid principal balance of mortgage loans subject to representations and warranties at period end	$	39,730,788		$	32,129,635

Note 22—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, 2015, 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, 2015
	(in thousands)
Commitments to purchase mortgage loans:
Mortgage loans acquired for sale at fair value	$	1,163,415

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Note 23—Shareholders’ Equity

Common Share Repurchases

On August 19, 2015, the Company announced that its Board of Directors authorized a common share repurchase program under which the Company may repurchase up to $150 million of its outstanding common shares. During the quarter and nine months ended September 30, 2015, 1.0 million common shares were repurchased by the Company at a cost of $16.0 million. The repurchased common shares were canceled upon settlement of the repurchase transactions.

Common Share Issuances

The Company has entered into an ATM Equity Offering Sales Agreement^SM. During the quarter and nine month periods ended September 30, 2015, the Company did not sell any common shares under the agreement. 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, 2015, the Company had approximately $106.9 million of common shares available for issuance under its ATM Equity Offering Sales Agreement^SM.

Note 24—Net Interest Income

Net interest income is summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Interest income:
From nonaffiliates:
Short-term investments	$	115	$	138	$	417	$	462
Mortgage-backed securities		2,614		1,935		7,752		5,657
Mortgage loans acquired for sale at fair value		20,704		7,712		38,120		16,911
Mortgage loans at fair value		24,364		22,401		68,089		76,502
Mortgage loans at fair value held by VIE		5,598		5,457		15,440		16,368
Mortgage loans under forward purchase agreements		—		—		—		3,584
Other		17		16		42		38
		53,412		37,659		129,860		119,522
From PennyMac Financial Services, Inc:
Excess servicing spread purchased from PFSI, at fair value		8,026		3,577		17,596		9,578
		61,438		41,236		147,456		129,100
Interest expense:
From nonaffiliates:
Assets sold under agreements to repurchase		21,350		15,814		60,470		43,496
Federal Home Loan Bank advances		117		—		119		—
Mortgage loans participation and sale agreement		226		—		699		—
Credit risk transfer financing		5,799		—		6,912		—
Notes payable		2,375		—		3,369		—
Asset-backed secured financing of a variable interest entity at fair value		1,787		1,584		4,671		4,762
Exchangeable senior notes		3,605		3,592		10,803		10,763
Borrowings under forward purchase agreements		—		—		—		2,363
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations		849		581		3,313		1,281
Interest on mortgage loan impound deposits		363		449		1,067		995
		36,471		22,020		91,423		63,660
From PennyMac Financial Services, Inc:
Note payable to PennyMac Financial Services, Inc.		1,289		—		1,822		—
		37,760		22,020		93,245		63,660
Net interest income	$	23,678	$	19,216	$	54,211	$	65,440

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Note 25—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,
	2015			2014			2015			2014
	(in thousands)
Cash (loss) gain:
Loans	$	4,579		$	(15,473	)		(54,183	)	$	(21,540	)
Hedging activities		(33,268	)		(12,706	)		(27,082	)		(35,004	)
		(28,689	)		(28,179	)		(81,265	)		(56,544	)
Non cash gain:
Receipt of MSRs in loan sale transactions		52,814			39,614			112,450			89,230
Provision for losses relating to representations and warranties provided in loan sales		(1,833	)		(1,359	)		(4,177	)		(3,125	)
Change in fair value of financial instruments issued and held at period end:
IRLCs		9,073			(5,697	)		3,146			4,140
Mortgage loans		(17,097	)		(3,073	)		1,181			5,000
Hedging derivatives		(384	)		8,203			3,884			(8,999	)
		(8,408	)		(567	)		8,211			141
	$	13,884		$	9,509		$	35,219		$	29,702

Note 26—Net Gain on Investments

Net gain on investments is summarized below:

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
	(in thousands)
Net gain (loss) on investments:
From non-affiliates:
Mortgage-backed securities	$	3,564		$	(821	)	$	(1,622	)	$	6,096
Mortgage loans		31,909			81,296			79,163			194,808
Mortgage loans held in a VIE		7,421			(2,578	)		(2,856	)		24,906
Net derivatives related to CRT Agreements		626			—			626			—
Asset-backed secured financing		(3,941	)		696			(719	)		(7,258	)
Hedging derivatives		(6,777	)		(807	)		(18,071	)		(14,609	)
		32,802			77,786			56,521			203,943
From PennyMac Financial Services, Inc:
Excess servicing spread purchased from PFSI		(7,844	)		(7,396	)		(5,502	)		(17,834	)
	$	24,958		$	70,390		$	51,019		$	186,109

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Note 27—Net Loan Servicing Fees

Net loan servicing fees are summarized below:

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
	(in thousands)
Servicing fees (1)	$	25,500		$	20,300		$	74,016		$	56,988
MSR recapture fee receivable from PFSI		670			—			670			9
Effect of MSRs:
Carried at lower of amortized cost or fair value:
Amortization		(11,333	)		(8,109	)		(30,913	)		(23,170	)
(Provision for) reversal of impairment		(7,845	)		602			(7,142	)		(2,249	)
Gain on sale		4			—			87			—
Carried at fair value—change in fair value		(5,266	)		(1,606	)		(8,776	)		(8,398	)
Gains (losses) on hedging derivatives		19,061			(654	)		13,868			3,532
		(5,379	)		(9,767	)		(32,876	)		(30,285	)
Net loan servicing fees	$	20,791		$	10,533		$	41,810		$	26,712
Average servicing portfolio	$	38,172,371		$	30,701,324		$	36,446,663		$	28,597,033

(1) Includes contractually specified servicing and ancillary fees.

Note 28—Share-Based Compensation Plans

On September 30, 2015 and 2014, the Company had one share-based compensation plan. The Company recognized compensation expense of $1.3 million and $5.0 million for the quarter and nine months ended September 30, 2015, compared to $1.6 million and $5.7 million for the same periods in 2014. The Company granted 294,684 and 300,131 restricted share units with a grant date fair value of $6.3 million and $6.0 million during the nine months ended September 30, 2015 and 2014, respectively. No restricted share units were granted during the quarters ended September 30, 2015 and 2014. The Company had vestings of zero and 301,763 restricted share units during the quarter and nine months ended September 30, 2015, compared to 500 and 230,716 units for the same periods in 2014.

Note 29—Other Expenses

Other expenses are summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Common overhead allocation from PFSI (1)	$	2,550	$	2,802	$	7,487	$	8,018
Servicing and collection costs		1,853		2,064		6,480		5,809
Loan origination		1,367		1,202		3,496		1,637
Insurance		309		247		984		738
Technology		307		246		910		720
Other		941		823		2,649		1,682
	$	7,327	$	7,384	$	22,006	$	18,604

(1) For the quarter and nine months ended September 30, 2015, in accordance with the terms of the management agreement, PCM provided the Company discretionary waivers of $900,000 and $1.6 million, respectively, of overhead expenses that otherwise would have been allocable to the Company.

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Note 30—Income Taxes

The Company’s effective tax rate is 14.0% and (12.1)% for the quarter and nine months ended September 30, 2015, as compared to 5.1% and (0.3)% for the same periods in 2014. The increase in the Company’s tax expense for the quarter ended September 30, 2015 as compared to the same period in 2014 is due primarily to increased income before income taxes earned at the Company’s taxable REIT subsidiary. The increase in the Company’s tax benefit for the nine months ended September 30, 2015 as compared to the same period in 2014 is due primarily to an increased loss before income taxes incurred at the Company’s taxable REIT subsidiary. 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 dividends paid deduction.

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 31—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 fair 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, 2015	Correspondent production			Investment activities			Intersegment elimination & other		Total
	(in thousands)
Net investment income:
Interest income	$	13,748		$	47,690		$	—	$	61,438
Interest expense		(6,370	)		(31,390	)		—		(37,760	)
		7,378			16,300			—		23,678
Net gain on mortgage loans acquired for sale		13,884			—			—		13,884
Net gain on investments		—			24,958			—		24,958
Net loan servicing fees		—			20,791					20,791
Other income (loss)		9,154			(1,691	)		—		7,463
		30,416			60,358			—		90,774
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.		18,367			16,664			—		35,031
Other		1,876			8,760			—		10,636
		20,243			25,424			—		45,667
Pre-tax income	$	10,173		$	34,934		$	—	$	45,107
Total assets at period end	$	1,073,070		$	4,519,161		$	—	$	5,592,231

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Quarter ended September 30, 2014	Correspondent production			Investment activities			Intersegment elimination & other		Total
	(in thousands)
Net investment income:
Interest income	$	7,727		$	33,509		$	—	$	41,236
Interest expense		(3,660	)		(18,360	)		—		(22,020	)
		4,067			15,149			—		19,216
Net gain on mortgage loans acquired for sale		9,509			—			—		9,509
Net gain on investments		—			70,390			—		70,390
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

Nine months ended September 30, 2015	Correspondent production			Investment activities			Intersegment elimination & other		Total
	(in thousands)
Net investment income:
Interest income	$	29,858		$	117,598		$	—	$	147,456
Interest expense		(14,953	)		(78,292	)		—		(93,245	)
		14,905			39,306			—		54,211
Net gain on mortgage loans acquired for sale		35,219			—			—		35,219
Net gain on investments		—			51,019			—		51,019
Net loan servicing fees		—			41,810					41,810
Other income (loss)		21,857			(5,920	)		—		15,937
		71,981			126,215			—		198,196
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.		47,313			51,505			—		98,818
Other		4,803			28,200			—		33,003
		52,116			79,705			—		131,821
Pre-tax income	$	19,865		$	46,510		$	—	$	66,375
Total assets at period end	$	1,073,070		$	4,519,161		$	—	$	5,592,231

55

Nine months ended September 30, 2014	Correspondent production			Investment activities			Intersegment elimination & other			Total
	(in thousands)
Net investment income:
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 gain on mortgage loans acquired for sale		29,702			—			—			29,702
Net gain on investments		—			186,109			—			186,109
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

Note 32—Supplemental Cash Flow Information

	Nine months ended September 30,
	2015		2014
	(in thousands)
Cash paid for interest	$	85,876	$	68,443
Income tax paid (refund)	$	700	$	(6,782	)
Non-cash investing activities:
Transfer of mortgage loans and advances to real estate acquired in settlement of loans	$	240,483	$	268,677
Purchase of mortgage loans financed through forward purchase agreements	$	—	$	2,828
Transfer of mortgage loans under forward purchase agreements to mortgage loans at fair value	$	—	$	205,902
Transfer of mortgage loans under forward purchase agreements and advances to REO under forward purchase agreements	$	—	$	9,369
Receipt of MSRs as proceeds from sales of loans	$	112,450	$	89,230
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment	$	4,440	$	—
Receipt of ESS pursuant to recapture agreement with PFSI	$	4,833	$	6,093
Transfer of REO under forward purchase agreements to REO	$	—	$	12,737
Non-cash financing activities:
Purchase of mortgage loans financed through forward purchase agreements	$	—	$	2,828
Transfer of mortgage loans at fair value financed through agreements to repurchase to REO financed under agreements to repurchase	$	58,923	$	3,491
Dividends payable	$	35,019	$	45,467

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Note 33—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 are a minimum net worth of $75.9 million and $39.4 million, respectively. Management believes that PMC complies with Fannie Mae’s and Freddie Mac’s net worth requirements as of September 30, 2015.

Note 34—Recently Issued Accounting Pronouncements

In February 2015, the FASB issued ASU 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis (“ASU 2015-02”). ASU 2015-02 affects reporting entities that are required to evaluate whether they should consolidate certain legal entities. ASU 2015-02 modifies the evaluation of whether limited partnerships and similar legal entities are VIEs or voting interest entities, eliminates the presumption that a general partner should consolidate a limited partnership and affects the consolidation analysis of reporting entities that are involved with VIEs, particularly those that have fee arrangements and related party relationships. ASU 2015-02 is effective for fiscal years, and for interim periods within those fiscal years, beginning after December 15, 2015. Early adoption is permitted. A reporting entity may apply the amendments in ASU 2015-02: (a) using a modified retrospective approach by recording a cumulative-effect adjustment to equity as of the beginning of the fiscal year of adoption; or (b) by applying the amendments retrospectively. The Company is currently assessing the potential effect that the adoption of ASU 2015-02 will have on its consolidated financial statements.

In April 2015, the FASB issued ASU No. 2015-03. The amendments in this ASU require that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. The recognition and measurement guidance for debt issuance costs are not affected by the amendments in this ASU. ASU 2015-03 should be applied on a retrospective basis and is effective for the Company for financial statements issued for fiscal years and interim periods within those fiscal years beginning after December 15, 2015.

The Company adopted ASU 2015-03 during the quarter ended June 30, 2015. As a result of the adoption of ASU 2015-03, the Company, on its September 30, 2015 consolidated balance sheet, reclassified $7.0 million in debt issuance costs from Other assets and allocated such costs in the amount of $1.7 million to Mortgage loans sold under agreements to repurchase; $16,000 to Mortgage loan participation and sale agreement; $82,000 to Notes payable and $5.2 million to Exchangeable senior notes. There were no changes to the Company’s consolidated statements of income or consolidated statements of cash flows as a result of the Company’s adoption of ASU 2015-03.

Note 35—Subsequent Events

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

• On October 16, 2015, the Company sold an additional $25.3 million in certificates issued under PMT Loan Trust 2013-J1, thereby reducing the certificates retained by the Company to $213.5 million.

• On October 22, 2015, the Company, through PMC and PMH, entered into amendments to (i) its master repurchase agreement, dated December 9, 2010, by and among Citibank, N.A. (“Citi”), PMC, PMH and PLS (the “NPL Repurchase Agreement”), and (ii) its master repurchase agreement, dated May 24, 2012, by and among Citi, PMC and PLS (the “Loan Repo Facility” and, together with the NPL Repurchase Agreement, the “Repurchase Agreements”).

Under the terms of the amendments, the maturity date of each Repurchase Agreement was extended to October 20, 2016, and the maximum aggregate purchase price provided for in each Repurchase Agreement was increased to $1.075 billion, $925 million of which is committed and the available amount of which is reduced under each Repurchase Agreement by the aggregate outstanding purchase price under the other Repurchase Agreement (and as defined therein).

The Repurchase Agreements together require the Company to maintain various financial and other covenants, which include maintaining (i) a minimum adjusted tangible net worth at all times greater than or equal to $830 million; (ii) a minimum in unrestricted cash and cash equivalents among the Company and its subsidiaries at all times equal to or greater than $40 million; (iii) a ratio of total liabilities to adjusted tangible net worth at all times less than 5:1; and (iv) profitability of at least $1.00 for at least one (1) of the previous two (2) consecutive fiscal quarters, as of the end of each fiscal quarter.

57

The Repurchase Agreements together also require PMH and PMC to maintain various financial and other covenants, which include maintaining (i) a minimum adjusted tangible net worth at all times greater than or equal to $220 million for PMH and $140 million for PMC; (ii) a minimum in unrestricted cash and cash equivalents between PMH and PMC at all times greater than or equal to $25 million in the aggregate; and (iii) a ratio of total liabilities to adjusted tangible net worth at all times less than 10:1 for each of PMH and PMC.

The Repurchase Agreements together also require PLS to maintain various financial and other covenants, which include maintaining (i) a minimum adjusted tangible net worth at all times greater than or equal to $170 million; (ii) a minimum in unrestricted cash and cash equivalents at all times greater than or equal to $20 million; (iii) a ratio of total liabilities to adjusted tangible net worth at all times less than 10:1; and (iv) profitability of at least $1.00 for each fiscal quarter.

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

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, primarily through dividends and secondarily through capital appreciation. We intend to achieve this objective largely by investing in distressed mortgage assets, mortgage related assets and acquiring, pooling and selling newly originated prime credit quality residential mortgage loans (“correspondent production”) and retaining the MSRs.

We are externally managed by PNMAC Capital Management, LLC (“PCM”), an investment adviser that specializes in and focuses on, residential mortgage loans. Most of our mortgage loan portfolio is serviced by PennyMac Loan Services, LLC (“PLS”).

We invest in distressed mortgage loans through direct acquisitions of mortgage loan portfolios from institutions such as banks and mortgage companies. A substantial portion of the nonperforming loans we have purchased has been acquired from or through one or more subsidiaries of Citigroup Inc.

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 loan 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 quarter and nine months ended September 30, 2015 we acquired distressed mortgage loans with fair values totaling zero and $242.0 million, and we received proceeds from liquidation, payoffs and sales from our portfolio of distressed mortgage loans and REO totaling $103.7 million and $344.2 million, respectively. During the quarter and nine months ended September 30, 2014 we acquired distressed mortgage loans with fair values totaling zero and $283.0 million and we received proceeds from liquidation, payoffs and sales from our portfolio of distressed mortgage loans and REO totaling $172.1 million and $647.2 million, respectively.

During the quarter and nine months ended September 30, 2015, we purchased newly originated prime credit quality loans with fair values totaling $15.1 billion and $35.9 billion, respectively, in furtherance of our correspondent production business compared to $8.4 billion and $20.8 billion for the quarter and nine months ended September 30, 2014, respectively. To the extent that we purchase mortgage loans that are insured by the U.S. Department of Housing and Urban Development (“HUD”) through the FHA or insured or guaranteed by the VA or USDA, we and PLS have agreed that PLS will fulfill and purchase such mortgage 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 mortgage loans. We receive a sourcing fee from PLS of three basis points on the unpaid principal balance (“UPB”) of each mortgage loan that we sell to PLS under such arrangement, and earn interest income on the loan for the time period we hold the mortgage loan prior to the sale to PLS. We received sourcing fees totaling $3.2 million and $7.1 million relating to $10.7 billion and $23.6 billion in UPB of mortgage loans at fair value that we sold to PLS for the quarter and nine months ended September 30, 2015, respectively, compared to $1.4 million and $3.4 million relating to $4.6 billion and $11.3 billion in UPB of loans at fair value that we sold to PLS for the quarter and nine months ended September 30, 2014, respectively.

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

• Acquisition of excess servicing spread (“ESS”) from mortgage servicing rights (“MSRs”) acquired by PLS. We believe that ESS is an attractive long-term investment that allows us to leverage the mortgage loan servicing and origination capabilities of PLS. In addition, ESS can offset against the interest-rate sensitivity of other assets, such as MBS or the inventory of our correspondent production business. During the quarter and nine months ended September 30, 2015, we purchased ESS with fair values totaling $84.2 million and $271.5 million, respectively, and received $2.3 million and $4.8 million, respectively, pursuant to a recapture agreement with PLS. 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, and received $2.6 million and $6.1 million, respectively, pursuant to a recapture agreement with PLS.

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, 2015, we received MSRs with fair values at initial recognition totaling $52.8 million and $112.5 million, respectively, compared to $39.6 million and $89.2 million during the quarter and nine months ended September 30, 2014.

• 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.

• Investing in the credit risk on mortgage loans we deliver to the Agencies. In August 2015, we completed the delivery of $1.2 billion of mortgage loans into a credit risk transfer transaction through which we received a participation in the credit risk of the mortgage loans we delivered. In September 2015, we entered into another credit risk transfer transaction into which we expect to deliver approximately $4.0 billion of mortgage loans. We expect to fulfill the delivery of the mortgage loans associated with the credit risk transfer transaction early in 2016. Our interests will continue to be in the form of a certificated security that can be efficiently financed.

Although definitive documentation has been executed, this credit risk transfer transaction is subject to continuing due diligence and customary closing conditions, including required regulatory approvals. There can be no assurance regarding the size of the transaction.

• Acquisition of REIT-eligible mortgage-backed or mortgage-related securities. We purchased MBS with fair values totaling $37.1 million and $62.2 million during the quarter and nine months ended September 30, 2015, respectively, compared to $54.3 million and $73.9 million during the quarter and nine months ended September 30, 2014, respectively.

• Acquisition of small balance (typically under $10 million) commercial mortgage loans.

• 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.

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 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 our TRS, which is subject to corporate federal and state income taxes. Accordingly, we have made 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.

Observations on Current Market Conditions

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. The U.S. economy continues to grow as reflected in recent economic data. During the third quarter of 2015, real U.S. gross domestic product expanded at an annual rate of 1.5% compared to a 4.3% increase for the third quarter of 2014 and a revised 3.9% increase for the second quarter of 2015. The national unemployment rate was 5.1% at September 30, 2015 compared to 5.3% at June 30, 2015 and 5.9% at September 30, 2014. Delinquency rates on residential real estate loans remain elevated compared to historical rates, but have been steadily declining. As reported by the Federal Reserve Bank, during the second quarter of 2015, the delinquency rate on residential real estate loans held by commercial banks was 5.77%, a reduction from 7.40% during the second quarter of 2014.

Residential real estate activity appears to be stable. The seasonally adjusted annual rate of existing home sales for September 2015 was 8.8% higher than for September 2014, and the national median existing home price for all housing types was $221,900, a 6.1% increase from September 2014. On a national level, foreclosure filings during September 2015 increased by 3.1% as compared to September 2014. Foreclosure activity is expected to remain above historical average levels through 2015 and beyond.

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Changes in fixed-rate residential mortgage loan interest rates generally follow changes in long-term U.S. Treasury yields. Thirty-year fixed mortgage interest rates ranged from a low of 3.84% to a high of 4.09% during the third quarter of 2015 while during the third quarter of 2014, thirty-year fixed mortgage interest rates ranged from a low of 4.10% to a high of 4.23% (Source: the Federal Home Loan Mortgage Corporation’s Weekly Primary Mortgage Market Survey).

Mortgage lenders originated an estimated $455 billion of home loans during the third quarter of 2015, up 26% from the third quarter of 2014. Although the continued low interest rate environment has led to an increase in the volume of borrowers seeking to refinance, we expect purchase-money loans to constitute a greater proportion of mortgage originations in the future. With mortgage production levels through the third quarter in excess of last year’s total, industry forecasts have increased estimates for total mortgage originations in 2015 to $1.6 trillion (Source: average of Fannie Mae, Freddie Mac and Mortgage Bankers Association forecasts). We expect efforts to expand GSE product offerings (including 97% loan-to-value loans) and a recent reduction in FHA mortgage insurance premiums to make mortgage credit more affordable. In our correspondent production business we continue to see increased competition from new and existing market participants.

We believe there is significant long-term market opportunity in non-Agency jumbo mortgage loans, however current investor demand from institutional investors and large banks remains limited. The prime jumbo MBS securitization market was flat during the third quarter of 2015, with issuances totaling $2.1 billion in UPB as compared with $2.1 billion during the third quarter of 2014. During the third quarter of 2015, we produced approximately $19 million in UPB of jumbo loans compared to $169 million in UPB of jumbo loans produced during the third quarter of 2014.

Our Manager continues to see a robust market for distressed residential mortgage loans (sales of loan pools that consist of either non-performing loans, troubled but performing loans or a combination thereof) offered for sale. During 2015, the pool of sellers expanded to include Fannie Mae as a new programmatic seller, together with existing sellers such as HUD, Freddie Mac and money-center banks. During the third quarter of 2015, our Manager reviewed 32 mortgage loan pools totaling approximately $8.2 billion in UPB. This compares to our Manager’s review of 36 mortgage loan pools totaling approximately $9.7 billion in UPB during the third quarter of 2014. During the nine months ended September 30, 2015, we acquired distressed loans with fair value totaling $242 million compared to $287.5 million during the same period in 2014. 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 in considering new investments in distressed whole loans and we continue to monitor the market to assess best execution opportunities for 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,
	2015			2014			2015			2014
	(in thousands except per share amounts)
Net investment income	$	90,774		$	106,530		$	198,196		$	303,681
Expenses		(45,667	)		(48,599	)		(131,821	)		(136,157	)
(Provision for) benefit from income taxes		(6,295	)		(2,982	)		8,016			509
Net income	$	38,812		$	54,949		$	74,391		$	168,033
Pre-tax income by segment:
Correspondent production	$	10,173		$	2,790		$	19,865		$	7,870
Investment activities		34,934			55,141			46,510			159,654
	$	45,107		$	57,931		$	66,375		$	167,524
Earnings per share:
Basic	$	0.51		$	0.74		$	0.98		$	2.28
Diluted	$	0.49		$	0.69		$	0.95		$	2.13
Dividends per share:
Declared	$	0.47		$	0.61		$	1.69		$	1.79
Paid	$	0.61		$	0.59		$	1.83		$	1.77
Investment activities:
Distressed mortgage loans and REO:
Purchases	$	—		$	—		$	241,981		$	287,520
Cash proceeds from liquidation activities	$	103,708		$	172,139		$	344,224		$	647,164
MBS:
Purchases	$	37,095		$	54,284		$	62,224		$	73,922
Cash proceeds from repayment and sales	$	12,776		$	4,411		$	52,520		$	9,830
ESS:
Purchases from PFSI	$	84,165		$	9,253		$	271,452		$	82,646
Cash proceeds from repayments	$	24,717		$	8,786		$	55,800		$	25,280
Per share closing prices:
During the period:
High	$	18.30		$	22.35		$	22.99		$	24.44
Low	$	14.69		$	21.10		$	14.69		$	20.78
At period end	$	15.47		$	21.43
At period end:
Total assets	$	5,592,231		$	4,604,813
Book value per share	$	20.52		$	21.42

During the quarter and nine months ended September 30, 2015, we recorded net income of $38.8 million and $74.4 million, or $0.49 and $0.95 per diluted share, respectively. Our net income for the quarter and nine months ended September 30, 2015 reflects net interest income of $23.7 million and $54.2 million, supplemented by net gains on our investments in financial instruments (comprised of net gain on investments and net gain on mortgage loans acquired for sale) totaling $38.8 million and $86.2 million, including $36.5 and $68.8 million of valuation gains on mortgage loans at fair value and mortgage loans at fair value held by variable interest entity (“VIE”). During the quarter and nine months ended September 30, 2015, we purchased $15.1 billion and $35.9 billion in fair value of newly originated mortgage loans. We recognized gains on such loans totaling approximately $13.9 million and $35.2 million, including $52.8 million and $112.5 million of MSRs retained upon sale of such loans. At September 30, 2015, we held mortgage loans acquired for sale with fair values totaling $1.1 billion, including $373.8 million that were pending sale to PLS.

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 $72.6 million and $196.5 million of valuation gains on mortgage loans at fair value, mortgage loans at fair value held by variable interest entities (“VIEs”), and mortgage loans under forward purchase agreements at fair value. 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.

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Our net income decreased during the quarter and nine months ended September 30, 2015 compared to the quarter and nine months ended September 30, 2014 primarily due to a decrease in pretax income in our investment activities segment. During the quarter ended September 30, 2015, we recognized net investment income totaling approximately $60.4 million in our investment activities segment, a decrease of $26.1 million, or 30%, from $86.4 million during the quarter ended September 30, 2014. During the nine months ended September 30, 2015, we recognized net investment income totaling approximately $126.2 million in our investment activities segment, a decrease of $129.6 million, or 51%, from $255.9 million during the quarter ended September 30, 2014. In our investment activities, our average investment portfolio was approximately $3.5 billion during the quarter ended September 30, 2015, an increase of $310.6 million, or 10%, over the quarter ended September 30, 2014.

In our correspondent production activities, we received proceeds of $4.9 billion and $10.6 billion during the quarter and nine months ended September 30, 2015, respectively, from the sale of mortgage loans to non-affiliates. We issued $4.1 billion and $12.1 billion of IRLCs relating to Agency and jumbo mortgage loans during the quarter and nine months ended September 30, 2015, an increase of $364.3 million, or 10%, and an increase of $2.4 billion, or 25%, from the same periods in 2014. We sold approximately 79% more loans to nonaffiliates during the quarter ended September 30, 2015 as compared to the same period in 2014 but our net gain on mortgage loans acquired for sale remained relatively flat due to the continuing competition in the conventional conforming mortgage market.

Net Investment Income

During the quarter and nine months ended September 30, 2015, we recorded net investment income of $90.8 million and $198.2 million, respectively, comprised primarily of net interest income of $23.6 million and $54.2 million, $13.9 million and $35.2 million of net gain on mortgage loans acquired for sale, $20.8 million and $41.8 million of net loan servicing fees, $9.1 million and $21.7 million of loan origination fees, and $25.0 million and $51.0 million of net gain on investments, partially offset by losses from results of REO of $4.2 million and $11.9 million. 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.

Net investment income includes non-cash fair value adjustments. Because we have elected to record our financial assets (comprised of MBS, mortgage loans acquired for sale at fair value, mortgage loans at fair value and ESS) and a portion of our MSRs at fair value, a substantial portion of the income we record with respect to such assets results from non-cash changes in fair value. Net investment income also includes non-cash fair value adjustments related to IRLCs and the derivatives we use to hedge our financial assets and liabilities and MSRs, impairment adjustments relating to our MSRs carried at the lower of amortized cost or fair value, non-cash interest income arising from capitalization of delinquent interest on mortgage loans upon completion of the modification of such loans, accrual of unearned discounts relating to mortgage loans held in a consolidated VIE and amortization of premiums relating to our asset-backed financings.

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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,
	2015			2014			2015			2014
	(in thousands)
Net gain on mortgage loans acquired for sale
Mortgage loans acquired for sale	$	(17,097	)	$	(3,073	)	$	1,181		$	5,000
IRLCs		9,073			(5,697	)		3,146			4,140
Hedging derivatives		(384	)		8,203			3,884			(8,999	)
		(8,408	)		(567	)		8,211			141
Net interest income
Capitalization of interest pursuant to mortgage loan modifications		14,849			10,452			34,979			40,805
Accrual of unearned discounts and amortization of premiums on MBS, mortgage loans and asset-backed financing		(1,295	)		385			(4,980	)		938
		13,554			10,837			29,999			41,743
Net gain (loss) on investments
Mortgage-backed securities:
Agency		2,432			(1,192	)		(747	)		5,542
Non Agency		1,132			370			(875	)		554
Mortgage loans:
at fair value		29,040			75,168			71,642			171,589
at fair value held in a variable interest entity		7,421			(2,578	)		(2,856	)		24,906
at fair value under forward purchase agreements		—			—			—			463
Excess servicing spread		(7,844	)		(7,396	)		(5,502	)		(17,834	)
Net derivative related to CRT Agreements		626			—			626			—
Asset-backed secured financing		(3,941	)		696			(719	)		(7,258	)
		28,866			65,068			61,569			177,962
Net loan servicing fees—MSR valuation adjustments		(11,263	)		498			(10,667	)		(7,222	)
	$	22,749		$	75,836		$	89,112		$	212,624

Cash is generated when mortgage loan investments are monetized through payoffs or sales, when payment of principal and interest occurs on such mortgage loans, generally after they are modified, or when the property securing a mortgage loan that has been settled through acquisition of the property securing the mortgage loan has been sold. We receive proceeds on the sale of mortgage loans acquired for sale that include both cash and our estimate of the fair value of MSRs and we recognize a liability for potential losses relating to representations and warranties created in the loan sales transactions. During the quarter and nine month periods ended September 30, 2014, we recognized $52.8 million and $112.5 million of MSRs offset by $1.8 million and $4.2 million of provision for losses on representations and warranties in net gain on mortgage loans acquired for sales, respectively. During the quarter and nine month periods ended September 30, 2014, we recognized $39.6 million and $89.2 million of MSRs offset by $1.4 million and $3.1 million of provision for losses on representations and warranties in net gain on mortgage loans acquired for sale, respectively. Cash flows relating to hedging instruments are generally produced when the instruments mature or when we effectively cancel the transactions through an offsetting trade. With respect to MSRs and ESS, negative valuation adjustments generally arise from increased prepayment expectations. To the extent that such expectations result from decreasing interest rates, increased loan production and recapture of MSRs and ESS may occur.

The following table illustrates the net gain in fair value that we accumulated over the period during which we owned the liquidated mortgage loan investments and REO, as compared to the proceeds actually received and the additional net gain realized upon liquidation of such assets:

	Quarter ended September 30,
	2015						2014
	Proceeds		Accumulated gains (2)		Gain on liquidation (3)		Proceeds		Accumulated gains (2)		Gain on liquidation (3)
	(in thousands)
Mortgage loans (1)	$	57,022	$	6,122	$	2,852	$	124,248	$	21,406	$	6,128
REO		46,686		734		4,512		47,891		2,003		3,713
	$	103,708	$	6,856	$	7,364	$	172,139	$	23,409	$	9,841

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	Nine months ended September 30,
	2015						2014
	Proceeds		Accumulated gains (2)		Gain on liquidation (3)		Proceeds		Accumulated gains (2)		Gain on liquidation (3)
	(in thousands)
Mortgage loans (1)	$	169,440	$	18,851	$	7,480	$	517,005	$	102,227	$	22,756
REO		174,784		3,786		14,880		130,159		8,205		9,791
	$	344,224	$	22,637	$	22,360	$	647,164	$	110,432	$	32,547

(1) For the nine months ended September 30, 2015, the amounts include sales of reperforming mortgage loans with sale proceeds of $939,000, accumulated losses of $206,000, and $479,000 in losses on liquidation, respectively. For the nine months ended September 30, 2014, the amounts include sales of reperforming mortgage loans with 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 in gains 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.

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 on our success in working with the borrower to resolve the distress in the loan and the amount of time we hold such asset. Accumulated gains include the amount of accumulated valuation gains and losses recognized throughout the holding period and, in the case of REO, include 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 aggregate servicing and activity fees of $3.6 million and $12.0 million with respect to assets liquidated during the quarter and nine months ended September 30, 2015, respectively, compared to $3.2 million and $11.4 million for the quarter and nine months ended September 30, 2014.

The decrease in net investment income during the quarter ended September 30, 2015 as compared to the quarter ended September 30, 2014 primarily reflects the decrease in net fair value gains in our investments in mortgage loans at fair value, along with losses recognized on our asset-backed secured financing and increased losses on our hedging instruments partially offset by increased gains in our investment in MBS, mortgage loans held in a VIE and the net derivative we held pursuant to a credit risk transfer transaction with Fannie Mae. Decreases in gain on our investments in mortgage loans are due to moderation in both actual and projected real estate values relating to the properties securing our distressed loans, reduced appreciation of our performing mortgage loans resulting from observed increased marketplace demand, and slower than expected transitions of loans toward resolution as compared to 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, 2015
	Interest income/expense							Average balance (2)		Annualized % interest yield/cost
	Coupon		Discount/ fees (1)			Total
Assets:
Correspondent production:
Mortgage loans acquired for sale at fair value	$	20,704	$	—		$	20,704	$	1,783,011		4.54	%
Investment activities:
Short-term investments		115		—			115		46,178		0.97	%
Mortgage -backed securities:
Agency		1,610		75			1,685		188,685		3.49	%
Non-Agency prime jumbo		913		16			929		106,923		3.40	%
		2,523		91			2,614		295,608		3.46	%
Mortgage loans:
at fair value		24,364		—			24,364		2,201,533		4.33	%
at fair value held by variable interest entity		4,574		1,024			5,598		481,925		4.55	%
		28,938		1,024			29,962		2,683,458		4.37	%
Excess servicing spread from affiliates		8,026		—			8,026		428,331		7.33	%
Total investment activities		39,602		1,115			40,717		3,453,575		4.61	%
Other		17		—			17		—
	$	60,323	$	1,115		$	61,438	$	5,236,586		4.59	%
Liabilities:
Assets sold under agreements to repurchase		19,113		2,237			21,350	$	3,252,341		2.57	%
Mortgage loans participation and sale agreement		179		47			226		48,832		1.81	%
Federal Home Loan Bank advances		117		—			117		170,902		0.27	%
Credit risk transfer financing at fair value		5,799		—			5,799		1,158,763		1.96	%
Asset-backed secured financing		1,436		351			1,787		170,262		4.11	%
Exchangeable senior notes		3,359		246			3,605		250,000		5.64	%
		30,003		2,881			32,884		5,051,100		2.55	%
Notes payable		1,813		562			2,375		195,030		4.77	%
Note payable to PennyMac Financial Services, Inc		—		1,289			1,289		121,079		4.17	%
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations		849		—			849		—
Interest on mortgage loan impound deposits		363		—			363		—
		33,028		4,732			37,760		5,367,209		2.75	%
Net interest income	$	27,291	$	(3,613	)	$	23,678
Net interest margin											1.77	%
Net interest spread											1.84	%

(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, 2014
	Interest income/expense							Average balance (2)		Annualized % interest yield/cost
	Coupon		Discount/ fees (1)			Total
	(dollars in thousands)
Assets:
Correspondent lending:
Mortgage loans acquired for sale at fair value	$	7,712	$	—		$	7,712	$	732,287		4.12	%
Investment activities:
Short-term investments		138		—			138		77,669		0.70	%
Mortgage-backed securities
Agency		1,687		51			1,738		194,730		3.49	%
Non-Agency prime jumbo		140		57			197		22,154		3.48	%
		1,827		108			1,935		216,884		3.49	%
Mortgage loans:
at fair value		22,401		—			22,401		2,122,397		4.13	%
at fair value held by variable interest entity		5,072		385			5,457		537,367		3.97	%
		27,473		385			27,858		2,659,764		4.10	%
Excess servicing spread from affiliates		3,577		—			3,577		188,613		7.42	%
Total investment activities		33,015		493			33,508		3,142,930		4.17	%
Other		16		—			16		—
		40,743		493			41,236	$	3,875,217		4.16	%
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	%
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations		581					581		—
Interest on mortgage loan impound deposits		449		—			449		—
		19,478		2,542			22,020	$	2,920,738		2.95	%
Net interest income	$	21,265	$	(2,049	)	$	19,216
Net interest margin											1.94	%
Net interest spread											1.21	%

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

67

	Nine months ended September 30, 2015
	Interest income/expense							Average balance (2)		Annualized % interest yield/cost
	Coupon		Discount/ fees (1)			Total
	(dollars in thousands)
Assets:
Correspondent production:
Mortgage loans acquired for sale at fair value	$	38,120	$	—		$	38,120	$	1,189,754		4.23	%
Investment activities:
Short-term investments		417		—			417		60,620		0.91	%
Mortgage -backed securities:
Agency		4,771		133			4,904		189,900		3.41	%
Non-Agency prime jumbo		2,827		21			2,848		112,525		3.34	%
		7,598		154			7,752		302,425		3.38	%
Mortgage loans:
at fair value		68,089		—			68,089		2,268,538		3.96	%
at fair value held by variable interest entity		14,237		1,203			15,440		504,351		4.04	%
		82,326		1,203			83,529		2,772,889		3.97	%
Excess servicing spread from affiliates		17,596		—			17,596		314,008		7.39	%
Total investment activities		107,937		1,357			109,294		3,449,942		4.18	%
Other		42		—			42		—
		146,099		1,357			147,456	$	4,639,696		4.19	%
Liabilities:
Assets sold under agreements to repurchase		53,767		6,703			60,470	$	3,125,328		2.55	%
Mortgage loans participation and sale agreement		553		146			699		50,933		1.81	%
Federal Home Loan Bank advances		119		—			119		58,100		0.27	%
Credit risk transfer financing at fair value		6,912		—			6,912		440,974		2.07	%
Asset-backed secured financing		4,198		473			4,671		165,024		3.73	%
Exchangeable senior notes		10,077		726			10,803		250,000		5.70	%
		75,626		8,048			83,674		4,090,359		2.70	%
Notes payable		2,454		915			3,369		85,907		5.17	%
Note payable to PennyMac Financial Services, Inc		—		1,822			1,822		54,270		4.43	%
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations		3,313		—			3,313		—
Interest on mortgage loan impound deposits		1,067		—			1,067		—
		82,460		10,785			93,245		4,230,536		2.91	%
Net interest income	$	63,637	$	(9,426	)	$	54,211
Net interest margin											2.32	%
Net interest spread											1.28	%

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

68

	Nine months ended September 30, 2014
	Interest income/expense							Average balance (2)		Annualized % interest yield/cost
	Coupon		Discount/ fees (1)			Total
	(dollars in thousands)
Assets:
Correspondent production:
Mortgage loans acquired for sale at fair value	$	16,911	$	—		$	16,911	$	530,861		4.20	%
Investment activities:
Short-term investments		462		—			462		103,387		0.59	%
Mortgage-backed securities
Agency		5,127		167			5,294		196,655		3.55	%
Non-Agency prime jumbo		235		128			363		12,042		3.98	%
		5,362		295			5,657		208,697		3.57	%
Mortgage loans:
at fair value		76,502		—			76,502		2,070,018		4.87	%
at fair value held by variable interest entity		15,431		937			16,368		534,784		4.04	%
under forward purchase agreements at fair value		3,584		—			3,584		101,706		4.65	%
		95,517		937			96,454		2,706,508		4.70	%
Excess servicing spread from affiliates		9,578		—			9,578		160,293		7.88	%
Total investment activities		110,919		1,232			112,151		3,178,885		4.65	%
Other		38		—			38		—
		127,868		1,232			129,100		3,709,746		4.59	%
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	%
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations		1,281		—			1,281		—
Interest on mortgage loan impound deposits		995		—			995		—
		55,240		8,420			63,660	$	2,714,029		3.09	%
Net interest income	$	72,628	$	(7,188	)	$	65,440
Net interest margin											2.33	%
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.

69

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

	Quarter ended September 30, 2015 vs. Quarter ended September 30, 2014									Nine months ended September 30, 2015 vs. Nine months ended September 30, 2014
	Increase (decrease) due to changes in									Increase (decrease) due to changes in
	Rate			Volume			Total     change			Rate			Volume			Total     change
	(in thousands)
Assets:
Correspondent production:
Mortgage loans acquired for sale at fair value	$	762		$	12,230		$	12,992		$	98		$	21,111		$	21,209
Investment activities:
Short-term investments		154			(177	)		(23	)		191			(236	)		(45	)
Mortgage -backed securities:
Agency		5			(58	)		(53	)		(212	)		(178	)		(390	)
Non-Agency prime jumbo		(5	)		737			732			(67	)		2,552			2,485
		—			679			679			(279	)		2,374			2,095
Mortgage loans:
at fair value		1,110			853			1,963			(15,284	)		6,871			(8,413	)
at fair value held by variable interest entity		2,028			(1,887	)		141			(878	)		(50	)		(928	)
under forward purchase agreements at fair value		—			—			—			—			(3,584	)		(3,584	)
Total mortgage loans		3,138			(1,034	)		2,104			(16,162	)		3,237			(12,925	)
ESS—affiliates		(210	)		4,659			4,449			(630	)		8,648			8,018
Total investment activities		3,082			4,127			7,209			(16,880	)		14,023			(2,857	)
Other interest		—			1			1			—			4			4
		3,844			16,358			20,202			(16,782	)		35,138			18,356
Liabilities:
Assets sold under agreements to repurchase		1,074			4,462			5,536			(359	)		17,333			16,974
Mortgage loan participation and sale agreement		—			226			226			—			699			699
Credit risk transfer financing at fair value		—			5,799			5,799			—			6,912			6,912
Federal Home Loan Bank advances		—			117			117			—			119			119
Asset backed secured financing		190			13			203			(1	)		(90	)		(91	)
Borrowings under forward purchase agreement		—			—			—			—			(2,363	)		(2,363	)
Exchangeable senior notes		13			—			13			40			—			40
Servicing advance facility		—			2,375			2,375			—			3,369			3,369
ESS—affiliates		—			1,289			1,289			—			1,822			1,822
Interest bearing liabilities		—			268			268			—			2,032			2,032
Other interest—servicing		—			(86	)		(86	)		—			72			72
		1,277			14,463			15,740			(320	)		29,905			29,585
Net interest income	$	2,567		$	1,895		$	4,462		$	(16,462	)	$	5,233		$	(11,229	)

During the quarter and nine months ended September 30, 2015, we earned net interest income of $23.7 million and $54.2 million, respectively, compared to $19.2 million and $65.4 million for the same periods in 2014. The increase in net interest income between the quarterly periods was primarily due to increases in average investment in mortgage loans acquired for sale of approximately $1.1 billion and $658.9 million and an increase in our average investment in ESS of $239.7 million and $153.7 million during the quarter and nine month periods ended September 30, 2015, respectively, when compared to the same periods ended September 30, 2014. The increases were partially offset by the cost of increased borrowing incurred to finance growth in our interest-earning assets and MSRs.

We earned interest income on our portfolio of MBS totaling $2.6 million and $7.8 million for the quarter and nine months ended September 30, 2015, respectively, and $1.9 million and $5.7 million for the quarter and nine months ended September 30, 2014. The increase in interest income was due to growth in our average investment in MBS in 2015 as compared to 2014 as we have made selective investments in MBS and increased our average investment in MBS from $216.9 million and $208.7 million during the quarter and nine months ended September 30, 2014, respectively, to $295.6 million and $302.4 million during the quarter and nine months ended September 30, 2015.

70

During the quarter and nine months ended September 30, 2015, we recognized interest income on mortgage loans at fair value and mortgage loans at fair value held by a VIE totaling $30.0 million and $83.5 million, including $14.8 million and $35.0 million of interest capitalized pursuant to loan modifications, respectively, which compares to $27.9 million and $92.9 million recognized on mortgage loans at fair value, mortgage loans at fair value held by a VIE and mortgage loan under forward purchase agreements at fair value, including $10.5 million and $40.8 million, respectively, of interest capitalized pursuant to loan modifications, in the quarter and nine months ended September 30, 2014. Loan modifications decreased due to a higher volume of liquidation resolutions for non-performing mortgage loans, reduced opportunities from a lower non-performing mortgage loan portfolio, and a lower response rate to modification initiatives for the nine months ended September 30, 2015 compared to same period in 2014. In addition, the weighted average note interest rate of our portfolio of performing mortgage loans decreased from 3.76% at September 30, 2014 to 3.43% at September 30, 2015.

At September 30, 2015, approximately 63% of the fair value of our distressed mortgage loan portfolio was nonperforming, as compared to 71% at September 30, 2014. We do not accrue interest on nonperforming loans and generally do not recognize 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 performing distressed mortgage loans is substantially higher than would be recorded based on the loans’ UPBs as we typically purchase our distressed mortgage loans at substantial discounts to their UPB.

Nonperforming mortgage 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 resolution 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, 2015, we held $1.4 billion in fair value of nonperforming loans and $353.6 million in carrying value of REO.

During the quarter and nine months ended September 30, 2015, we incurred interest expense totaling $37.8 million and $93.2 million, respectively, as compared to $22.0 million and $63.7 million, respectively, during the quarter and nine months ended September 30, 2014. Our interest cost on interest bearing liabilities was 2.75% and 2.91% for the quarter and nine months ended September 30, 2015, respectively, as compared to 2.95% and 3.09% during the quarter and nine months ended September 30, 2014. The increase in interest expense for the quarter ended September 30, 2015 as compared to the same period in 2014 reflects our increased use of assets sold under agreements to repurchase, notes payable and asset-backed financing agreements in support of growth of our balance sheet.

71

Net Gain on Mortgage Loans Acquired for Sale

Our net gain on mortgage loans acquired for sale is summarized below:

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
	(in thousands)
Cash (loss) gain:
Loans	$	4,579		$	(15,473	)	$	(54,183	)	$	(21,540	)
Hedging activities		(33,268	)		(12,706	)		(27,082	)		(35,004	)
		(28,689	)		(28,179	)		(81,265	)		(56,544	)
Non cash gain:
Receipt of MSRs in loan sale transactions		52,814			39,614			112,450			89,230
Provision for losses relating to representations and warranties provided in loan sales		(1,833	)		(1,359	)		(4,177	)		(3,125	)
Change in fair value of financial instruments issued and held at period end:
IRLCs		9,073			(5,697	)		3,146			4,140
Mortgage loans		(17,097	)		(3,073	)		1,181			5,000
Hedging derivatives		(384	)		8,203			3,884			(8,999	)
		(8,408	)		(567	)		8,211			141
	$	13,884		$	9,509		$	35,219		$	29,702
Purchases of mortgage loans acquired for sale to nonaffiliates:
At fair value	$	4,206,775		$	3,799,858		$	10,887,908		$	8,869,097
Unpaid principal balance	$	4,073,202		$	3,677,612		$	10,542,411		$	8,588,955
Fair value of mortgage loans acquired for sale held at period end:
Conventional mortgage loans	$	670,551		$	624,327
Government-insured or guaranteed mortgage loans acquired for sale to PLS		373,812			59,719
Commercial mortgage loans		1,851			—
Mortgage loans repurchased subject to representations and warranties		4,082			4,804
	$	1,050,296		$	688,850

Our net gain 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.

The increase in net gain on mortgage loans acquired for sale is due to an increase in volume partially offset by continuing margin pressures resulting from price competition.

Provision for Losses on Representations and Warranties

We provide for our estimate of the future losses that we may be required to incur as a result of our breach of representations and warranties to the purchasers of the loans we sell. Our agreements with the Agencies include representations and warranties related to the mortgage 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, the potential 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.

72

Following is a summary of the indemnification and repurchase activity and UPB of mortgage loans subject to representations and warranties:

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015			2014
	(in thousands)
	(unpaid principal balance of mortgage loans)
Indemnification activity
Mortgage loans indemnified by PMT at beginning of period	$	5,391	$	2,726	$	3,644		$	—
New indemnifications		294		918		2,240			3,644
Indemnified mortgage loans repurchased		—		—		—			—
Less: Indemnified mortgage loans repaid or refinanced		350		—		549			—
Mortgage loans indemnified by PMT at end of period	$	5,335	$	3,644	$	5,335		$	3,644
Indemnified mortgage loans collateralized with deposits placed by correspondent lenders at end of period	$	972	$	972	$	972		$	972
Repurchase activity
Total mortgage loans repurchased by PMT	$	1,900	$	3,609	$	14,996		$	11,415
Less:
Mortgage loans repurchased by correspondent lenders		1,118		1,960		12,203			6,228
Mortgage loans repaid by borrowers		—		—		—			—
Mortgage loans repurchased by PMT with losses chargeable to liability for representations and warranties	$	782	$	1,649	$	2,793		$	5,187
Losses charged to liability for representations and warranties, net of recoveries	$	74	$	—	$	(176	)	$	—
At end of period:
Unpaid principal balance of mortgage loans subject to representations and warranties	$	39,730,788	$	32,129,635
Liability for representations and warranties	$	18,473	$	13,235

During the quarter and nine months ended September 30, 2015, we repurchased mortgage loans with UPB totaling $1.9 million and $15.0 million, respectively, and charged losses for representations and warranties against the liability totaling $74,000 and recorded net recoveries of $176,000, respectively. During the quarter and nine months ended September 30, 2014, we repurchased mortgage loans with UPB totaling $3.6 million and $11.4 million, respectively, and there were no losses charged to the liability for representations and warranties. The losses we have recorded to date have been moderated by our ability to recover from the selling correspondent lenders most of the losses inherent in the repurchased mortgage loans. As the outstanding balance of mortgage loans we purchase and sell subject to representations and warranties increases and the mortgage loans sold season, we expect the level of repurchase activity and corresponding losses to increase.

The level of the liability for representations and warranties is difficult to estimate and requires considerable management judgment. The level of mortgage loan repurchase losses depends on economic factors, investor loss mitigation strategies, our ability to recover any losses inherent in the repurchased mortgage 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 evaluations of their loss mitigation strategies (including claims under representations and warranties) change and as economic conditions affect our correspondent lenders’ ability or willingness to fulfill their recourse obligations to us, the level of repurchase activity and ensuing losses will change, and we may be required to record adjustments to our recorded liability for losses on representations and warranties which may be material to our financial condition and results of operations. We recorded no such adjustments for the quarters ended September 30, 2015 and 2014. Such adjustments would be included as a component of our Net gain on mortgage loans acquired for sale.

73

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 and nine months ended September 30, 2015 compared to the same periods in 2014 is due to an increase in production of mortgage loans we sold to unaffiliated entities.

Net Gain on Investments

Net gain on investments is summarized below:

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
	(in thousands)
Net gain (loss) on investments:
From non-affiliates:
Mortgage-backed securities	$	3,564		$	(821	)	$	(1,622	)	$	6,096
Mortgage loans		31,909			81,296			79,163			194,808
Mortgage loans held in a VIE		7,421			(2,578	)		(2,856	)		24,906
Net derivative related to CRT Agreements		626			—			626			—
Asset-backed secured financing		(3,941	)		696			(719	)		(7,258	)
Hedging derivatives		(6,777	)		(807	)		(18,071	)		(14,609	)
		32,802			77,786			56,521			203,943
From PennyMac Financial Services, Inc:
Excess servicing spread purchased from PLS		(7,844	)		(7,396	)		(5,502	)		(17,834	)
	$	24,958		$	70,390		$	51,019		$	186,109

During the quarter and nine months ended September 30, 2015, we recorded net gain on investments totaling $25.0 million and $51.0 million compared to net gain on investments totaling $70.4 million and $186.1 million during the quarter and nine months ended September 30, 2014. The decrease is largely due to decreased valuation gains in our portfolio of mortgage loans, primarily the result of moderation in both actual and projected real estate values relating to the properties securing our distressed mortgage loans as well as a slower than expected transition of mortgage loans toward resolution as compared to the same periods in 2014. The average portfolio balance of distressed mortgage loan investments (mortgage loans at fair value excluding mortgage loans at fair value held in VIE) increased by $79.1 million and $96.8 million, or 3.7% and 4.5%, during the quarter and nine months ended September 30, 2015 as compared to the same periods in 2014.

Mortgage-Backed Securities

During the quarter and nine months ended September 30, 2015, we recognized a net valuation gain on MBS of $3.6 million and a net valuation loss of $1.6 million, respectively, compared to a valuation loss of $821,000 and a valuation gain of $6.1 million for the quarter and nine months ended September 30, 2014. The gain recognized during the quarter ended September 30, 2015 reflects the decrease in mortgage market interest rates from June 30, 2015. The loss recognized during the nine months ended September 30, 2015 reflects declines in value caused by prepayment speeds in excess of amortization of premium and by an increase in market yield on MBS backed by jumbo mortgage loans, as opposed to a gain on investments from a significant decrease in mortgage market interest rates in the nine months ended September 30, 2014.

ESS Purchased from PLS

We recognized fair value losses relating to our investment in ESS totaling $7.8 million and $5.5 million for the quarter and nine months ended September 30, 2015 compared to fair value losses of $7.4 million and $17.8 million for the quarter and nine months ended September 30, 2014. Mortgage interest rates decreased at the end of the quarter ended September 30, 2015 causing our estimate of future prepayments to increase as compared to 2014, resulting in a decrease in fair value. The effect of this decrease in fair value was compounded by growth in our investment in ESS. The loss recognized during the nine months ended September 30, 2015 reflects prepayment speeds in excess of expectations and a decline in mortgage market interest rates subsequent to large purchases of ESS made during the period, as contrasted to the larger loss recognized in the nine months ended September 30, 2014 due to a significant decrease in mortgage market interest rates during that period. Our average investment in ESS increased from $188.6 million and $160.3 million for the quarter and nine months ended September 30, 2014 to $428.3 million and $314.0 million for the quarter and nine months ended September 30, 2015.

74

Mortgage Loans at Fair Value

Net gain on mortgage loans at fair value and mortgage loans under forward purchase agreements at fair value are summarized below:

	Quarter ended September 30,					Nine months ended September 30,
	2015			2014		2015			2014
	(in thousands)
Valuation changes:
Performing loans	$	6,007		$	23,255	$	22,074		$	62,137
Nonperforming loans		23,051			51,913		49,585			109,914
		29,058			75,168		71,659			172,051
Gain on payoffs		2,911			5,866		7,583			18,975
Gain (loss) on sales		(60	)		262		(79	)		3,782
	$	31,909		$	81,296	$	79,163		$	194,808

The decrease in our net gain on mortgage loans at fair value is primarily the result of moderation in both actual and projected real estate values relating to the properties securing our distressed loans, reduced appreciation of performing mortgage loans resulting from observed marketplace demand and slower than expected transitions of loans toward resolution as compared to the quarter and nine months ended September 30, 2014.

The valuation changes on performing mortgage loans reflect the effects of capitalization of delinquent interest on mortgage loans we modify. When we capitalize interest in a mortgage loan modification, we increase the carrying value of the loan. However, the modification generally may not result in an immediate increase in the mortgage loan’s fair value. Valuation gains on mortgage 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, 2015, we capitalized interest totaling $14.8 million and $35.0 million, as compared to $10.5 million and $40.8 million for the quarter and nine months ended September 30, 2014. Loan modifications decreased due to a higher volume of liquidation resolutions for non-performing mortgage loans, reduced opportunities from a lower non-performing mortgage loan portfolio, and a lower response rate to modification initiatives in 2015 compared to 2014. Capitalized interest increased despite lower modification volumes during the quarter ended September 30, 2015 as compared to the same period in 2014 due to higher loan balances on the mortgage loans modified. In addition, the weighted average note interest rate of our portfolio of performing mortgage loans decreased from 3.76% at September 30, 2014 to 3.43% at September 30, 2015.

During the quarter and nine months ended September 30, 2015 and 2014, we recognized gains on mortgage loan payoffs as summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(dollars in thousands)
Number of loans		158		528		616		1,209
Unpaid principal balance	$	56,816	$	73,753	$	177,381	$	251,829
Gain recognized at payoff	$	2,911	$	5,866	$	7,583	$	8,975

Gains on sales of distressed mortgage loans are summarized below:

	Quarter ended September 30,					Nine months ended September 30,
	2015			2014		2015			2014
Number of loans		3			369		37			1,731
Unpaid principal balance	$	342		$	80,189	$	3,279		$	393,609
Gain (Loss) recognized at sale	$	(60	)	$	262	$	(79	)	$	3,791

We recognized valuation gains to reflect the commitment price of the mortgage loans subject to the mortgage loan sale at the time we entered into the commitment to sell such loans. Therefore, the gain (loss) recognized on sale of mortgage loans generally reflects the difference between net proceeds from sale of the mortgage loans and the commitment price of sale.

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.

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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 such loan. Our current expectation is that we will receive cash on modified mortgage loans through monthly borrower payments, incentive payments earned pursuant to HAMP, payoffs or acquisition of the property securing the loans and liquidation of the property in the event the borrower subsequently defaults.

Large-scale refinancing of modified mortgage loans is not expected to occur for an extended period. Borrowers who have recently modified their mortgage loans typically have credit profiles that do not qualify them for refinancing or have mortgage 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, before becoming eligible 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 value of the property securing the loan to refinance immediately following a modification.

The following table presents a summary of loan modifications completed:

	Quarter ended September 30,										Nine months ended September 30,
	2015					2014					2015					2014
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		201	$	50,718			205	$	42,248			479	$	117,984			971	$	222,889
Term extension		222	$	55,312			231	$	47,472			559	$	138,788			1,101	$	263,781
Capitalization of interest and fees		268	$	66,836			307	$	65,138			672	$	167,823			1,423	$	338,490
Principal forbearance		52	$	14,756			90	$	22,890			148	$	44,385			459	$	135,062
Principal reduction		151	$	38,342			138	$	29,120			349	$	87,887			680	$	166,165
Total (1)		268	$	66,836			307	$	65,138			672	$	167,823			1,423	$	338,490
Defaults of mortgage loans modified in the prior year period			$	3,875				$	4,771				$	32,907				$	18,674
As a percentage of balance of loans before modification				7	%				6	%				13	%				12	%
Defaults during the period of mortgage loans modified since acquisitions (3)			$	16,237				$	19,945				$	60,399				$	51,006
As a percentage of balance of loans before modification				3	%				8	%				13	%				20	%
Repayments and sales of mortgage loans modified in the prior year period			$	2,164				$	16,322				$	8,114				$	52,848
As a percentage of balance of loans before modification				3	%				17	%				3	%				27	%

(1) Modification type categories are not mutually exclusive and a modification of a single loan may be counted in multiple categories. 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 effect of the modifications noted above to the terms of the loans modified:

	Quarter ended September 30,												Nine months ended September 30,
	2015						2014						2015						2014
Category	Before modification			After modification			Before modification			After modification			Before modification			After modification			Before modification			After modification
	(dollars in thousands)
Loan balance	$	249		$	261		$	212		$	218		$	250		$	262		$	238		$	240
Remaining term (months)		328			442			320			405			327			432			323			415
Interest rate		5.19	%		3.29	%		5.41	%		3.74	%		5.19	%		3.39	%		5.43	%		3.72	%
Forbeared principal	$	—		$	9		$	—		$	10		$	—		$	10		$	—		$	13

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,
	2015			2014			2015			2014
	(in thousands)
Servicing fees (1)	$	25,500		$	20,300		$	74,016		$	56,988
MSR recapture fee receivable from PLS		670			—			670			9
Effect of MSRs:								—
Carried at lower of amortized cost or fair value								—
Amortization		(11,333	)		(8,109	)		(30,913	)		(23,171	)
(Provision for) reversal of impairment		(7,845	)		602			(7,142	)		(2,248	)
Gain on sale		4			—			87			—
Carried at fair value—change in fair value		(5,266	)		(1,606	)		(8,776	)		(8,398	)
Gains (losses) on hedging derivatives		19,061			(654	)		13,868			3,532
		(5,379	)		(9,767	)		(32,876	)		(30,285	)
Net loan servicing fees	$	20,791		$	10,533		$	41,810		$	26,712
Average servicing portfolio	$	38,172,371		$	30,701,324		$	36,446,663		$	28,597,033

(1) Includes contractually specified servicing and ancillary fees.

Net loan servicing fees increased $10.3 million and $15.1 million during the quarter and nine months ended September 30, 2015 compared to the same periods in 2014. The increase was primarily due to a $5.2 million and $17.0 million, or 26% and 30%, increase in servicing fees. The increase in servicing fees for the quarter ended September 30, 2015 was supplemented with a $4.4 million reduction in the effect of MSRs on net loan servicing fees as compared to the same period in 2014. The increase in servicing fees for the nine months ended September 30, 2015 was partially offset by a $2.6 million increase in the effect of MSRs as compared to the same period in 2014.

The increase in servicing fees is attributable to an increase in our average servicing portfolio of 24% and 27% for the quarter and nine months ended September 30, 2015 as compared to the same periods in 2014. The increase in the provision for impairment and change in fair value during 2015 as compared to 2014 is due to the effect of a larger decrease in mortgage interest rates at the end of the periods ended September 30, 2015 as compared to the decrease in interest rates at the end of the periods ended September 30, 2014. Decreasing interest rates generally encourage increased refinancing activity which negatively affects the life and therefore fair value of MSRs, while increasing interest rates generally discourage refinancing activity which positively influences the fair value of MSRs. The performance of the MSRs was partially offset in each period by results of hedging derivatives.

We have 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

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originated. Where the fair value of the aggregate MSRs to be transferred for the applicable month 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 place of transferring such MSRs. We recognized MSR recapture during the quarter and nine months ended September 30, 2015 of $670,000 compared to zero and $9,000 of such income during the quarter and nine months ended September 30, 2014.

Amortization, impairment and changes in fair value of MSRs have a significant effect on net loan servicing fees, driven primarily by our monthly estimation of the fair value of MSRs. 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.

We account for MSRs at either the asset’s fair value with changes in fair value recorded in current period earnings or using the amortization method with the MSRs carried at the lower of estimated amortized cost or fair value based on the class of MSR. We have identified two classes of MSRs: originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5%; and MSRs backed by mortgage loans with initial interest rates of more than 4.5%. The Company’s subsequent accounting for MSRs is based on the class of MSRs. Originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5% are accounted for using the amortization method. Originated MSRs backed by loans with initial interest rates of more than 4.5% are accounted for at fair value with changes in fair value recorded in current period income.

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

	September 30, 2015			December 31, 2014
	(in thousands)
MSRs carried at fair value	$	57,751		$	57,358
MSR carried at lower of amortized cost or fair value:
Amortized cost	$	380,200		$	308,137
Valuation allowance		(14,856	)		(7,715	)
Carrying value	$	365,344		$	300,422
Fair value	$	386,539		$	322,230
Total MSR:
Carrying value	$	423,095		$	357,780
Fair value	$	444,290		$	379,588
Unpaid principal balance of mortgage loans underlying MSRs	$	39,895,797		$	34,285,473
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			25
Average note interest rate
MSRs carried at lower of amortized cost or fair value		3.84	%		3.80	%
MSRs carried at fair value		4.77	%		4.78	%

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, 2015, we recorded net losses of $4.2 million and $11.9 million, respectively, in Results of real estate acquired in settlement of loans as compared to net losses of $11.9 million and $23.9 million, respectively, for the quarter and nine months ended September 30, 2014.

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Results of REO are summarized below:

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
	(dollars in thousands)
During the period:
Proceeds from sales of REO	$	46,686		$	47,891		$	174,784		$	130,159
Results of real estate acquired in settlement of loans:
Valuation adjustments, net		(8,734	)		(15,639	)		(26,740	)		(33,691	)
Gain on sale, net		4,513			3,713			14,881			9,791
	$	(4,221	)	$	(11,926	)	$	(11,859	)	$	(23,900	)
Number of properties sold		501			490			1,346			1,303
Average carrying value of REO	$	339,638		$	259,884		$	323,570		$	213,314
Period end:
Carrying value	$	358,011		$	275,185
Number of properties in inventory		1,754			1,718

The decrease in losses from REOs during the quarter ended September 30, 2015 compared to the same period in 2014 was due to lower downward valuation adjustments due to less unfavorable estimates of home values during the REO holding period. The decrease in losses from REOs during the nine months ended September 30, 2015 compared to the same period in 2014 was due to recognition of larger gain on sale realized on the sale of the properties and lower downward valuation adjustments due to better execution of REO property sales versus original estimates and less unfavorable estimates of home values during the REO holding period. 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,
	2015		2014		2015		2014
	(in thousands)				(in thousands)
Expenses payable to PLS:
Loan fulfillment fees	$	17,553	$	15,497	$	45,752	$	36,832
Loan servicing fees		11,736		12,325		34,542		41,096
Management fees		5,742		9,623		18,524		26,609
Compensation		1,550		1,843		5,748		6,668
Professional services		1,759		1,927		5,249		6,348
Other (1)		7,327		7,384		22,006		18,604
	$	45,667	$	48,599	$	131,821	$	136,157

(1) For the quarter and nine months ended September 30, 2015, in accordance with the terms of the management agreement, PCM provided the Company discretionary waivers of $900,000 and $1.6 million, respectively, of overhead expenses that otherwise would have been allocable to the Company.

Expenses decreased $2.9 million, or 6%, and $4.3 million, or 3%, during the quarter and nine months ended September 30, 2015, compared to the same periods in 2014. This decrease was primarily a result of servicing fees reflecting a decrease in activity-based fees and decreased management fees from lower net income. The decrease in expenses for the quarter and nine months ended September 30, 2015 as compared to the same periods in 2014, was partially offset by increased fulfillment fees reflecting increased correspondent production activities.

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Loan Fulfillment Fees

Loan fulfillment fees represent fees we pay to PLS 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,
	2015		2014		2015		2014
	(in thousands)
Fulfillment fee expense	$	17,553	$	15,497	$	45,752	$	36,832
UPB of loans fulfilled by PLS	$	4,073,200	$	3,677,613	$	10,542,411	$	8,588,955
Average fulfillment fee rate (in basis points)		43		42		43		43

The increase in loan fulfillment fees of $2.1 million and $8.9 million during the quarter and nine months ended September 30, 2015 compared to the same periods in 2014 is primarily due to the increase in the volume of Agency-eligible mortgage loans we purchased in our correspondent production activities.

Loan Servicing Fees

Loan servicing fees decreased by $589,000, or 5%, and $6.6 million, or 16% during the quarter and nine months ended September 30, 2015, respectively, compared to the same periods in 2014, primarily as a result of reduced activity-based liquidation fees on distressed mortgage loans resulting from reduced loan resolution activity as compared to 2014. We incur loan servicing fees primarily in support of our investment in mortgage loans at fair value and our loan servicing portfolio. During the quarter and nine months ended September 30, 2015, our average investment in mortgage loans was largely unchanged as compared to the same periods in 2014. During the quarter and nine months ended September 30, 2015, our average servicing portfolio increased 24% and 27% to $38.2 billion and $36.4 billion, respectively, from $30.7 billion and $28.6 billion for the same periods in 2014.

Activity-based fees decreased by $956,000 million and $7.1 million during the quarter and nine months ended September 30, 2015, as compared to the same periods in 2014 generally relating to the decrease in loan resolution activities. Included in the base servicing fee we pay PLS is a supplemental servicing fee. Supplemental servicing fees are a component of the total base servicing fee and compensate PLS 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 PLS effective January 1, 2014 to limit the supplemental servicing fees we pay PLS for non-distressed mortgage loans we subservice to no more than $700,000 per quarter and further amended our servicing agreement to eliminate such supplemental servicing fees, effective September 1, 2015. During the quarters and nine months ended September 30, 2015 and 2014, we paid PLS $700,000 and $2.1 million, respectively, in supplemental servicing fees relating to our MSR servicing portfolio.

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Loan servicing fees payable to PLS are summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Mortgage loans acquired for sale at fair value:
Base	$	130	$	28	$	198	$	74
Activity-based		153		35		243		112
		283		63		441		186
Mortgage loans at fair value:
Distressed mortgage loans
Base		3,896		4,662		12,053		14,549
Activity-based		2,961		4,076		8,948		16,208
		6,857		8,738		21,001		30,757
Mortgage loans held in VIE
Base		34		17		92		71
Activity-based		—		—		—		—
		34		17		92		71
MSRs:
Base		4,473		3,459		12,783		9,930
Activity-based		89		48		225		152
		4,562		3,507		13,008		10,082
	$	11,736	$	12,325	$	34,542	$	41,096
Average investment in:
Mortgage loans acquired for sale at fair value	$	1,783,011	$	732,287	$	1,189,754	$	530,861
Distressed mortgage loans	$	2,201,533	$	2,122,397	$	2,268,538	$	2,171,724
Mortgage loans held in a VIE	$	481,925	$	537,367	$	504,351	$	534,784
Average mortgage loan servicing portfolio	$	38,172,371	$	30,701,324	$	36,446,663	$	28,597,033

Management Fees

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

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Base	$	5,742	$	6,033	$	17,181	$	17,392
Performance incentive		—		3,590		1,343		9,217
Total management fee incurred during the period	$	5,742	$	9,623	$	18,524	$	26,609

Management fees decreased by $3.9 million and $8.1 million during the quarter and nine months ended September 30, 2015 as compared to the same periods in 2014, primarily due to the decrease in our income over the rolling four-quarter period upon which our performance incentive fee is based, thereby reducing such performance incentive fee.

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.

Compensation

Compensation expense decreased by $293,000 and $920,000 during the quarter and nine months ended September 30, 2015, respectively, as compared to the quarter and nine months ended September 30, 2014, primarily due to decreased allocations of compensation expenses from our Manager during the periods ended September 30, 2015 as compared to the periods ended September 30, 2014 as well as decreased share-based compensation expense, reflecting the effects of the Company’s decreasing share price on the portion of the Company’s share grants that are accounted for using variable accounting.

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Other Expenses

Other expenses are summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Common overhead allocation from PCM (1)	$	2,550	$	2,802	$	7,487	$	8,018
Servicing and collection costs		1,853		2,064		6,480		5,809
Loan origination		1,367		1,202		3,496		1,637
Insurance		309		247		984		738
Technology		307		246		910		720
Other expenses		941		823		2,649		1,682
	$	7,327	$	7,384	$	22,006	$	18,604

(1) For the quarter and nine months ended September 30, 2015, in accordance with the terms of the management agreement, PCM provided us discretionary waivers of $900,000 and $1.6 million, respectively, of overhead expenses that otherwise would have been allocable to us.

Other expenses increased during the nine months ended September 30, 2015 as compared to the nine months ended September 30, 2014 by $3.4 million primarily due to loan origination expenses, reflecting increased mortgage loan production volume.

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.

Our effective tax rate is 14.0% and (12.1)% for the quarter and nine months ended September 30, 2015, respectively, as compared to 5.1% and (0.3)% for the same periods in 2014. The increase in our tax expense for the quarter ended September 30, 2015 as compared to the same period in 2014 is due primarily to increased income before income taxes earned at our taxable REIT subsidiary. The increase in our tax benefit for the nine months ended September 30, 2015 as compared to the same period in 2014 is due primarily to an increased loss before income taxes incurred at our taxable REIT subsidiary. The primary difference between our effective tax rate and the statutory tax rate is due to non-taxable REIT income resulting from the dividends paid deduction.

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.

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Balance Sheet Analysis

Following is a summary of key balance sheet items as of the dates presented:

	September 30, 2015		December 31, 2014
	(in thousands)
Assets
Cash	$	89,303	$	76,386
Investments:
Short-term investments		31,518		139,900
Mortgage-backed securities		315,599		307,363
Mortgage loans acquired for sale at fair value		1,050,296		637,722
Mortgage loans at fair value		2,637,730		2,726,952
Excess servicing spread		418,573		191,166
Derivative assets		16,806		11,107
Real estate acquired in settlement of loans		353,563		303,228
Real estate held for investment		4,448		—
Mortgage servicing rights		423,095		357,780
		5,251,628		4,675,218
Other assets		251,300		145,654
Total assets	$	5,592,231	$	4,897,258
Liabilities
Borrowings:
Assets sold under agreements to repurchase and mortgage loan participation and sale agreement	$	2,925,110	$	2,749,249
Federal Home Loan Bank advances		183,000		—
Notes payable		192,332		—
Note payable to PennyMac Financial Services, Inc.		150,000		—
Asset-backed secured financing of the variable interest entity		234,287		165,920
Exchangeable senior notes		244,805		244,079
		3,929,534		3,159,248
Other liabilities		148,267		159,838
Total liabilities		4,077,801		3,319,086
Shareholders’ equity		1,514,430		1,578,172
Total liabilities and shareholders’ equity	$	5,592,231	$	4,897,258

Total assets increased by approximately $695.0 million, or 14.2%, during the period from December 31, 2014 through September 30, 2015, primarily due to a $412.6 million increase in mortgage loans acquired for sale at fair value, a $227.4 million increase in ESS, a $65.3 million increase in MSRs and a $50.3 million increase in REO, partly offset by a $95.5 million decrease in cash and short-term investments. Our asset acquisitions are summarized below.

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Asset Acquisitions

Correspondent Production

Following is a summary of our correspondent production acquisitions at fair value:

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Correspondent mortgage loan purchases:
Government-insured or guaranteed	$	10,894,826	$	4,614,645	$	25,034,745	$	11,890,787
Agency-eligible		4,188,139		3,628,373		10,782,136		8,602,756
Jumbo		18,635		171,484		105,772		266,340
	$	15,101,600	$	8,414,502	$	35,922,653	$	20,759,883
UPB of correspondent mortgage loan purchases	$	14,421,579	$	8,055,585	$	34,313,410	$	19,871,304
Gain on mortgage loans acquired for sale	$	13,884	$	9,509	$	35,219	$	29,702
Fair value of correspondent loans in inventory at period end:
To PLS		373,812		59,719
To Non-Affiliates		676,484		629,131
	$	1,050,296	$	688,850

During the quarter and nine months ended September 30, 2015, we purchased for sale $15.1 billion and $35.9 billion, respectively, in fair value of correspondent production loans compared to $8.4 billion and $20.8 billion, respectively, in fair value of correspondent production loans during the quarter and nine months ended September 30, 2014. The increase in correspondent purchases is primarily a result of the effects on demand for mortgage loans of lower interest rates that have prevailed during the quarter and nine months ended September 30, 2015 as compared to those that prevailed during the quarter and nine months ended September 30, 2014.

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 increasing mortgage loan purchase volume, increasing our borrowing capacity or in obtaining the additional 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,
	2015		2014		2015		2014
	(in thousands)
MBS	$	37,095	$	54,284	$	62,224	$	73,922
Distressed mortgage loans (1)
Performing		—		—		—		735
Nonperforming		—		—		241,981		282,282
		—		—		241,981		283,017
REO		—		—		—		3,117
MSRs received in mortgage loan sales		52,814		39,614		112,450		89,230
ESS purchased from PennyMac Financial Services, Inc.		84,165		9,253		271,452		82,646
	$	174,074	$	103,151	$	688,107	$	531,932

(1) Performance status as of the date of acquisition.

84

Our acquisitions during the quarter ended September 30, 2015 and during the quarter ended September 30, 2014 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.

Investment Portfolio Composition

Mortgage-Backed Securities

Following is a summary of our MBS holdings:

	September 30, 2015												December 31, 2014
					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	$	161,228	$	154,699		6.50		3.50	%		2.71	%	$	139,577	$	133,964		6.46		3.50	%		2.70	%
Fannie Mae		50,684		48,509		7.09		3.50	%		2.72	%		55,941		53,559		7.13		3.50	%		2.73	%
		211,912		203,208		6.64		3.50	%		2.72	%		195,518		187,523		6.65		3.50	%		2.71	%
Non-Agency Prime Jumbo		103,687		103,765		4.31		3.45	%		3.37	%		111,845		111,270		4.77		3.49	%		3.31	%
	$	315,599	$	306,973		5.85		3.48	%		2.94	%	$	307,363	$	298,793		5.97		3.50	%		3.00	%

Mortgage Loans

The relationship of the fair value 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) to the fair value of the real estate collateral underlying the mortgage loans is summarized below:

	September 30, 2015				December 31, 2014
	Loan		Collateral		Loan		Collateral
	(in thousands)
Fair values:
Performing loans	$	801,018	$	1,159,861	$	664,266	$	935,383
Nonperforming loans		1,359,440		1,947,370		1,535,317		2,246,585
	$	2,160,458	$	3,107,231	$	2,199,583	$	3,181,968

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, our asset disposition strategies with respect to individual loans, the costs and expenses we incur in the disposition process, changes in borrower performance and 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.

85

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 a VIE):

	September 30, 2015																December 31, 2014
	Performing loans								Nonperforming loans								Performing loans								Nonperforming loans
						Average								Average								Average								Average
	Fair		%			note			Fair		%			note			Fair		%			note			Fair		%			note
Loan type	value		total			rate			value		total			rate			value		total			rate			value		total			rate
	(dollars in thousands)
Fixed	$	380,322		47	%		4.39	%	$	542,478		40	%		5.68	%	$	322,704		49	%		4.81	%	$	653,313		43	%		5.88	%
ARM/Hybrid		157,265		20	%		3.26	%		771,987		57	%		4.81	%		127,405		19	%		3.28	%		846,282		55	%		5.01	%
Interest rate step-up		263,270		33	%		1.97	%		44,626		3	%		2.36	%		213,999		32	%		2.29	%		34,854		2	%		2.30	%
Balloon		161		0	%		2.21	%		349		0	%		6.17	%		158		0	%		1.97	%		868		0	%		5.16	%
	$	801,018		100	%		3.43	%	$	1,359,440		100	%		5.06	%	$	664,266		100	%		3.68	%	$	1,535,317		100	%		5.31	%

	September 30, 2015																December 31, 2014
	Performing loans								Nonperforming loans								Performing loans								Nonperforming loans
						Average								Average								Average								Average
	Fair		%			note			Fair		%			note			Fair		%			note			Fair		%			note
Lien position	value		total			rate			value		total			rate			value		total			rate			value		total			rate
	(dollars in thousands)
1st lien	$	800,365		100	%		3.42	%	$	1,359,300		100	%		5.06	%	$	663,686		100	%		3.67	%	$	1,535,139		100	%		5.30	%
2nd lien		653		0	%		4.37	%	$	140		0	%		8.69	%		580		0	%		4.53	%		178		0	%		8.72	%
Unsecured		—		0	%		0.00	%		—		0	%		0.00	%		—		0	%		0.00	%		—		0	%		0.00	%
	$	801,018		100	%		3.43	%	$	1,359,440		100	%		5.06	%	$	664,266		100	%		3.68	%	$	1,535,317		100	%		5.31	%

	September 30, 2015																December 31, 2014
	Performing loans								Nonperforming loans								Performing loans								Nonperforming loans
						Average								Average								Average								Average
	Fair		%			note			Fair		%			note			Fair		%			note			Fair		%			note
Occupancy	value		total			rate			value		total			rate			value		total			rate			value		total			rate
	(dollars in thousands)
Owner occupied	$	625,986		78	%		3.49	%	$	745,626		55	%		5.03	%	$	524,833		79	%		3.78	%	$	926,637		60	%		5.21	%
Investment property		172,202		21	%		3.16	%		612,618		45	%		5.10	%		137,347		21	%		3.27	%		607,086		40	%		5.45	%
Other		2,830		1	%		4.17	%		1,196		0	%		5.48	%		2,086		0	%		4.22	%		1,594		0	%		5.44	%
	$	801,018		100	%		3.43	%	$	1,359,440		100	%		5.06	%	$	664,266		100	%		3.68	%	$	1,535,317		100	%		5.31	%

	September 30, 2015																December 31, 2014
	Performing loans								Nonperforming loans								Performing loans								Nonperforming loans
						Average								Average								Average								Average
	Fair		%			note			Fair		%			note			Fair		%			note			Fair		%			note
Loan age	value		total			rate			value		total			rate			value		total			rate			value		total			rate
	(dollars in thousands)
Less than 12 months	$	77		0	%		3.33	%	$	—		0	%		0.00	%	$	167		0	%		4.51	%	$	—		0	%		4.63	%
12 - 35 months		479		0	%		4.15	%		38		0	%		4.11	%		401		0	%		4.01	%		38		0	%		3.86	%
36 - 59 months		9,422		1	%		3.18	%		5,866		0	%		3.63	%		18,061		3	%		3.67	%		22,136		1	%		3.31	%
60 months or more		791,040		99	%		3.43	%		1,353,536		100	%		5.07	%		645,637		97	%		3.67	%		1,513,143		99	%		5.34	%
	$	801,018		100	%		3.43	%	$	1,359,440		100	%		5.06	%	$	664,266		100	%		3.68	%	$	1,535,317		100	%		5.31	%

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	September 30, 2015																December 31, 2014
	Performing loans								Nonperforming loans								Performing loans								Nonperforming loans
						Average								Average								Average								Average
Origination	Fair		%			note			Fair		%			note			Fair		%			note			Fair		%			note
FICO score	value		total			rate			value		total			rate			value		total			rate			value		total			rate
	(dollars in thousands)
Less than 600	$	191,757		24	%		3.82	%	$	227,692		17	%		5.09	%	$	166,135		25	%		4.14	%	$	249,049		16	%		5.52	%
600-649		152,080		19	%		3.58	%		265,277		20	%		4.95	%		133,681		20	%		3.90	%		263,560		17	%		5.33	%
650-699		197,788		25	%		3.37	%		410,506		30	%		5.07	%		167,970		25	%		3.61	%		455,709		30	%		5.32	%
700-749		187,964		23	%		3.07	%		335,360		25	%		5.10	%		143,759		22	%		3.14	%		408,162		27	%		5.22	%
750 or greater		71,429		9	%		3.01	%		120,605		8	%		5.13	%		52,721		8	%		3.17	%		158,837		10	%		5.06	%
	$	801,018		100	%		3.43	%	$	1,359,440		100	%		5.06	%	$	664,266		100	%		3.68	%	$	1,535,317		100	%		5.31	%

	September 30, 2015																December 31, 2014
	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)
Less than 80%	$	221,327		28	%		4.07	%	$	362,308		26	%		5.15	%	$	143,964		22	%		4.37	%	$	297,061		19	%		5.30	%
80% - 99.99%		209,045		26	%		3.58	%		370,521		27	%		4.95	%		168,140		25	%		3.73	%		389,938		25	%		5.36	%
100% - 119.99%		180,018		22	%		3.27	%		297,702		22	%		5.08	%		204,820		31	%		3.53	%		382,264		26	%		5.23	%
120% or greater		190,628		24	%		2.94	%		328,909		25	%		5.07	%		147,342		22	%		3.37	%		466,054		30	%		5.33	%
	$	801,018		100	%		3.43	%	$	1,359,440		100	%		5.06	%	$	664,266		100	%		3.68	%	$	1,535,317		100	%		5.31	%

(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, 2015																December 31, 2014
	Performing loans								Nonperforming loans								Performing loans								Nonperforming loans
						Average								Average								Average								Average
Geographic	Fair		%			note			Fair		%			note			Fair		%			note			Fair		%			note
distribution	value		total			rate			value		total			rate			value		total			rate			value		total			rate
	(dollars in thousands)
California	$	231,139		29	%		3.10	%	$	237,257		17	%		4.25	%	$	188,307		28	%		3.06	%	$	293,219		19	%		4.50	%
New York		86,472		11	%		3.12	%		313,208		23	%		5.58	%		61,785		9	%		3.48	%		321,176		21	%		5.76	%
Florida		56,226		7	%		3.12	%		145,049		11	%		5.50	%		47,890		7	%		3.54	%		167,722		11	%		5.79	%
New Jersey		41,185		5	%		2.82	%		183,407		13	%		5.24	%		31,698		5	%		3.03	%		195,648		13	%		5.54	%
Other		385,996		48	%		3.80	%		480,519		36	%		4.88	%		334,586		51	%		4.14	%		557,552		36	%		5.20	%
	$	801,018		100	%		3.43	%	$	1,359,440		100	%		5.06	%	$	664,266		100	%		3.68	%	$	1,535,317		100	%		5.31	%

	September 30, 2015																December 31, 2014
	Performing loans								Nonperforming loans								Performing loans								Nonperforming loans
						Average								Average								Average								Average
	Fair		%			note			Fair		%			note			Fair		%			note			Fair		%			note
Payment status	value		total			rate			value		total			rate			value		total			rate			value		total			rate
	(dollars in thousands)
Current	$	609,502		76	%		3.31	%	$	—		0	%		0.00	%	$	477,773		72	%		3.53	%	$	—		0	%		0.00	%
30 days delinquent		132,777		17	%		3.82	%		—		0	%		0.00	%		114,179		17	%		4.16	%		—		0	%		0.00	%
60 days delinquent		58,739		7	%		3.71	%		—		0	%		0.00	%		72,314		11	%		3.88	%		—		0	%		0.00	%
90 days or more
delinquent		—		0	%		0.00	%		533,069		39	%		4.60	%		—		0	%		0.00	%		608,144		40	%		4.76	%
In foreclosure		—		0	%		0.00	%		826,371		61	%		5.35	%		—		0	%		0.00	%		927,173		60	%		5.66	%
	$	801,018		100	%		3.43	%	$	1,359,440		100	%		5.06	%	$	664,266		100	%		3.68	%	$	1,535,317		100	%		5.31	%

87

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:

	Range
	(Weighted average)
Key inputs	September 30, 2015	December 31, 2014
Discount rate
Range	2.5% – 15.0%	2.3% – 15.0%
Weighted average	6.9%	7.7%
Twelve-month projected housing price index change
Range	2.0% – 4.3%	4.0% – 5.3%
Weighted average	3.9%	4.8%
Prepayment speed (1)
Range	0.1% – 4.6%	0.0% – 6.5%
Weighted average	3.6%	3.1%
Total prepayment speed (2)
Range	3.6% – 27.3%	0.0% – 27.9%
Weighted average	20.5%	21.6%

(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 7.7% at December 31, 2014 to 6.9% at September 30, 2015 due to a greater proportion of our portfolio being composed of performing mortgage loans. Valuations for performing mortgage loans require lower discount rates than non-performing loans. This reduction in discount rates also reflects adjustments due to observations of lower market returns for similar assets during the period.

The weighted average twelve-month projected housing price index (“HPI”) change decreased from 4.8% at December 31, 2014 to 3.9% at September 30, 2015 due to moderating forecasts of home price appreciation in the geographic areas in which our portfolio of mortgage loans is concentrated.

The total projected prepayment speeds for our portfolio of mortgage loans at fair value decreased from 21.6% at December 31, 2014, to 20.5% at September 30, 2015 due to a greater proportion of performing loans in the portfolio, which will typically run off at slower speeds than non-performing loans.

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Real Estate Acquired in Settlement of Loans

Following is a summary of our REO by attribute:

	September 30, 2015					December 31, 2014
Property type	Carrying Value		% total			Carrying Value		% total
	(dollars in thousands)
1 - 4 dwelling units	$	258,170		73	%	$	212,728		70	%
Planned unit development		58,443		16	%		51,124		17	%
Condominium/Co-op		34,039		10	%		31,948		11	%
5+ dwelling units		2,911		1	%		7,428		2	%
	$	353,563		100	%	$	303,228		100	%
	September 30, 2015					December 31, 2014
Geographic distribution	Carrying Value		% total			Carrying Value		% total
	(dollars in thousands)
California	$	87,659		25	%	$	85,213		28	%
Florida		61,798		18	%		47,421		16	%
New Jersey		32,314		9	%		*		*
Maryland		31,445		9	%		34,427		11	%
New York		25,781		7	%		*		*
Illinois		19,009		5	%		14,963		5	%
Other		95,557		27	%		121,204		40	%
	$	353,563		100	%	$	303,228		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:

	Acquisitions for the quarter ended
	June 30, 2015						March 31, 2015						December 31, 2014						September 30, 2014
	At purchase			September 30, 2015			At purchase			September 30, 2015			At purchase			September 30, 2015			At purchase			September 30, 2015
	(dollars in millions)
Unpaid principal balance	$	0.0		$	0.0		$	310.2		$	284.8		$	330.8		$	303.3		$	0.0		$	0.0
Pool factor (1)		—			—			1.00			0.92			1.00			0.92			—			—
Collection status:
Delinquency
Current		0.0	%		0.0	%		1.8	%		7.5	%		1.6	%		15.6	%		0.0	%		0.0	%
30 days		0.0	%		0.0	%		0.3	%		0.6	%		1.6	%		5.2	%		0.0	%		0.0	%
60 days		0.0	%		0.0	%		0.1	%		0.3	%		7.1	%		3.6	%		0.0	%		0.0	%
over 90 days		0.0	%		0.0	%		66.7	%		29.7	%		52.7	%		35.0	%		0.0	%		0.0	%
In foreclosure		0.0	%		0.0	%		31.1	%		52.1	%		36.9	%		34.0	%		0.0	%		0.0	%
REO		0.0	%		0.0	%		0.0	%		9.8	%		0.0	%		6.6	%		0.0	%		0.0	%

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

89

	Acquisitions for the quarter ended
	June 30, 2014						March 31, 2014						December 31, 2013						September 30, 2013
	At purchase			September 30, 2015			At purchase			September 30, 2015			At purchase			September 30, 2015			At purchase			September 30, 2015
	(dollars in millions)
Unpaid principal balance	$	37.9		$	31.8		$	439.0		$	353.8		$	507.3		$	404.6		$	929.5		$	635.8
Pool factor (1)		1.00			0.84			1.00			0.81			1.00			0.80			1.00			0.60
Collection status:
Delinquency
Current		0.7	%		26.4	%		6.2	%		15.9	%		1.4	%		13.0	%		0.8	%		21.1	%
30 days		0.6	%		5.6	%		0.7	%		2.8	%		0.2	%		2.2	%		0.3	%		3.3	%
60 days		1.4	%		3.3	%		0.7	%		1.4	%		0.0	%		0.2	%		0.7	%		1.9	%
over 90 days		59.0	%		25.1	%		37.5	%		19.0	%		38.3	%		18.3	%		58.6	%		21.6	%
In foreclosure		38.2	%		30.8	%		53.8	%		46.2	%		60.0	%		47.5	%		39.6	%		31.1	%
REO		0.0	%		8.6	%		1.1	%		14.8	%		0.0	%		18.6	%		0.0	%		21.0	%

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

	Acquisitions for the quarter ended
	June 30, 2013						March 31, 2013						December 31, 2012						September 30, 2012
	At purchase			September 30, 2015			At purchase			September 30, 2015			At purchase			September 30, 2015			At purchase			September 30, 2015
	(dollars in millions)
Unpaid principal balance	$	397.3		$	273.1		$	366.2		$	197.8		$	290.3		$	147.1		$	357.2		$	162.3
Pool factor (1)		1.00			0.69			1.00			0.54			1.00			0.51			1.00			0.45
Collection status:
Delinquency
Current		4.8	%		30.1	%		1.6	%		46.2	%		3.1	%		33.1	%		0.0	%		25.3	%
30 days		7.4	%		6.0	%		1.5	%		8.7	%		1.3	%		10.0	%		0.0	%		3.1	%
60 days		7.6	%		4.8	%		3.5	%		5.8	%		5.4	%		5.0	%		0.1	%		1.3	%
over 90 days		45.3	%		19.2	%		82.2	%		15.2	%		57.8	%		15.7	%		49.1	%		18.0	%
In foreclosure		34.9	%		26.3	%		11.2	%		13.6	%		32.4	%		20.8	%		50.8	%		29.4	%
REO		0.0	%		13.6	%		0.0	%		10.4	%		0.0	%		15.3	%		0.0	%		22.9	%

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

	Acquisitions for the quarter ended
	June 30, 2012						March 31, 2012						December 31, 2011						September 30, 2011
	At purchase			September 30, 2015			At purchase			September 30, 2015			At purchase			September 30, 2015			At purchase			September 30, 2015
	(dollars in millions)
Unpaid principal balance	$	402.5		$	132.8		$	0.0		$	0.0		$	49.0		$	23.6		$	542.6		$	138.3
Pool factor (1)		1.00			0.33			—			—			1.00			0.48			1.00			0.25
Collection status:
Delinquency
Current		45.0	%		39.2	%		0.0	%		0.0	%		0.2	%		37.2	%		0.6	%		31.2	%
30 days		4.0	%		10.9	%		0.0	%		0.0	%		0.1	%		3.9	%		1.3	%		6.7	%
60 days		4.3	%		5.0	%		0.0	%		0.0	%		0.2	%		0.9	%		2.0	%		1.6	%
over 90 days		31.3	%		19.5	%		0.0	%		0.0	%		70.4	%		24.0	%		22.6	%		19.1	%
In foreclosure		15.3	%		19.3	%		0.0	%		0.0	%		29.0	%		22.9	%		73.0	%		23.4	%
REO		0.1	%		6.1	%		0.0	%		0.0	%		0.0	%		11.0	%		0.4	%		18.0	%

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

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Cash Flows

Our cash flows for the nine months ended September 30, 2015 and 2014 are summarized below:

	Nine months ended September 30,
	2015			2014			Change
	(in thousands)
Operating	$	(526,202	)	$	(383,396	)	$	(156,106	)
Investing		(69,232	)		308,277			(377,509	)
Financing		608,351			94,195			527,456
Net cash flows	$	12,917		$	19,076		$	(6,159	)

Our cash flows resulted in a net increase in cash of $12.9 million during the nine months ended September 30, 2015. The increase was due to cash provided by financing activities exceeding cash used by our operating and investing activities.

Operating activities

Cash used by operating activities totaled $526.2 million during the nine months ended September 30, 2015 compared to cash used by operating activities of $383.4 million during the nine months ended September 30, 2014. Cash used by operating activities in 2015 is primarily attributable to growth in our inventory of mortgage loans acquired for sale and the receipt of MSRs as a portion of the proceeds on sale of mortgage loans acquired for sale.

Investing activities

Net cash used by our investing activities was $69.2 million for the nine months ended September 30, 2015 and reflects new investments in ESS and distressed mortgage loan acquisitions in excess of proceeds from repayments and sales of investments. This compares with cash provided by investing activities totaling $308.3 million for the nine months ended September 30, 2014 as a result of net repayments in our investment portfolio. We used cash to purchase MBS, mortgage loans at fair value and ESS of $575.7 million and increased deposits of cash collateral to VIEs by $87.9 million. We realized cash inflows from a decrease in short-term investments, repayments of MBS, sales and repayments of mortgage loans, repayment of ESS, and sales of REO totaling $607.1 million.

Approximately 41% of our investments, comprised of short-term investments, MBS, mortgage loans, ESS, REO and MSRs, were nonperforming assets as of September 30, 2015. 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, 2015, we transferred $240.5 million of mortgage loans to REO and realized cash proceeds from the sales and repayments of mortgage loans at fair value and REO totaling $390.4 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 change 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.

Financing activities

Net cash provided by financing activities was $608.4 million for the nine months ended September 30, 2015, which was primarily used to fund the increase in our inventory of mortgage loans acquired for sale, ESS and mortgage loans at fair value. This compares with cash provided by financing activities totaling $94.2 million for the nine months ended September 30, 2014. The increase in cash flows from financing activities reflects increased financing needs to purchase mortgage loans acquired for sale at fair value and MSRs, including $346.2 million in advances from notes payable, $461.5 million in advances from FHLB, and $150.0 million in advances, net of repayments, from a note payable to PLS.

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.

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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 believe that our liquidity is sufficient to meet our current liquidity needs.

We do not expect repayments from contractual cash flows from our investments to be a primary source of liquidity as the majority of our investments are distressed assets that 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 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 collateralized borrowings in the form of borrowings under forward purchase agreements, sales of assets under agreements to repurchase, a mortgage loan participation and sale agreement, notes payable and FHLB advances. Copper Insurance, LLC, our wholly-owned captive insurance subsidiary, was granted membership with the Federal Home Loan Bank of Des Moines. As a member of the FHLB, we have access to a variety of products and services offered by the FHLB, including secured advances. Our membership to the FHLB, however, is contingent upon the continued membership eligibility of captive insurance companies. 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.

We will continue to finance most of our assets on a short-term basis until long-term financing becomes more available. 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. Following is a summary of the activities in our repurchase agreements financing:

	Quarter ended September 30,				Nine months ended September 30,
Assets sold under agreements to repurchase	2015		2014		2015		2014
	(in thousands)
Average balance outstanding	$	3,252,341	$	2,501,816	$	3,125,328	$	2,186,135
Maximum daily balance outstanding	$	4,160,814	$	2,815,572	$	4,612,001	$	2,700,586
Ending balance	$	2,864,032	$	2,416,047

(1) Excludes the effect of unamortized commitment fees and issuance costs.

The difference between the maximum and average daily amounts outstanding is due to increasing volume and the timing of loan purchases and sales in our correspondent acquisition business and timing of distressed loan acquisitions. The total facility size of our assets sold under agreements to repurchase was approximately $4.3 billion at September 30, 2015.

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As of September 30, 2015 and December 31, 2014, we financed our investments in MBS, mortgage loans acquired for sale at fair value, mortgage loans at fair value, mortgage loans at fair value held by a VIE, MSRs, ESS and REO with sales under agreements to repurchase, FHLB advances, notes payable, asset-back financing and a mortgage loan participation and sale agreement, as follows:

	September 30, 2015			December 31, 2014
	(dollars in thousands)
Assets financed	$	5,004,026		$	3,797,580
Total assets in classes of assets financed	$	5,203,304		$	3,975,265
Secured by borrowings (1)	$	3,686,516		$	2,916,286
Percentage of invested assets pledged		96	%		96	%
Advance rate against pledged assets		74	%		77	%
Leverage ratio (2)		2.59x			2.01x

(1) Excludes the effect of unamortized commitment fees and issue costs.

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

As discussed above, all of our repurchase agreements and forward purchase agreements and our mortgage loan participation and sale agreement have short-term maturities:

• The transactions relating to mortgage loans and REO under agreements to repurchase generally provide for terms of approximately one year and, in one instance, two years.

• The transactions relating to mortgage loans under mortgage loan participation and sale agreement provide for terms of approximately one year.

On September 14, 2015, through our wholly-owned subsidiary, PennyMac Corp. (“PMC”), we entered into a Loan and Security Agreement with Barclays Bank PLC, pursuant to which PMC may finance certain of its MSRs relating to mortgage loans pooled into Fannie Mae MBS in an aggregate loan amount not to exceed $150 million. We have, in turn, pledged Fannie Mae MSRs to secure the financing. At September 30, 2015, we had outstanding $148.0 million in advances under this facility, which provides for a term of approximately one year. The note matures on September 13, 2016. We used the proceeds of this financing to repay our borrowings collateralized by MSRs relating to mortgage loans pooled into Fannie Mae MBS under a Loan and Security Agreement with Citibank, N.A, which is now used to finance Freddie Mac MSRs only. The loan and security agreement with Citibank, N.A., matures on March 29, 2016.

As of September 30, 2015, leverage on MSRs and ESS continues to be limited in availability due to the requirement of each Agency that its rights and interest in the MSRs remain senior to those of any lender extending credit. As we continue to aggregate MSRs and ESS, the limited availability of financing 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 the Company for at least one (1) of the previous two consecutive fiscal quarters, as of the end of each fiscal quarter, and for both the prior two (2) calendar quarters, and at the Company and our Operating Partnership for 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 PennyMac Holdings, LLC (“PMH”); and a minimum of $10 million in unrestricted cash and cash equivalents at each of PMC and PMH;

• 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

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• 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 $170 million; and

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

Our debt financing agreements also contain margin call provisions that, upon notice from the applicable lender at its option, require us to transfer cash or, in some instances, additional assets in an amount sufficient to eliminate any margin deficit. A margin deficit will generally result from any decline in the market value (as determined by the applicable lender) of the assets subject to the related financing agreement, 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.

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

As of September 30, 2015, we have not entered into any off-balance sheet arrangements.

Contractual Obligations

As of September 30, 2015, we had contractual obligations comprised of borrowings totaling $3.9 billion.

All debt financing agreements that matured between September 30, 2015 and the date of this Report have been renewed, extended or repaid.

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Payment obligations under these agreements, including expected interest payments on financing 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	$	1,163,415	$	1,163,415	$	—	$	—	$	—
Assets sold under agreements to repurchase		2,865,722		2,865,722		—		—		—
Mortgage loan participation and sale agreement		61,093		61,093		—		—		—
Credit risk transfer financing at fair value		183,000		183,000		—		—		—
Notes payable		192,414		192,414		—		—		—
Note payable to PennyMac Financial Services, Inc.		150,000		150,000		—		—		—
Asset-backed secured financing		234,287		—		—		—		234,287
Exchangeable senior notes		250,000		—		—				250,000
Interest expense on loan term debt		451,368		21,737		42,926		292,147		94,558
Total	$	5,551,299	$	4,637,381	$	42,926	$	292,147	$	578,845

The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and accrued interest) relating to the Company’s debt financing is summarized by counterparty below as of September 30, 2015:

Counterparty	Amount at risk
	(in thousands)
Citibank, N.A.	$	366,632
Credit Suisse First Boston Mortgage Capital LLC		317,292
JPMorgan Chase & Co.		176,771
Bank of America, N.A.		46,338
Morgan Stanley Bank, N.A.		10,905
Daiwa Capital Markets America Inc.		8,275
	$	926,213

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

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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.

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 whether the underlying mortgaged property has become REO. Presently, the base servicing fee rates for distressed whole loans range from $30 per month for current loans up to $125 per month for loans that are in foreclosure. The base servicing fee rate for REO is $75 per month.

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 $55 per month and based on the delinquency, bankruptcy and foreclosure status of the loan or $75 per month if the underlying mortgaged property becomes REO. 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.

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, through August 31, 2015, received a

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supplemental fee of $3.25 per month for each non-distressed subserviced loan. With respect to non-distressed subserviced mortgage loans, the supplemental servicing fee was subject to a cap of $700,000 per quarter. The supplemental servicing fee for non-distressed subserviced mortgage loans was eliminated, effective as of September 1, 2015. 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.

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 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.

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 our Servicer 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.

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 to us plus accrued interest and a sourcing fee of three basis points.

In the event that we purchase mortgage loans with a total UPB in any month greater than $2.5 billion and less than $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%, (ii) the amount of UPB in excess of $2.5 billion, and (iii) the percentage of the total UPB relating to mortgage loans for which we paid fulfillment fees in such month. In the event we purchase mortgage loans with a total UPB in any month greater than $5 billion, our Servicer has agreed to further discount the amount of fulfillment fees by reimbursing us an amount equal to the product of (i) 0.05%, (ii) the amount of UPB in excess of $5 billion, and (iii) the percentage of total UPB relating to mortgage loans for which we paid fulfillment fees in such month.

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 mortgage 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

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a correspondent 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 through its consumer direct lending business loans for 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 total UPB of all such 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. To date, we have only used the 2/1/13 Spread Acquisition Agreement for the purpose of acquiring ESS relating to Fannie Mae MSRs. The terms of each transaction under the 2/1/13 Spread Acquisition Agreement are subject to the specific 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 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 may finance certain of such MSRs and servicing advance receivables, 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

98

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.

On December 19, 2014, we entered into a third master spread acquisition and MSR servicing agreement with our Servicer (the “12/19/14 Spread Acquisition Agreement”). The terms of the 12/19/14 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 Freddie Mac MSRs under the 12/19/14 Spread Acquisition Agreement.

To the extent our Servicer refinances any of the mortgage loans relating to the ESS we have acquired, the 12/19/14 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. 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 April 30, 2015, we amended and restated the 12/30/13 Spread Agreement and the Security Agreement, and PLS amended and restated the LSA. The primary purpose of the amendment and restatement to the 12/30/13 Spread Agreement was to evidence the ownership of the ESS under participation certificates and to otherwise incorporate the terms of previously executed amendments. Under the terms of the amendment and restatement to the LSA, PLS and CSFB increased the maximum loan amount thereunder from $257 million to $407 million for the purpose of facilitating our financing of ESS. We have provided a guaranty for PLS’s payment of the aggregate loan amount outstanding under the LSA and relating to PLS advances outstanding with us. The primary purpose of our amendment and restatement to the Security Agreement was to provide CSFB with remedies under the Security Agreement relating to our guaranty obligations.

Note Payable to PLS

In connection with certain of the amendments and restatements described above, we entered into an underlying loan and security agreement with PLS, dated as of April 30, 2015, pursuant to which we may borrow up to $150 million from PLS for the purpose of financing our investment in ESS (the “Underlying LSA”).

The principal amount of the borrowings under the Underlying LSA is based upon a percentage of the market value of the ESS pledged to PLS, subject to the $150 million sublimit described above. Pursuant to the Underlying LSA, we granted to PLS a security interest in all of our right, title and interest in, to and under the ESS pledged to secure the borrowings.

We have agreed with PLS in connection with the Underlying LSA that we are required to repay PLS the principal amount of borrowings plus accrued interest to the date of such repayment, and PLS, in turn, is required to repay CSFB the corresponding amount under the MSR Repo. Interest accrues on our note relating to the Underlying LSA at a rate based on CSFB’s cost of funds under the MSR Repo. We were also required to pay PLS a fee for the structuring of the Underlying LSA in an amount equal to the portion of the corresponding fee paid by PLS to CSFB and allocable to the increase in the maximum loan amount under the MSR Repo resulting from the ESS financing.

Borrowings of $52.5 million on the Underlying LSA were outstanding as of September 30, 2015, which are included in Note payable to PennyMac Financial Services, Inc. on our consolidated balance sheet.

Reimbursement Agreement. In connection with the initial public offering of our common shares (“IPO”), on August 4, 2009, we entered into an agreement with PCM pursuant to which we agreed to reimburse PCM 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 PCM of the Conditional Reimbursement if we are required to pay PCM 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. The reimbursement agreement also provides for the payment to the IPO underwriters of the payment that we agreed to make to them at the time of the IPO if we satisfied certain performance measures over a specified period of time. As PCM 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 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.

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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 distressed mortgage loans (comprised of mortgage loans at fair value, excluding mortgage loans at fair value held by VIE) as of September 30, 2015, 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	$	1,952,606		$	2,024,359		$	2,089,828		$	2,201,986		$	2,249,804		$	2,292,375
Change in fair value:
$	$	(196,421	)	$	(124,668	)	$	(59,199	)	$	52,959		$	100,777		$	143,348
%		(9.14	)%		(5.80	)%		(2.75	)%		2.46	%		4.69	%		6.67	%

The following table summarizes the estimated change in fair value of our mortgage loans at fair value held by VIE as of September 30, 2015, 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
	(dollar in thousands)
Fair value	$	343,636		$	340,856		$	336,368		$	321,237		$	311,229		$	290,951
Change in fair value:
$	$	13,620		$	10,840		$	6,352		$	(8,779	)	$	(18,787	)	$	(39,065	)
%		4.13	%		3.28	%		1.92	%		(2.66	)%		(5.69	)%		(11.84	)%

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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, 2015, 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	$	411,683		$	398,727		$	392,541		$	380,712		$	375,055		$	364,220
Change in fair value:
$	$	25,144		$	12,189		$	6,003		$	(5,826	)	$	(11,484	)	$	(22,318	)
%		6.50	%		3.15	%		1.55	%		(1.51	)%		(2.97	)%		(5.77	)%
Prepayment speed shift in %	-20%			-10%			-5%			+5%			+10%			+20%
	(dollars in thousands)
Fair value	$	422,189		$	403,644		$	394,922		$	378,475		$	370,712		$	356,028
Change in fair value:
$	$	35,651		$	17,106		$	8,383		$	(8,064	)	$	(15,826	)	$	(30,511	)
%		9.22	%		4.43	%		2.17	%		(2.09	)%		(4.09	)%		(7.89	)%
Per-loan servicing cost shift in %	-20%			-10%			-5%			+5%			+10%			+20%
	(dollars in thousands)
Fair value	$	396,586		$	391,562		$	389,050		$	384,027		$	381,515		$	376,491
Change in fair value:
$	$	10,047		$	5,024		$	2,512		$	(2,512	)	$	(5,024	)	$	(10,047	)
%		2.60	%		1.30	%		0.65	%		(0.65	)%		(1.30	)%		(2.60	)%

The following tables summarize the estimated change in fair value of MSRs accounted for using the fair value option method as of September 30, 2015, 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	$	61,251		$	59,449		$	58,587		$	56,938		$	56,148		$	54,634
Change in fair value:
$	$	3,500		$	1,698		$	837		$	(813	)	$	(1,602	)	$	(3,117	)
%		6.06	%		2.94	%		1.45	%		(1.41	)%		(2.77	)%		(5.40	)%
Prepayment speed shift in %	-20%			-10%			-5%			+5%			+10%			+20%
	(dollars in thousands)
Fair value	$	65,755			61,538		$	59,955		$	55,999		$	54,334		$	51,242
Change in fair value:					—
$	$	8,005		$	3,788		$	1,844		$	(1,751	)	$	(3,416	)	$	(6,508	)
%		13.86	%		6.56	%		3.19	%		(3.03	)%		(5.92	)%		(11.27	)%
Per-loan servicing cost shift in %	-20%			-10%			-5%			+5%			+10%			+20%
	(dollars in thousands)
Fair value	$	59,399		$	58,575		$	58,162		$	57,338		$	56,926		$	56,102
Change in fair value:
$	$	1,648		$	824		$	412		$	(412	)	$	(824	)	$	(1,648	)
%		2.85	%		1.43	%		0.71	%		(0.71	)%		(1.43	)%		(2.85	)%

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Excess servicing spread

The following tables summarize the estimated change in fair value of our ESS as of September 30, 2015, given several shifts in pricing spreads and prepayment speed:

Pricing spread shift in %	-20%			-10%			-5%			+5%			+10%			+20%
	(dollars in thousands)
Fair value	$	440,060		$	429,044		$	423,743		$	408,609		$	413,530		$	399,118
Change in fair value:
$	$	21,487		$	10,471		$	5,170		$	(9,964	)	$	(5,043	)	$	(19,455	)
%		5.13	%		2.50	%		1.24	%		(2.38	)%		(1.20	)%		(4.65	)%
Prepayment speed shift in %	-20%			-10%			-5%			+5%			+10%			+20%
	(dollars in thousands)
Fair value	$	461,449		$	439,062		$	428,595		$	408,971		$	399,763		$	382,441
Change in fair value:
$	$	42,875		$	20,488		$	10,022		$	(9,602	)	$	(18,810	)	$	(36,133	)
%		10.24	%		4.89	%		2.39	%		(2.29	)%		(4.49	)%		(8.63	)%

Item 3. Quantitative and Qualitative Disclosures About Market Risk

In response to this Item 3, the information set forth on pages 100 through 102 is incorporated herein by reference.

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, 2015 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, 2015, 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.

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, 2014, filed with the SEC on March 2, 2015.

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

There were no sales of unregistered equity securities during the quarter or nine months ended September 30, 2015.

The following table provides information about our common share repurchases during the quarter ended September 30, 2015:

Period	Total Number of Shares Purchased		Average Price Paid Per Share		Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs (a)		Amount Available for Future Share Repurchases Under the Plans or Programs (a)
							(in thousands)
August 1, 2015—August 31, 2015		50,000	$	15.20		50,000	$	149,240
September 1, 2015—September 30, 2015		969,487	$	15.67		969,487	$	134,045
		1,019,487	$	15.65		1,019,487	$	134,045

(a) In August 2015, our Board of Directors approved a share repurchase program pursuant to which we are authorized to repurchase up to $150 million of our common shares. Under the program, we have discretion to determine the dollar amount of shares to be repurchased and the timing of any repurchases in compliance with applicable law and regulation. The program does not have an expiration date.

Item 3. Defaults Upon Senior Securities

None

Item 4. Mine Safety Disclosures

Not applicable

Item 5. Other Information

None

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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	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).
	10.6	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).
	10.7	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).
	10.8	Amendment No. 3 to Second Amended and Restated Flow Servicing Agreement, dated as of December 11, 2014, between PennyMac Operating Partnership, L.P. and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.8 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2014).
	10.9	Amendment No. 4 to Second Amended and Restated Flow Servicing Agreement, dated as of March 31, 2015, between PennyMac Operating Partnership, L.P. and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.9 of the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2015).
	10.10	Amendment No. 5 to Second Amended and Restated Flow Servicing Agreement, dated as of September 1, 2015, between PennyMac Operating Partnership, L.P. and PennyMac Loan Services, LLC.
	10.11†	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).
	10.12†	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).

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Exhibit Number		Exhibit Description
	10.13	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).
	10.14	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).
	10.15	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).
	10.16	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).
	10.17	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).
	10.18	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).
	10.19	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).
	10.20	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).
	10.21	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. (incorporated by reference to Exhibit 10.24 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2014).
	10.22	Amendment No. 9 to Amended and Restated Master Repurchase Agreement, dated as of December 23, 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 10.20 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2014).
	10.23	Amendment No. 10 to Amended and Restated Master Repurchase Agreement, dated as of April 30, 2015, 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 10.22 of the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2015).
	10.24	Amendment No. 11 to Amended and Restated Master Repurchase Agreement, dated as of July 27, 2015, 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 10.23 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2015).
	10.25	Amendment No. 12 to Amended and Restated Master Repurchase Agreement, dated as of October 30, 2015, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P.
	10.26	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
	10.27	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).
	10.28	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).
	10.29	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).
	10.30	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).
	10.31	Amendment Number Four 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).
	10.32	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).
	10.33	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).
	10.34	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).
	10.35	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).
	10.36	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).
	10.37	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).
	10.38	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).
	10.39	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).
	10.40	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).

106

Exhibit Number		Exhibit Description
	10.41	Amendment Number Fourteen to the Master Repurchase Agreement, dated as of February 5, 2014, by and among Citibank, N.A. and PennyMac Corp., PennyMac Holdings, 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).
	10.42	Amendment Number Fifteen to the Master Repurchase Agreement, dated as of May 13, 2014, by and among Citibank, N.A. and PennyMac Corp., PennyMac Holdings, 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).
	10.43	Amendment Number Sixteen to the Master Repurchase Agreement, dated as of July 24, 2014, by and among Citibank, N.A. and PennyMac Corp., PennyMac Holdings, LLC and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.42 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2014).
	10.44	Amendment Number Seventeen to the Master Repurchase Agreement, dated as of August 7, 2014, by and among Citibank, N.A. and PennyMac Corp., PennyMac Holdings, LLC and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.43 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2014).
	10.45	Amendment Number Eighteen to the Master Repurchase Agreement, dated as of September 8, 2014, by and among Citibank, N.A. and PennyMac Corp., PennyMac Holdings, LLC and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.44 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2014).
	10.46	Amendment Number Nineteen to the Master Repurchase Agreement, dated as of July 6, 2015, by and among Citibank, N.A. and PennyMac Corp., PennyMac Holdings, LLC and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.44 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2015).
	10.47	Amendment Number Twenty to the Master Repurchase Agreement, dated as of September 7, 2015, by and among Citibank, N.A. and PennyMac Corp., PennyMac Holdings, LLC and PennyMac Loan Services, LLC.
	10.48	Amendment Number Twenty-One to Master Repurchase Agreement, dated as of October 22, 2015, among PennyMac Corp., PennyMac Holdings, LLC and PennyMac Loan Services, LLC and Citibank, N.A. (incorporated by reference to Exhibit 10.1 of the Company’s Current Report on Form 8-K filed on October 28, 2015).
	10.49	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).
	10.50	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).
	10.51	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).
	10.52	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).
	10.53	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).
	10.54	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).
	10.55	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).

107

Exhibit Number		Exhibit Description
	10.56	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).
	10.57	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 (incorporated by reference to Exhibit 10.53 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2014).
	10.58	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 (incorporated by reference to Exhibit 10.54 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2014).
	10.59	Amendment No. 9 to Amended and Restated Master Repurchase Agreement, dated as of October 30, 2015, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Corp., PennyMac Holdings, LLC and PennyMac Mortgage Investment Trust.
	10.60	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).
	10.61	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).
	10.62	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).
	10.63	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).
	10.64	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).
	10.65	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).
	10.66	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).
	10.67	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).
	10.68	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).
	10.69	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).
	10.70	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
	10.71	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).
	10.72	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).
	10.73	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).
	10.74	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).
	10.75	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).
	10.76	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).
	10.77	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).
	10.78	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).
	10.79	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).
	10.80	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 (incorporated by reference to Exhibit 10.76 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2014).
	10.81	Amendment No. 14 to Master Repurchase Agreement, dated as of December 23, 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 10.1 of the Company’s Current Report on Form 8-K filed on December 24, 2014).
	10.82	Amendment No. 15 to Master Repurchase Agreement, dated as of October 30, 2015, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Holdings, LLC, PennyMac Operating Partnership, L.P. and PennyMac Mortgage Investment Trust.
	10.83	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).
	10.84	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).

109

Exhibit Number		Exhibit Description
	10.85	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).
	10.86	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).
	10.87	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).
	10.88	Amendment Number Four 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).
	10.89	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).
	10.90	Amendment Number Six to the 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).
	10.91	Amendment Number Seven to the 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).
	10.92	Amendment Number Eight to the Master Repurchase Agreement, dated as of July 24, 2014, among Citibank, N.A., PennyMac Corp. and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.86 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2014).
	10.93	Amendment Number Nine to the Master Repurchase Agreement, dated as of August 7, 2014, among Citibank, N.A., PennyMac Corp. and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.87 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2014).
	10.94	Amendment Number Ten to the Master Repurchase Agreement, dated as of September 8, 2014, among Citibank, N.A., PennyMac Corp. and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.88 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2014).
	10.95	Amendment Number Eleven to the Master Repurchase Agreement, dated as of July 6, 2015, among Citibank, N.A., PennyMac Corp. and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.89 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2015).
	10.96	Amendment Number Twelve to the Master Repurchase Agreement, dated as of September 7, 2015, among Citibank, N.A., PennyMac Corp. and PennyMac Loan Services, LLC.
	10.97	Amendment Number Thirteen to Master Repurchase Agreement, dated as of October 22, 2015, among PennyMac Corp., PennyMac Loan Services, LLC and Citibank, N.A. (incorporated by reference to Exhibit 10.2 of the Company’s Current Report on Form 8-K filed on October 28, 2015).
	10.98	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).
	10.99	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).
	10.100	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).
	10.101	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).

110

Exhibit Number		Exhibit Description
	10.102	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).
	10.103	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 (incorporated by reference to Exhibit 10.97 of the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2014).
	10.104	Amendment No. 5 to Master Repurchase Agreement, dated as of April 14, 2015, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Operating Partnership, L.P. and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.96 of the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2015).
	10.105	Amendment No. 6 to Master Repurchase Agreement, dated as of October 30, 2015, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Operating Partnership, L.P. and PennyMac Mortgage Investment Trust.
	10.106	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).
	10.107	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).
	10.108	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).
	10.109	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).
	10.110	Amendment Number Three to the 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).
	10.111	Amendment Number Four to the 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).
	10.112	Amendment Number Five to the Master Repurchase Agreement, dated as of December 18, 2014, among PennyMac Corp., Morgan Stanley Bank, N.A. and Morgan Stanley Mortgage Capital Holdings LLC (incorporated by reference to Exhibit 10.101 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2014).
	10.113	Amendment Number Six to the Master Repurchase Agreement, dated as of July 27, 2015, among PennyMac Corp., Morgan Stanley Bank, N.A. and Morgan Stanley Mortgage Capital Holdings LLC (incorporated by reference to Exhibit 10.1 of the Company’s Current Report on Form 8-K filed on July 30, 2015).
	10.114	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).
	10.115	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).
	10.116	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).
	10.117	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).
	10.118	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).

111

Exhibit Number		Exhibit Description
	10.119	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).
	10.120	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).
	10.121	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).
	10.122	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).
	10.123	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).
	10.124	Amendment No. 4 to Master Spread Acquisition and MSR Servicing Agreement, dated as of March 3, 2015, by and between PennyMac Loan Services, LLC, PennyMac Operating Partnership, L.P., 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 March 31, 2015).
	10.125	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).
	10.126	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).
	10.127	Amendment No. 2 to Master Spread Acquisition and MSR Servicing Agreement, dated as of March 3, 2015, by and between PennyMac Loan Services, LLC and PennyMac Holdings, LLC (incorporated by reference to Exhibit 10.117 of the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2015).
	10.128	Amended and Restated Master Spread Acquisition and MSR Servicing Agreement, dated as of April 30, 2015, between PennyMac Loan Services, LLC and PennyMac Holdings, LLC (incorporated by reference to Exhibit 10.1 of the Company’s Current Report on Form 8-K filed on May 6, 2015).
	10.129	Amendment No. 1 to Amended and Restated Master Spread Acquisition and MSR Servicing Agreement, dated as of August 26, 2015, among Credit Suisse First Boston Mortgage Capital LLC, PennyMac Loan Services, LLC and PennyMac Holdings, LLC.
	10.130	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).
	10.131	Amended and Restated Security and Subordination Agreement, dated as of April 30, 2015, between PennyMac Holdings, LLC and Credit Suisse First Boston Mortgage Capital LLC (incorporated by reference to Exhibit 10.4 of the Company’s Current Report on Form 8-K filed on May 6, 2015).
	10.132	Master Spread Acquisition and MSR Servicing Agreement, dated as of December 19, 2014, by and between PennyMac Loan Services, LLC, 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 December 24, 2014).
	10.133	Amendment No 1. to Master Spread Acquisition and MSR Servicing Agreement, dated as of March 3, 2015, by and between PennyMac Loan Services, LLC, PennyMac Operating Partnership, L.P., and PennyMac Holdings, LLC (incorporated by reference to Exhibit 10.122 of the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2015).
	10.134	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).

112

Exhibit Number		Exhibit Description
	10.135	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).
	10.136	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).
	10.137	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).
	10.138	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).
	10.139	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).
	10.140	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).
	10.141	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).
	10.142	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).
	10.143	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).
	10.144	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).
	10.145	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).
	10.146	Amendment No. 9 to Mortgage Loan Participation Purchase and Sale Agreement, dated as of January 30, 2015, 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 Annual Report on Form 10-K for the year ended December 31, 2014).
	10.147	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).
	10.148	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).

113

Exhibit Number		Exhibit Description
	10.149	Amendment No. 1 to 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 10.133 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2014).
	10.150	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).
	10.151	Master Repurchase Agreement, dated as of January 27, 2015, among JPMorgan Chase Bank, National Association, PennyMac Corp., PennyMac Operating Partnership, L.P., PennyMac Holdings, LLC, PMC REO Trust 2015-1, TRS REO Trust 1-A, and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.1 of the Company’s Current Report on Form 8-K filed on February 2, 2015).
	10.152	Amendment No. 1 to Master Repurchase Agreement, dated as of March 27, 2015, among JPMorgan Chase Bank, National Association, PennyMac Corp., PennyMac Operating Partnership, L.P., PennyMac Holdings, LLC, PMC REO Trust 2015-1, TRS REO Trust 1-A, and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.143 of the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2015).
	10.153	Guaranty, dated as of January 27, 2015, by PennyMac Mortgage Investment Trust in favor of JPMorgan Chase Bank, National Association (incorporated by reference to Exhibit 10.2 of the Company’s Current Report on Form 8-K filed on February 2, 2015).
	10.154	Loan and Security Agreement, dated as of March 31, 2015, between PennyMac Corp. and Citibank, N.A. (incorporated by reference to Exhibit 10.1 of the Company’s Current Report on Form 8-K as filed with the SEC on April 3, 2015).
	10.155	Amendment Number One to the Loan and Security Agreement, dated as of May 13, 2015, between PennyMac Corp. and Citibank, N.A. (incorporated by reference to Exhibit 10.145 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2015).
	10.156	Amendment Number Two to the Loan and Security Agreement, dated as of July 6, 2015, between PennyMac Corp. and Citibank, N.A. (incorporated by reference to Exhibit 10.146 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2015).
	10.157	Guaranty, dated as of March 31, 2015, by PennyMac Mortgage Investment Trust in favor of Citibank, N.A. (incorporated by reference to Exhibit 10.2 of the Company’s Current Report on Form 8-K as filed with the SEC on April 3, 2015).
	10.158	Loan and Security Agreement, dated as of April 30, 2015, among PennyMac Loan Services, LLC and PennyMac Holdings, LLC (incorporated by reference to Exhibit 10.2 of the Company’s Current Report on Form 8-K as filed with the SEC on May 6, 2015).
	10.159	Amendment No. 1 to Loan and Security Agreement, dated as of October 30, 2015, by and between PennyMac Loan Services, LLC and PennyMac Holdings, LLC.
	10.160	Guaranty, dated as of April 30, 2015, by PennyMac Mortgage Investment Trust in favor of Credit Suisse First Boston Mortgage Capital LLC (incorporated by reference to Exhibit 10.3 of the Company’s Current Report on Form 8-K filed on May 6, 2015).
	10.161	Advances, Pledge and Security Agreement, dated as of June 16, 2014, between PMT Insurance, LLC and the Federal Home Loan Bank of Des Moines (incorporated by reference to Exhibit 10.150 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2015).
	10.162	Affiliate Collateral Pledge and Security Agreement, dated as of May 26, 2015, by and among PennyMac Securities Holding, LLC, PMT Insurance, LLC, and the Federal Home Loan Bank of Des Moines (incorporated by reference to Exhibit 10.151 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2015).
	10.163	Affiliate Collateral Pledge and Security Agreement, dated as of May 26, 2015, by and among PennyMac Corp., PMT Insurance, LLC, and the Federal Home Loan Bank of Des Moines (incorporated by reference to Exhibit 10.152 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2015).
	10.164	Affiliate Collateral Pledge and Security Agreement, dated as of May 26, 2015, by and among PennyMac Holdings, LLC, PMT Insurance, LLC, and the Federal Home Loan Bank of Des Moines (incorporated by reference to Exhibit 10.153 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2015).
	10.165	Guaranty, dated as of April 9, 2015, by PennyMac Mortgage Investment Trust in favor of Federal Home Loan Bank of Des Moines (incorporated by reference to Exhibit 10.154 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2015).

114

Exhibit Number		Exhibit Description
	10.166	Flow Sale Agreement, dated as of June 16, 2015, by and between PennyMac Corp. and PennyMac Loan Services, LLC (incorporated by reference to Exhibit 10.155 of the Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2015).
	10.167	Master Repurchase Agreement, dated as of September 14, 2015, among Barclays Bank PLC, PennyMac Corp., PennyMac Loan Services, LLC and PennyMac Mortgage Investment Trust (incorporated by reference to Exhibit 10.1 of the Company’s Current Report on Form 8-K filed on September 18, 2015).
	10.168	Mortgage Loan Participation Purchase and Sale Agreement, dated as of September 14, 2015, among PennyMac Corp., PennyMac Loan Services, LLC and Barclays Bank PLC (incorporated by reference to Exhibit 10.2 of the Company’s Current Report on Form 8-K filed on September 18, 2015).
	10.169	Loan and Security Agreement, dated as of September 14, 2015, among PennyMac Corp., PennyMac Mortgage Investment Trust and Barclays Bank PLC (incorporated by reference to Exhibit 10.3 of the Company’s Current Report on Form 8-K filed on September 18, 2015).
	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, 2015 and 2014, (ii) the Consolidated Statements of Income for the quarters ended September 30, 2015 and 2014, (iii) the Consolidated Statements of Changes in Shareholders’ Equity for the quarters ended September 30, 2015 and 2014, (iv) the Consolidated Statements of Cash Flows for the quarters ended September 30, 2015 and 2014, and (v) the Notes to the Consolidated Financial Statements.

* 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.

115

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 6, 2015	By:	/S/ STANFORD L. KURLAND
		Stanford L. Kurland
		Chairman of the Board and Chief Executive Officer
Dated: November 6, 2015	By:	/S/ ANNE D. MCCALLION
		Anne D. McCallion
		Chief Financial Officer

EX-10.10

Exhibit 10.10

AMENDMENT NO. 5

TO SECOND AMENDED AND RESTATED

FLOW SERVICING AGREEMENT

Amendment No. 5 to Second Amended and Restated Flow Servicing Agreement, dated as of September 1, 2015 (the “Amendment”), by and between PennyMac Loan Services, LLC, a Delaware limited liability company (the “Servicer”), and PennyMac Operating Partnership, L.P., Delaware limited partnership (the “Owner”).

RECITALS

WHEREAS, the Servicer and the Owner are parties to that certain Second Amended and Restated Flow Servicing Agreement, dated as of March 1, 2013 (the “Existing Servicing Agreement” and, as amended by this Amendment, the “Servicing Agreement”). Capitalized terms used but not otherwise defined herein shall have the meanings given to them in the Existing Servicing Agreement.

WHEREAS, the Servicer and the Owner have agreed, subject to the terms and conditions of this Amendment, that the Existing Servicing Agreement be amended to reflect certain agreed upon revisions to the terms of the Existing Servicing Agreement.

NOW, THEREFORE, in consideration of the mutual premises and mutual obligations set forth herein, the Servicer and the Owner hereby agree that the Existing Servicing Agreement is hereby amended as follows:

SECTION 1. Definitions. Section 1.01 of the Existing Servicing Agreement is hereby amended by deleting the definitions of “Ancillary Income”, “Servicing Fee” and “Supplemental Servicing Fee” and replacing each in its entirety as follows:

Ancillary Income: All income derived from the Mortgage Loans (other than payments or other collections in respect of principal, interest, Escrow Payments and Prepayment Penalties attributable to the Mortgage Loans) including, but not limited to, assumption fees, reconveyance fees, subordination fees, speedpay fees, mortgage pay on the web fees, automatic clearing house fees, demand statement fees, modification fees, if any, fees received with respect to checks on bank drafts returned by the related bank for insufficient funds, the Servicer’s share of all late charges, and other similar types of fees arising from or in connection with any Mortgage Loan to the extent not otherwise payable to the Mortgagor under applicable law or pursuant to the terms of the related Mortgage Note. In no event shall the Servicer be entitled to any Prepayment Penalties.

Servicing Fee: With respect to each Mortgage Loan, the monthly sum of (a) the applicable Base Servicing Fee, (b) if such Mortgage Loan is a Third Party Loan, the applicable Additional Servicing Fee, and (c) if such Mortgage Loan is a Distressed Whole Loan, the applicable Supplemental Servicing Fee. With respect to each newly boarded Mortgage Loan, boarded on or before the 15th day of the

month, the Servicer shall be entitled to receive the full monthly Servicing Fee for each newly boarded Mortgage Loan. With respect to each newly boarded Mortgage Loan boarded after the 15th day of the month, the Servicer shall be entitled to one-half of the monthly Servicing Fee for each newly boarded Mortgage Loan. With respect to each Mortgage Loan released from servicing, Servicer shall be entitled to receive the full monthly Servicing Fee irrespective of the applicable release date.

Supplemental Servicing Fee: With respect to each Distressed Whole Loan, the Supplemental Servicing Fee set forth in or established pursuant to Exhibit 9 hereto.

Third Party Loan: A Mortgage Loan (including any Correspondent Loan) owned by a third party investor and with respect to which Owner owns or has otherwise acquired the Servicing Rights relating thereto, and any Correspondent Loan held by Owner as a whole loan.

SECTION 2. Servicing of Agency Mortgage Loans. Article III of the Existing Servicing Agreement is hereby amended by deleting Section 3.01 in its entirety and replacing it as follows:

Section 3.01 Servicer to Act as Servicer of Agency Mortgage Loans.

The Servicer shall service and administer each Agency Mortgage Loan in accordance and shall otherwise comply in all respects with the related Guide, including the requirements of such Guide relating to the maintenance of custodial and escrow accounts, it being understood that any interest paid by the depository institution on funds deposited in any related custodial account or escrow account shall accrue to the benefit of the Owner. To the extent required by law, the Owner shall be responsible for interest on escrowed funds to the Mortgagor notwithstanding that such escrow account may be non interest bearing or that interest paid thereon is insufficient for such purposes.

SECTION 3. Servicing of Non-Agency Mortgage Loans. Article IV of the Existing Servicing Agreement is hereby amended as follows:

(a) by deleting the last sentence of Section 4.04 in its entirety and replacing it as follows:

Any interest paid by the depository institution on funds deposited in the Custodial Account and relating to any Distressed Whole Loan shall accrue to the benefit of the Servicer and the Servicer may retain any such interest.

(b) by deleting Section 4.05(vi) in its entirety and replacing it as follows:

(vi) to pay to itself any interest earned on funds deposited in the Custodial Account and relating to any Distressed Whole

2

Loan (all such interest to be withdrawn monthly not later than each Remittance Date); and

(c) by deleting the last two sentences of Section 4.06 in their entirety and replacing them as follows:

Any interest paid on funds deposited in the Escrow Account by the depository institution and relating to any Distressed Whole Loan shall accrue to the benefit of the Servicer. To the extent required by law, the Servicer shall be responsible to pay from its own funds interest on escrowed funds to the Mortgagor notwithstanding that the Escrow Account may be non interest bearing or that interest paid thereon is insufficient for such purposes.

(d) by deleting Section 4.07(vi) in its entirety and replacing it as follows:

(vi) to pay the Servicer, or any Mortgagors to the extent required by law, any interest due on the funds deposited in the Escrow Account and relating to any Distressed Whole Loan or to pay the Owner, or any Mortgagors to the extent required by law, any interest paid on the funds deposited in the Escrow Account and relating to any Mortgage Loan other than a Distressed Whole Loan;

SECTION 4. Exhibits. Exhibit 9 of the Existing Servicing Agreement is hereby amended by deleting it in its entirety and replacing it with the form attached hereto as Exhibit A.

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

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

(a) this Amendment, executed and delivered by duly authorized officers of the Servicer and the Owner; and

(b) such other documents as such party or counsel to such party may reasonably request.

5.2 Representations and Warranties. On or prior to the Amendment Effective Date, each party shall be in compliance in all material respects with all the terms and provisions set forth in the Existing Servicing Agreement on its part to be observed or performed.

3

SECTION 6. Limited Effect. Except as expressly amended and modified by this Amendment, the Existing Servicing Agreement shall continue to be, and shall remain, in full force and effect in accordance with its terms.

SECTION 7. GOVERNING LAW. THIS AMENDMENT SHALL BE CONSTRUED IN ACCORDANCE WITH THE LAWS OF THE STATE OF NEW YORK, AND THE OBLIGATIONS, RIGHTS AND REMEDIES OF THE PARTIES HEREUNDER SHALL BE DETERMINED IN ACCORDANCE WITH SUCH LAWS.

SECTION 8. Counterparts. This Amendment may be executed in one or more counterparts and by different parties hereto on separate counterparts, each of which, when so executed, shall constitute one and the same agreement.

SECTION 9. Conflicts. The parties hereto agree that in the event there is any conflict between the terms of this Amendment, and the terms of the Existing Servicing Agreement, the provisions of this Amendment shall control.

[SIGNATURE PAGE FOLLOWS]

4

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.

The Servicer:	PENNYMAC LOAN SERVICES, LLC
	By:	/s/ Anne D. McCallion
		Name: Anne D. McCallion
		Title: Chief Financial Officer
The Owner:	PENNYMAC OPERATING PARTNERSHIP, L.P.
	By:	PennyMac GP OP, Inc., its General Partner
	By:	/s/ Andrew S. Chang
		Name: Andrew S. Chang
		Title: Chief Business Development Officer

Exhibit A

EXHIBIT 9

TERM SHEET

THIRD PARTY LOANS

BASE SERVICING FEES

(per loan)

With respect to each Mortgage Loan that is a Third Party Loan and not a Distressed Whole Loan, the Base Servicing Fee shall be:

(i) if such Mortgage Loan is a Fixed-Rate Mortgage Loan, $7.50; or

(ii) if such Mortgage Loan is an Adjustable-Rate Mortgage Loan, $8.50.

ADDITIONAL SERVICING FEES

(per loan)

With respect to each Mortgage Loan that is a Third Party Loan, the Additional Servicing Fee shall be one of the following:

(i) if, as of the first day of the relevant month, such Mortgage Loan is not delinquent, or is delinquent by less than 30 days, and no bankruptcy proceeding is pending by or against the Mortgagor, 0;

(ii) if, as of the first day of the relevant month, such Mortgage Loan is delinquent by 30 days or more and less than 60 days, and no bankruptcy proceeding is pending by or against the Mortgagor and no foreclosure proceeding has been initiated, $10.00;

(iii) if, as of the first day of the relevant month, such Mortgage Loan is delinquent by 60 days or more and less than 90 days, and no bankruptcy proceeding is pending by or against the Mortgagor and no foreclosure proceeding has been initiated, $20.00;

(iv) if, as of the first day of the relevant month, such Mortgage Loan is delinquent by 90 days or more, and no bankruptcy proceeding is pending by or against the Mortgagor and no foreclosure proceeding has been initiated, $50.00;

(v) if, as of the first day of the relevant month, a bankruptcy proceeding is pending by or against the Mortgagor, $45.00;

Exh. 9-1

(vi) if, as of the first day of the relevant month, foreclosure proceedings have been commenced and the Mortgaged Property has not become an REO Property, $55.00; or

(vii) if, as of the first day of the relevant month, the Mortgaged Property has become an REO Property, $75.00.

Exh. 9-2

DISTRESSED WHOLE LOANS

BASE SERVICING FEES

(per loan)

With respect to each Mortgage Loan that is a Distressed Whole Loan, the Base Servicing Fee shall be one of the following:

(i) if, as of the first day of the relevant month, such Mortgage Loan is not delinquent, or is delinquent by less than 30 days, and no bankruptcy proceeding is pending by or against the Mortgagor, $30.00;

(ii) if, as of the first day of the relevant month, such Mortgage Loan is delinquent by 30 days or more and less than 90 days, and no bankruptcy proceeding is pending by or against the Mortgagor and no foreclosure proceeding has been initiated, $60.00;

(iii) if, as of the first day of the relevant month, such Mortgage Loan is delinquent by 90 days or more, and no bankruptcy proceeding is pending by or against the Mortgagor and no foreclosure proceeding has been initiated, $90.00;

(iv) if, as of the first day of the relevant month, such Mortgage Loan is not delinquent, or is delinquent by less than 30 days, and a bankruptcy proceeding is pending by or against the Mortgagor, $100.00;

(v) if, as of the first day of the relevant month, such Mortgage Loan is delinquent by 30 days or more, and a bankruptcy proceeding is pending by or against the Mortgagor, $100.00;

(vi) if, as of the first day of the relevant month, foreclosure proceedings have been commenced and the Mortgaged Property has not become an REO Property, $125.00; or

(vii) if, as of the first day of the relevant month, the Mortgaged Property has become an REO Property, $75.00.

SUPPLEMENTAL SERVICING FEES

With respect to each Mortgage Loan that is a Distressed Whole Loan, the Supplemental Servicing Fee shall be $25.00.

Exh. 9-3

THIRD PARTY LOANS AND DISTRESSED WHOLE LOANS

OTHER KEY PARAMETERS

Remittance Types	Actual/Actual Basis during Interim Servicing Period
Remittance Date	See definition of Remittance Date
Servicing Advances	Servicer to be reimbursed monthly for all unpaid Servicing Advances incurred by Servicer in the prior month including Cost of Funds.
Cost of Funds on Servicing Advances	Refer to Section 5.04
Prepayment Penalties	Owner will retain 100% of the prepayment penalties.
Late Charges Collected	Servicer will retain 75% of late charges collected by Servicer
Ancillary Income	Servicer will retain 100% of all Ancillary Income
Delegated Authority	Refer to Exhibit 10
Contract Term	Refer to Section 8.01
Eligible Mortgage Loan	See definition of Eligible Mortgage Loan

ANCILLARY INCOME AND OTHER FEES

The Servicer shall be entitled to all Ancillary Income and the following Other Fees in addition to the Servicing Fee:

Setup Fee: With respect to each Mortgage Loan, other than a Distressed Whole Loan, $10.00 if information is provided to Servicer in a format that enables electronic boarding or $25.00 if information is provided to Servicer in format that necessitates manual boarding. With respect to each Distressed Whole Loan, $15.00 if information is provided to Servicer in format that enables electronic boarding or $25.00 if information is provided to Servicer in format that necessitates manual boarding.

Service Release Fee: With respect to each Mortgage Loan, other than a Distressed Whole Loan, $25.00 if released on or prior to the first anniversary of boarding, $23.00 if released after the first anniversary of boarding and on or prior to the second anniversary of boarding, and $18.00 if released thereafter. With respect to each Distressed Whole Loan, $500.00 if released within one

Exh. 9-4

year of boarding, $40.00 if released within two years of boarding and $40.00 if released thereafter.

Deed in Lieu Fee: $500, unless the deed in lieu is completed under the U.S. Treasury’s Home Affordable Foreclosure Alternatives initiative, in which case no Deed in Lieu Fee shall apply.

Liquidation Fee: 150 basis points of the gross proceeds received in connection with either the disposition of a Mortgage Loan (including the sale of the related Mortgage Note) or an REO Property or a full or discounted payoff accepted by the Servicer with respect to a Mortgage Loan, including a full or discounted payoff accepted in connection with the sale of the Mortgaged Property to a third party.

REO Property Rental Fee: $30 per month per REO Property.

REO Property Management Fee: Servicer’s cost if property management services and/or any related software costs are outsourced to a third party property management firm or 9% of gross rental income if Servicer provides property management services directly.

Tax Service Contract: $75.00 per Mortgage Loan.

Flood Zone Service Contract: Servicer’s cost.

MERS Fee: Servicer’s cost.

Reperformance Fee: 150 basis points of the unpaid principal balance of the Mortgage Loan (as then in effect) if the Mortgage Loan is brought current (after having been delinquent for a period of 90 days or more) without any modification and remains current for a consecutive period of 12 months or is sold prior to the expiration of such 12 months.

Modification Fee: 150 basis points of the unpaid principal balance of the Mortgage Loan (as in effect immediately after the consummation of the modification) if the modification includes an interest rate reduction or is classified by the Servicer (acting in accordance with Accepted Servicing Practices) as a full modification; or, if the Servicer participates in the U.S. Treasury’s Home Affordable Modification program (or other similar mortgage loan modification programs) and enters into a transaction involving the Mortgage Loan that results in the payment or retention of any incentive payment to the Servicer or Owner and the Servicer is not otherwise entitled to a Modification Fee as set forth above, 150 basis points of the unpaid principal balance of the Mortgage Loan (as in effect immediately after the consummation of the transaction).

If the Servicer enters into a transaction involving the Mortgage Loan under the U.S. Treasury Department’s Home Affordable Modification program (or other similar mortgage loan modification programs) that results in any incentive payment to the Servicer or Owner and the Servicer has already collected a Modification Fee, the Servicer shall reimburse the Owner the amount of such incentive payments.

In the event the Servicer effects a refinancing of a Distressed Whole Loan on behalf of the Owner and not through a third party lender and the resulting Mortgage Loan is readily saleable, or the Servicer originates a Mortgage Loan to facilitate the disposition of REO

Exh. 9-5

Property, the Servicer shall be entitled to fees and other compensation in connection with such originations based on market-based pricing and terms that are consistent with the pricing and terms offered by the Servicer to unaffiliated third parties on a retail basis. The amount of the compensation and the pricing and terms offered by the Servicer shall be subject to review by the Owner and the Servicer from time to time to reflect market rates. The Owner shall reimburse the Servicer for any out of pocket expenses that the Servicer incurs in connection with any such origination, including title fees, legal fees and closing costs.

Exh. 9-6

EX-10.25

Exhibit 10.25

PENNYMAC CORP. FACILITY EXECUTION

AMENDMENT NO. 12 TO

AMENDED AND RESTATED MASTER REPURCHASE AGREEMENT

Amendment No. 12 to Amended and Restated Master Repurchase Agreement, dated as of October 30, 2015 (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, Amendment No. 7, dated as of May 22, 2014, Amendment No. 8, dated as of October 31, 2014, Amendment No. 9, dated as of December 23, 2014, Amendment No. 10, dated as of April 30, 2015, and Amendment No. 11, dated as of July 27, 2015, 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 earlier of (a) December 15, 2015, and (b) the date of the occurrence of an Event of Default.

SECTION 2. 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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2.1 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 Guarantors; and

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

SECTION 3. 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 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, 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 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.

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

CREDITSUISSE FIRST BOSTON MORTGAGE CAPITAL LLC, as Buyer
By:	/s/ Margaret Dellafera
	Name:	Margaret Dellafera
	Title:	Vice President
PENNYMAC CORP., as Seller
By:	/s/ Pamela Marsh
	Name:	Pamela Marsh
	Title:	Executive Vice President, Treasurer
PENNYMACMORTGAGE INVESTMENT TRUST, as a Guarantor
By:	/s/ Pamela Marsh
	Name:	Pamela Marsh
	Title:	Executive Vice President, Treasurer
PENNYMACOPERATING PARTNERSHIP, L.P., as a 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. 12 to Amended and Restated Master Repurchase Agreement

EX-10.47

Exhibit 10.47

EXECUTION

AMENDMENT NUMBER TWENTY

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 TWENTY (this “Amendment Number Twenty”) is made this 7th day of September, 2015 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. Amendment. Effective as of September 7, 2015 (the “Amendment Effective Date”):

(a) Section 2 of the Agreement is hereby amended by adding the new definition of “2015 Extension Fee” in the appropriate alphabetical order to read as follows:

“2015 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 October 22, 2015 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 September 7, 2015 to October 22, 2015, Sellers agree to pay to Buyer an additional commitment fee for the period beginning on September 7, 2015 through October 22, 2015, equal to the 2015 Extension Fee (reduced by any amount of the 2015 Extension Fee paid to Buyer under Amendment Twelve 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 September 7, 2015. Buyer may, in its sole discretion, net all or any portion of the 2015 Extension Fee then due and payable from the proceeds of any Purchase Price paid to any Seller. The 2015 Extension Fee is and shall be deemed to be fully earned and non-refundable as of September 7, 2015.”

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 Twenty (including any 2015 Extension Fee and 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 Twenty shall be binding on and inure to the benefit of the parties hereto and their respective successors and permitted assigns. THIS AMENDMENT NUMBER TWENTY 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 Twenty 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 Twenty 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.

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

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:		Executive Vice President, Treasurer

Amendment Number Twenty to Master Repurchase Agreement REIT-NPL

EX-10.59

Exhibit 10.59

PENNYMAC NPL FACILITY EXECUTION

AMENDMENT NO. 9

TO AMENDED AND RESTATED MASTER REPURCHASE AGREEMENT

Amendment No. 9 to Amended and Restated Master Repurchase Agreement, dated as of October 30, 2015 (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, Amendment No. 7, dated as of February 21, 2014, and Amendment No. 8, dated as of October 31, 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 earlier of (a) December 15, 2015, and (b) the date of the occurrence of an Event of Default.

SECTION 2. 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:

-1-

2.1 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; and

(b) 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/ Margaret Dellafera
	Name:	Margaret Dellafera
	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. 9 to Amended and Restated Master Repurchase Agreement

EX-10.82

Exhibit 10.82

PENNYMAC INTERNAL REWAREHOUSE FACILITY EXECUTION

AMENDMENT NO. 15

TO MASTER REPURCHASE AGREEMENT

Amendment No. 15 to Master Repurchase Agreement, dated as of October 30, 2015 (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, Amendment No. 12, dated as of May 22, 2014, Amendment No. 13, dated as of October 31, 2014, and Amendment No. 14, dated as of December 23, 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 deleting the definition of “Termination Date” in its entirety and replacing it with the following:

“Termination Date” means the earlier of (a) December 15, 2015, and (b) the date of the occurrence of an Event of Default.

-1-

SECTION 2. 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:

2.1 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; and

(b) 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, 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 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/ Margaret Dellafera
	Name: Margaret Dellafera
	Title: Vice President

PENNYMAC HOLDINGS, LLC, as a Seller
By:	/s/ Pamela Marsh
	Name: Pamela Marsh
	Title: Executive Vice President, Treasurer

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

PENNYMAC OPERATING PARTNERSHIP,     L.P., as a Seller and a 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. 15 to Master Repurchase Agreement

EX-10.96

Exhibit 10.96

EXECUTION

AMENDMENT NUMBER TWELVE

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 TWELVE (this “Amendment Number Twelve”) is made this 7th day of September, 2015, 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 of September 7, 2015 (the “Amendment Effective Date”):

(a) Section 2 of the Agreement is hereby amended by adding the new definition of “2015 Extension Fee” in the appropriate alphabetical order to read as follows:

“2015 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 October 22, 2015 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 Twelve (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. Condition Precedent. As a condition precedent to the effectiveness of this Amendment Number Twelve, if not otherwise paid pursuant to Sections 2 and 3 of Amendment Number Twenty to the NPL Repurchase Agreement, Buyer shall have received from Seller an amount equal to the 2015 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 Twelve shall be binding on and inure to the benefit of the parties hereto and their respective successors and permitted assigns. THIS AMENDMENT NUMBER TWELVE 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 Twelve 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 Twelve 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.

2

IN WITNESS WHEREOF, Seller, Servicer and Buyer have caused this Amendment Number Twelve to be executed and delivered by their duly authorized officers as of the Amendment Effective Date.

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 Twelve to Master Repurchase Agreement (PMAC Agency)

EX-10.105

Exhibit 10.105

POP REWAREHOUSE TPO FACILITY EXECUTION

AMENDMENT NO. 6

TO MASTER REPURCHASE AGREEMENT

Amendment No. 6 to Master Repurchase Agreement, dated as of October 30, 2015 (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, Amendment No. 3, dated as of January 10, 2014, Amendment No. 4, dated as of October 31, 2014, and Amendment No. 5, dated as of April 14, 2015, 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. 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:

SECTION 2. “Termination Date” means the earlier of (a) December 15, 2015, and (b) the date of the occurrence of an Event of Default.

SECTION 3. 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:

3.1 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 Guarantor; and

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

SECTION 4. 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 5. 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 6. 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 7. 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 8. 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 9. Reaffirmation of Guaranty. The Guarantor hereby ratifies and affirms 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 Pricing Side Letter and 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/ Margaret Dellafera
	Name:  Margaret Dellafera
	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. 6 to Master Repurchase Agreement

EX-10.129

Exhibit 10.129

EXECUTION

AMENDMENT NO. 1

TO AMENDED AND RESTATED MASTER SPREAD ACQUISITION AND MSR

SERVICING AGREEMENT

Amendment No. 1 to Amended and Restated Master Spread Acquisition and MSR Servicing Agreement, dated as of August 26, 2015 (this “Amendment”), among CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC (“CSFB”), PENNYMAC LOAN SERVICES, LLC (the “Seller”) and PENNYMAC HOLDINGS, LLC (the “Purchaser”).

RECITALS

The Seller and the Purchaser are parties to that certain Amended and Restated Master Spread Acquisition and MSR Servicing Agreement, dated as of April 30, 2015 (the “Existing Agreement”; as further amended by this Amendment, the “Agreement”). Capitalized terms used but not otherwise defined herein shall have the meanings given to them in the Existing Agreement.

The Purchaser transferred the Participation Certificate to CSFB in accordance with the terms of the Existing Agreement in order to perfect CSFB’s interest in the Participation Interest.

CSFB, the Seller and the Purchaser have agreed, subject to the terms and conditions of this Amendment, that the Existing Agreement be amended to reflect certain agreed upon revisions to the terms of the Existing Agreement.

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

SECTION 1. Definitions. The definition of “Servicing Agreement” in Section 1.01 of the Existing Agreement is hereby deleted in its entirety and replaced with the following:

“Servicing Agreement” means, with respect to each Mortgage Loan, any servicing agreement, including, with respect to any Mortgage Loan serviced for an Agency, Seller’s “contract” with such Agency (as defined in the applicable Acknowledgment Agreement) and, without duplication, the applicable Agency Guide, as amended from time to time, and any waivers, consent letters, acknowledgments and other agreements under which such Mortgage Loan is serviced and administered.

SECTION 2. Seller’s Duties With Respect to Servicing. Section 7.01 of the Existing Agreement is hereby amended by deleting clause (a) in its entirety and replacing it with the following:

(a) Effective on the Transaction Settlement Date for each Primary Portfolio, the Seller agrees for the benefit of the Purchaser to service the related Primary Portfolio Mortgage Loans and any Secondary Portfolio Mortgage Loans at all times in strict accordance in all material respects with the applicable Servicing Agreement. In connection with the Primary Portfolio Mortgage Loans and Secondary Portfolio

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Mortgage Loans related to each Transaction, the Seller shall not, without the express written consent of Purchaser (which consent may be withheld in its absolute discretion), (a) terminate or amend any Servicing Rights, or (b) enter into any termination, modification, waiver or amendment of any applicable Servicing Agreement or its rights and duties thereunder.

SECTION 3. Effective Date; 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:

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

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

(b) such other documents as CSFB or counsel to CSFB may reasonably request.

SECTION 4. Representations and Warranties. Each of the Seller and the Purchaser hereby represents and warrants to CSFB that it is in compliance with all the terms and provisions set forth in the Agreement on its part to be observed or performed, and that no Event of Default has occurred or is continuing, and (x) with respect to the Seller hereby confirms and reaffirms the representations and warranties contained in Section 6 of the Agreement and (y) with respect to the Purchaser hereby confirms and reaffirms the representations and warranties contained in Section 5 of the Agreement.

SECTION 5. Limited Effect. Except as expressly amended and modified by this Amendment, the Existing Agreement shall continue to be, and shall remain, in full force and effect in accordance with its terms.

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. 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. This Agreement may be executed by signature(s) transmitted by facsimile.

SECTION 8. GOVERNING LAW. THIS AMENDMENT SHALL BE CONSTRUED IN ACCORDANCE WITH AND GOVERNED BY THE LAWS OF THE STATE OF NEW YORK APPLICABLE TO CONTRACTS MADE AND TO BE PERFORMED ENTIRELY WITHIN SUCH STATE WITHOUT REGARD TO CONFLICTS OF LAW PRINCIPLES (OTHER THAN SECTION 5-1401 OF THE GENERAL OBLIGATIONS LAW, WHICH SHALL GOVERN).

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[Signature Page Follows]

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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.

CSFB:	CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC
	By:	/s/ Adam Loskove
		Name: Adam Loskove
		Title: Vice President

Seller:	PENNYMAC LOAN SERVICES, LLC
	By:	/s/ Pamela Marsh
		Name: Pamela Marsh
		Title: Executive Vice President, Treasurer

Purchaser:	PENNYMAC HOLDINGS, LLC
	By:	/s/ Pamela Marsh
		Name: Pamela Marsh
		Title: Executive Vice President, Treasurer

Signature Page to Amendment No. 1 to

Amended and Restated Master Spread Acquisition and MSR Servicing Agreement

EX-10.159

Exhibit 10.159

UNDERLYING ESS LSA EXECUTION

AMENDMENT NO. 1 TO LOAN AND SECURITY AGREEMENT

(PORTFOLIO EXCESS SPREAD)

This Amendment No. 1 to Loan and Security Agreement (Portfolio Excess Spread) (this “Amendment”) is made as of October 30, 2015 by and between PENNYMAC LOAN SERVICES, LLC (the “Lender”) and PENNYMAC HOLDINGS, LLC (the “Borrower”).

Lender and Borrower previously entered into a Loan and Security Agreement, dated as of April 30, 2015 (the “Existing Agreement”, and as further amended by this Amendment, the “Agreement”).

Lender and Borrower have agreed, subject to the terms and conditions of this Amendment, that the Existing Agreement be amended to reflect certain agreed upon revisions to the terms of the Existing Agreement.

Accordingly, Lender and Borrower hereby agree, in consideration of the mutual promises and mutual obligations set forth herein, that the Existing Agreement is hereby amended as follows:

SECTION 1. Definitions. Section 1.01 of the Existing Agreement is hereby amended by deleting the definition of “Termination Date” in its entirety and replacing it with the following in its proper alphabetical order:

“Termination Date” means the earliest of (a) December 15, 2015; and (b) the Obligations having become immediately due and payable pursuant to Section 7.03 of the Loan Agreement.

SECTION 2. 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:

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

(a) this Amendment, executed and delivered by the duly authorized officers of the Lender and Borrower; and

(b) such other documents as Lender or counsel to Lender may reasonably request.

SECTION 3. Representations and Warranties. Borrower hereby represents and warrants to Lender that Borrower is in compliance with all the terms and provisions set forth in the Agreement on its part to be observed or performed, and that no Event of Default under the Agreement has occurred or is continuing and hereby confirms and reaffirms the representations and warranties contained in Article III of the Agreement.

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

SECTION 5. 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 6. 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. Delivery of an executed counterpart of a signature page of this Amendment in Portable Document Format (PDF) or by facsimile shall be effective as delivery of a manually executed original counterpart of this Amendment.

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.

[REMAINDER OF PAGE INTENTIONALLY LEFT BLANK.]

2

IN WITNESS WHEREOF, the parties have caused this Amendment to be executed and delivered by their duly authorized officers or trustees as of the date first above written.

PENNYMAC HOLDINGS, LLC
By:	/s/ Pamela Marsh
	Name: Pamela Marsh Title: Executive Vice President, Treasurer

PENNYMAC LOAN SERVICES, LLC
By:	/s/ Pamela Marsh
	Name: Pamela Marsh Title: Executive Vice President, Treasurer

Signature Page to Amendment No. 1 to Loan and Security 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 6, 2015

/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 6, 2015

/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, 2015 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 6, 2015

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, 2015 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 6, 2015

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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Supplemental Cash Flow Information

9 Months Ended

Sep. 30, 2015

Supplemental Cash Flow Elements [Abstract]

Supplemental Cash Flow Information

Note 32—Supplemental Cash Flow Information

	Nine months ended September 30,
	2015		2014
	(in thousands)
Cash paid for interest	$	85,876	$	68,443
Income tax paid (refund)	$	700	$	(6,782	)
Non-cash investing activities:
Transfer of mortgage loans and advances to real estate acquired in settlement of loans	$	240,483	$	268,677
Purchase of mortgage loans financed through forward purchase agreements	$	—	$	2,828
Transfer of mortgage loans under forward purchase agreements to mortgage loans at fair value	$	—	$	205,902
Transfer of mortgage loans under forward purchase agreements and advances to REO under forward purchase agreements	$	—	$	9,369
Receipt of MSRs as proceeds from sales of loans	$	112,450	$	89,230
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment	$	4,440	$	—
Receipt of ESS pursuant to recapture agreement with PFSI	$	4,833	$	6,093
Transfer of REO under forward purchase agreements to REO	$	—	$	12,737
Non-cash financing activities:
Purchase of mortgage loans financed through forward purchase agreements	$	—	$	2,828
Transfer of mortgage loans at fair value financed through agreements to repurchase to REO financed under agreements to repurchase	$	58,923	$	3,491
Dividends payable	$	35,019	$	45,467

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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	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Cash (loss) gain:
Loans	$ 4,579	$ (15,473)	$ (54,183)	$ (21,540)
Hedging activities	(33,268)	(12,706)	(27,082)	(35,004)
Cash gain, net of effects of cash hedging, on sale of mortgage loans acquired for sale	(28,689)	(28,179)	(81,265)	(56,544)
Non cash gain:
Receipt of MSRs in loan sale transactions	52,814	39,614	112,450	89,230
Provision for losses relating to representations and warranties provided in loan sales	(1,833)	(1,359)	(4,177)	(3,125)
Change in fair value of financial instruments issued and held at period end:
IRLCs	9,073	(5,697)	3,146	4,140
Mortgage loans	(17,097)	(3,073)	1,181	5,000
Hedging derivatives	(384)	8,203	3,884	(8,999)
Total non cash portion of gain on mortgage loans acquired for sale	(8,408)	(567)	8,211	141
Net gain on mortgage loans acquired for sale	$ 13,884	$ 9,509	$ 35,219	$ 29,702

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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
	Sep. 30, 2015	Dec. 31, 2014
Risks and Uncertainties [Abstract]
Portion of mortgage loans originated between 2005 and 2007	73.00%	75.00%
Percentage of fair value of mortgage loans with unpaid-principal balance-to-current-property-value in excess of 100%	46.00%	55.00%
Percentage of mortgage loans secured by California real estate	22.00%	22.00%
Additional states contributing 5% or more of mortgage loans	New York New Jersey Florida

XML

Real Estate Acquired in Settlement of Loans (Tables)

9 Months Ended

Sep. 30, 2015

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,
	2015			2014			2015			2014
	(in thousands)
Balance at beginning of period	$	324,278		$	240,471		$	303,228		$	138,942
Purchases		—			—			—			3,049
Transfers from mortgage loans at fair value and servicing advances		82,405			94,530			240,483			268,677
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment		(2,212	)		—			(3,505	)		—
Transfers from REO under forward purchase agreements		—			—			—			12,737
Results of REO:
Valuation adjustments, net		(8,734	)		(15,639	)		(26,740	)		(32,912	)
Gain on sale, net		4,513			3,713			14,881			9,485
		(4,221	)		(11,926	)		(11,859	)		(23,427	)
Proceeds from sales		(46,687	)		(47,890	)		(174,784	)		(124,793	)
Balance at end of period	$	353,563		$	275,185		$	353,563		$	275,185
At period end:
REO pledged to secure assets sold under agreements to repurchase	$	280,045		$	56,702
REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties	$	—		$	19,858

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Regulatory Net Worth - Additional Information (Detail)	Sep. 30, 2015 USD ($)
Fannie Mae Capital Markets [Member]
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items]
Minimum net worth amount	$ 75,900,000
Freddie Mac Capital Markets [Member]
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items]
Minimum net worth amount	$ 39,400,000

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Loan Sales and Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2015

Organization, Consolidation and Presentation of Financial Statements [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 (“UPB”) information at period end:

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Cash flows:
Proceeds from sales	$	4,885,668	$	3,745,193	$	10,593,309	$	8,534,637
Servicing fees received (1)	$	25,054	$	17,797	$	69,876	$	52,704
Period end information:
Unpaid principal balance of:
Mortgage loans outstanding	$	39,786,376	$	32,134,609
Delinquent mortgage loans:
30-89 days delinquent	$	154,346	$	87,374
90 or more days delinquent
Not in foreclosure or bankruptcy		25,243		20,708
In foreclosure or bankruptcy		30,406		11,583
		55,649		32,291
	$	209,995	$	119,665

(1) Net of guarantee fees.

Summary of Credit Risk Transfer Agreements

Following is a summary of the CRT Agreements:

	Quarter ended September 30,		Nine months ended September 30,
	2015		2015
	(in thousands)
During the period:
UPB of mortgage loans transferred and sold under CRT Agreements	$	1,660,280	$	2,400,433
Restricted cash deposited to fund guarantees	$	59,841	$	87,891
Gains recognized on net derivatives related to CRT Agreements
Realized	$	—	$	—
Resulting from valuation changes		626		626
	$	626	$	626
Payments made to settle losses	$	—	$	—
At period end:
UPB of mortgage loans subject to guarantee obligation	$	2,400,433
Delinquency
Current—89 days delinquent	$	2,400,433
90 or more days delinquent		—
	$	2,400,433
Carrying value of CRT Agreements:
Restricted cash included in Other assets	$	87,891
Net derivative assets included in Derivative assets		626
	$	88,517

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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 Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Assets Sold under Agreements to Repurchase [Line Items]
Amortization of commitment fees and issuance costs	$ 562,000		$ 915,000
Assets Sold under Agreement to Repurchase [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amortization of commitment fees and issuance costs	$ 2,200	$ 2,200	$ 6,700	$ 7,400

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Other Expenses (Tables)

9 Months Ended

Sep. 30, 2015

Other Income and Expenses [Abstract]

Summary of Other Expenses

Other expenses are summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Common overhead allocation from PFSI (1)	$	2,550	$	2,802	$	7,487	$	8,018
Servicing and collection costs		1,853		2,064		6,480		5,809
Loan origination		1,367		1,202		3,496		1,637
Insurance		309		247		984		738
Technology		307		246		910		720
Other		941		823		2,649		1,682
	$	7,327	$	7,384	$	22,006	$	18,604

(1) For the quarter and nine months ended September 30, 2015, in accordance with the terms of the management agreement, PCM provided the Company discretionary waivers of $900,000 and $1.6 million, respectively, of overhead expenses that otherwise would have been allocable to the Company.

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Assets Sold Under Agreements to Repurchase - Covenant Compliance (Detail)	Sep. 30, 2015 USD ($)
PennyMac Mortgage Investment Trust [Member]
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items]
Net worth	$ 1,514,430,000
Minimum net worth amount	860,000,000
Operating Partnership [Member]
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items]
Net worth	1,554,310,000
Minimum net worth amount	700,000,000
PennyMac Holdings, LLC [Member]
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items]
Net worth	896,693,000
Minimum net worth amount	250,000,000
PennyMac Corp. [Member]
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items]
Net worth	417,780,000
Minimum net worth amount	$ 150,000,000

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Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements (Tables)

9 Months Ended

Sep. 30, 2015

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 during the quarter and nine months ended September 30, 2014:

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

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Transactions with Related Parties - Summary of Mortgage Loan Servicing Fees Earned (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Related Party Transaction [Line Items]
Loan servicing fees	$ 11,736	$ 12,325	$ 34,542	$ 41,096
Average mortgage loan servicing portfolio	38,172,371	30,701,324	36,446,663	28,597,033
Penny Mac Loan Services LLC [Member]
Related Party Transaction [Line Items]
Loan servicing fees	11,736	12,325	34,542	41,096
Average mortgage loan servicing portfolio	38,172,371	30,701,324	36,446,663	28,597,033
Penny Mac Loan Services LLC [Member] | Mortgage loans acquired for sale at fair value [Member]
Related Party Transaction [Line Items]
Loan servicing fees	283	63	441	186
Average mortgage loan servicing portfolio	1,783,011	732,287	1,189,754	530,861
Penny Mac Loan Services LLC [Member] | Mortgage loans acquired for sale at fair value [Member] | Base [Member]
Related Party Transaction [Line Items]
Loan servicing fees	130	28	198	74
Penny Mac Loan Services LLC [Member] | Mortgage loans acquired for sale at fair value [Member] | Activity-based [Member]
Related Party Transaction [Line Items]
Loan servicing fees	153	35	243	112
Penny Mac Loan Services LLC [Member] | Distressed mortgage loans [Member]
Related Party Transaction [Line Items]
Loan servicing fees	6,857	8,738	21,001	30,757
Average mortgage loan servicing portfolio	2,201,533	2,122,397	2,268,538	2,171,724
Penny Mac Loan Services LLC [Member] | Distressed mortgage loans [Member] | Base [Member]
Related Party Transaction [Line Items]
Loan servicing fees	3,896	4,662	12,053	14,549
Penny Mac Loan Services LLC [Member] | Distressed mortgage loans [Member] | Activity-based [Member]
Related Party Transaction [Line Items]
Loan servicing fees	2,961	4,076	8,948	16,208
Penny Mac Loan Services LLC [Member] | Mortgage loans held in VIE [Member]
Related Party Transaction [Line Items]
Loan servicing fees	34	17	92	71
Average mortgage loan servicing portfolio	481,925	537,367	504,351	534,784
Penny Mac Loan Services LLC [Member] | Mortgage loans held in VIE [Member] | Base [Member]
Related Party Transaction [Line Items]
Loan servicing fees	34	17	92	71
Penny Mac Loan Services LLC [Member] | Mortgage loans held in VIE [Member] | Activity-based [Member]
Related Party Transaction [Line Items]
Loan servicing fees	0	0	0	0
Penny Mac Loan Services LLC [Member] | Mortgage servicing rights [Member]
Related Party Transaction [Line Items]
Loan servicing fees	4,562	3,507	13,008	10,082
Penny Mac Loan Services LLC [Member] | Mortgage servicing rights [Member] | Base [Member]
Related Party Transaction [Line Items]
Loan servicing fees	4,473	3,459	12,783	9,930
Penny Mac Loan Services LLC [Member] | Mortgage servicing rights [Member] | Activity-based [Member]
Related Party Transaction [Line Items]
Loan servicing fees	$ 89	$ 48	$ 225	$ 152

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Fair Value - Key Assumptions Used in Determining Fair Value of MSRs at Time of Initial Recognition (Detail) - USD ($)	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014	Dec. 31, 2014
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized cost, MSR recognized	$ 47,140,000	$ 26,802,000	$ 103,281,000	$ 49,276,000
Amortized cost, Unpaid principal balance of underlying mortgage loans	$ 3,512,016,000	$ 2,423,013,000	$ 9,140,782,000	$ 4,518,100,000
Amortized cost, Weighted-average annual servicing fee rate (in basis points)	0.25%	0.25%	0.25%	0.25%
Fair value, MSR recognized	$ 5,674,000	$ 12,812,000	$ 9,169,000	$ 39,954,000
Fair value, Unpaid principal balance of underlying mortgage loans	$ 578,894,000	$ 1,234,028,000	$ 978,951,000	$ 3,784,142,000
Fair value, Weighted-average annual servicing fee rate (in basis points)	0.25%	0.25%	0.25%	0.25%	0.25%
Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized cost, Pricing spread during period	6.50%	6.50%	6.50%	6.30%
Amortized cost, Life (in years)	2 years	1 year 4 months 24 days	1 year 3 months 18 days	1 year 1 month 6 days
Amortized cost, Annual prepayment speed during period	7.60%	7.60%	7.60%	7.60%
Amortized cost, Annual per loan cost of servicing during period	$ 62,000	$ 68,000	$ 62,000	$ 68,000
Fair value inputs, Pricing spread during period	7.20%	8.80%	7.20%	8.50%
Fair value inputs, Weighted average life during period	2 years 3 months 18 days	2 years 9 months 18 days	2 years 3 months 18 days	2 years 9 months 18 days
Fair value inputs, Annual prepayment speed during period	8.40%	8.00%	8.30%	8.00%
Fair value inputs, Annual per loan cost of servicing during period	$ 62,000	$ 68,000	$ 62,000	$ 68,000
Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized cost, Pricing spread during period	13.00%	17.50%	17.50%	17.50%
Amortized cost, Life (in years)	7 years 4 months 24 days	7 years 3 months 18 days	7 years 8 months 12 days	7 years 3 months 18 days
Amortized cost, Annual prepayment speed during period	37.60%	48.80%	51.00%	56.40%
Amortized cost, Annual per loan cost of servicing during period	$ 68,000	$ 140,000	$ 134,000	$ 140,000
Fair value inputs, Pricing spread during period	14.30%	13.50%	16.30%	13.50%
Fair value inputs, Weighted average life during period	7 years 2 months 12 days	7 years 3 months 18 days	7 years 3 months 18 days	7 years 3 months 18 days
Fair value inputs, Annual prepayment speed during period	22.40%	30.40%	34.20%	30.40%
Fair value inputs, Annual per loan cost of servicing during period	$ 68,000	$ 140,000	$ 68,000	$ 140,000
Weighted Average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized cost, Pricing spread during period	7.80%	8.50%	8.10%	8.50%
Amortized cost, Life (in years)	6 years 9 months 18 days	6 years 7 months 6 days	6 years 8 months 12 days	6 years 3 months 18 days
Amortized cost, Annual prepayment speed during period	9.20%	9.20%	8.90%	9.70%
Amortized cost, Annual per loan cost of servicing during period	$ 65,000	$ 70,000	$ 63,000	$ 69,000
Fair value inputs, Pricing spread during period	8.40%	9.10%	9.20%	9.10%
Fair value inputs, Weighted average life during period	6 years 7 months 6 days	7 years 1 month 6 days	6 years 6 months	7 years 1 month 6 days
Fair value inputs, Annual prepayment speed during period	11.90%	9.70%	12.10%	9.50%
Fair value inputs, Annual per loan cost of servicing during period	$ 65,000	$ 70,000	$ 64,000	$ 69,000

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Transactions with Related Parties (Tables)

9 Months Ended

Sep. 30, 2015

Related Party Transactions [Abstract]

Summary of Corresponding Production Activity

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

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Fulfillment fees earned by PLS	$	17,553	$	15,497	$	45,752	$	36,832
Unpaid principal balance of loans fulfilled by PLS	$	4,073,201	$	3,677,613	$	10,542,411	$	8,588,955
Sourcing fees received from PLS	$	3,236	$	1,384	$	7,084	$	3,401
Unpaid principal balance of loans sold to PLS	$	10,783,882	$	4,609,947	$	23,602,020	$	11,332,898
Purchases of mortgage loans acquired for sale at fair value from PLS	$	2,880	$	2,970	$	13,708	$	4,955
Tax service fee to paid to PLS	$	1,291	$	703	$	3,293	$	1,753
At period end:
Mortgage loans included in mortgage loans acquired for sale pending sale to PLS	$	373,812	$	59,719

Summary of Mortgage Loan Servicing Fees Earned

Following is a summary of mortgage loan servicing fees earned by PLS:

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Mortgage loans acquired for sale at fair value:
Base	$	130	$	28	$	198	$	74
Activity-based		153		35		243		112
		283		63		441		186
Mortgage loans at fair value:
Distressed mortgage loans
Base		3,896		4,662		12,053		14,549
Activity-based		2,961		4,076		8,948		16,208
		6,857		8,738		21,001		30,757
Mortgage loans held in VIE
Base		34		17		92		71
Activity-based		—		—		—		—
		34		17		92		71
MSRs:
Base		4,473		3,459		12,783		9,930
Activity-based		89		48		225		152
		4,562		3,507		13,008		10,082
	$	11,736	$	12,325	$	34,542	$	41,096
Average investment in:
Mortgage loans acquired for sale at fair value	$	1,783,011	$	732,287	$	1,189,754	$	530,861
Distressed mortgage loans	$	2,201,533	$	2,122,397	$	2,268,538	$	2,171,724
Mortgage loans held in a VIE	$	481,925	$	537,367	$	504,351	$	534,784
Average mortgage loan servicing portfolio	$	38,172,371	$	30,701,324	$	36,446,663	$	28,597,033

Summary of Investing and Financing Activities

Following is a summary of investing and financing activities between the Company and PFSI:

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
	(in thousands)
ESS:
Purchases	$	84,165		$	9,253		$	271,452		$	82,646
Recapture income recognized	$	2,428		$	2,143		$	5,173		$	6,558
Repayments	$	24,717		$	8,786		$	55,800		$	25,280
Interest income	$	8,026		$	3,577		$	17,596		$	9,578
Net gain (loss)	$	(10,272	)	$	(9,539	)	$	(10,675	)	$	(24,392	)
MSR recapture income recognized	$	670		$	—		$	670		$	9
Note payable:
Advances	$	97,474		$	—		$	168,546		$	—
Repayments	$	—		$	—		$	18,546		$	—
Interest expense	$	1,289		$	—		$	1,822		$	—

Summary of Base Management and Performance Incentive Fees Payable

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

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Base	$	5,742	$	6,033	$	17,181	$	17,392
Performance incentive		—		3,590		1,343		9,217
Total management fee incurred during the period	$	5,742	$	9,623	$	18,524	$	26,609

Summary of Expenses

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

	Quarter ended September 30,					Nine months ended September 30,
	2015			2014		2015		2014
	(in thousands)
Reimbursement of:
Common overhead incurred by PCM and its affiliates (1)	$	2,694		$	2,912	$	8,125	$	8,181
Expenses incurred on the Company’s behalf		(85	)		122		377		671
	$	2,609		$	3,034	$	8,502	$	8,852
Payments and settlements during the period (2)	$	17,709		$	31,621	$	64,575	$	72,975

(1) For the quarter and nine months ended September 30, 2015, in accordance with the terms of the management agreement, PCM provided the Company discretionary waivers of $900,000 and $1.6 million, respectively, of overhead expenses that otherwise would have been allocable to the Company.

(2) 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, on the one hand, and PCM and PLS, on the other hand.

Summary of Amounts Due to Affiliates

Amounts due to PCM and PLS are summarized below:

	September 30, 2015		December 31, 2014
	(in thousands)
Management fees	$	5,742	$	8,426
Allocated expenses		5,237		6,582
Fulfillment fees		3,031		506
Servicing fees		2,310		3,457
Conditional reimbursement		900		1,136
Unsettled purchases of ESS		—		3,836
	$	17,220	$	23,943

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Net Gain on Investments

9 Months Ended

Sep. 30, 2015

Investments, Debt and Equity Securities [Abstract]

Net Gain on Investments

Note 26—Net Gain on Investments

Net gain on investments is summarized below:

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
	(in thousands)
Net gain (loss) on investments:
From non-affiliates:
Mortgage-backed securities	$	3,564		$	(821	)	$	(1,622	)	$	6,096
Mortgage loans		31,909			81,296			79,163			194,808
Mortgage loans held in a VIE		7,421			(2,578	)		(2,856	)		24,906
Net derivatives related to CRT Agreements		626			—			626			—
Asset-backed secured financing		(3,941	)		696			(719	)		(7,258	)
Hedging derivatives		(6,777	)		(807	)		(18,071	)		(14,609	)
		32,802			77,786			56,521			203,943
From PennyMac Financial Services, Inc:
Excess servicing spread purchased from PFSI		(7,844	)		(7,396	)		(5,502	)		(17,834	)
	$	24,958		$	70,390		$	51,019		$	186,109

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Transactions with Related Parties - Summary of Investing and Financing Activities (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
ESS:
Purchases			$ 271,452	$ 82,646
Repayments			55,800	25,280
MSR recapture income recognized	$ 670	$ 0	670	9
PennyMac Financial Services, Inc. [Member]
ESS:
Purchases	84,165	9,253	271,452	82,646
Recapture income recognized	2,428	2,143	5,173	6,558
Repayments	24,717	8,786	55,800	25,280
Interest income	8,026	3,577	17,596	9,578
Net gain (loss)	(10,272)	(9,539)	(10,675)	(24,392)
MSR recapture income recognized	670	0	670	9
Note payable:
Advances	97,474	0	168,546	0
Repayments	0	0	18,546	0
Interest expense	$ 1,289	$ 0	$ 1,822	$ 0

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Mortgage Servicing Rights - Summary of Company's Estimate of Future Amortization of Existing MSRs Carried at Amortized Cost (Detail) $ in Thousands	Sep. 30, 2015 USD ($)
Servicing Asset Future Amortization Expense Abstract [Abstract]
2015	$ 49,227
2016	42,898
2017	37,642
2018	33,216
2019	29,421
Thereafter	187,796
Total	$ 380,200

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Federal Home Loan Bank Advances - Additional Information (Detail)	Jun. 30, 2015 USD ($)
Federal Home Loan Banks [Abstract]
Federal home loan bank advances	$ 400,000,000
Percentage of capital stock	4.00%

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Exchangeable Senior Notes - Additional Information (Detail) - Exchangeable Senior Notes due May 1, 2020 [Member]	9 Months Ended
	Sep. 30, 2015 USD ($) $ / shares
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 exchangeable notes	33.6567
Principal amount of the exchangeable notes	$ 1,000
Increased in cash dividend | $ / shares	$ 0.57
Maturity date of debt instrument	May 01, 2020
Initial exchangeable rate [Member]
Debt Instrument [Line Items]
Number of shares exchanged per exchangeable notes	33.5149

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Organization and Basis of Presentation - Additional Information (Detail)	9 Months Ended
	Sep. 30, 2015 Segment
Accounting Policies [Abstract]
Number of business segments	2
Percentage of taxable income for distributions	90.00%

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Loan Sales and Variable Interest Entities - Additional Information (Detail) - Jumbo Mortgage Loan Financing [Member] - Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] - USD ($)	3 Months Ended	9 Months Ended
	Sep. 30, 2015	Sep. 30, 2015	Sep. 30, 2013
Variable Interest Entity [Line Items]
Certificates issued	$ 85,200,000	$ 537,000,000
Weighted yield			3.90%
Certificates retained	$ 238,800,000	$ 238,800,000	$ 366,800,000

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Assets Sold Under Agreements to Repurchase (Tables)

9 Months Ended

Sep. 30, 2015

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,
	2015			2014			2015			2014
	(dollars in thousands)
During the period:
Weighted-average interest rate (1)		2.30	%		2.13	%		2.27	%		2.18	%
Average balance	$	3,252,341		$	2,501,816		$	3,125,328		$	2,186,135
Total interest expense	$	21,350		$	15,814		$	60,470		$	43,496
Maximum daily amount outstanding	$	4,160,814		$	2,815,572		$	4,612,001		$	2,700,586
At period end:
Amount outstanding	$	2,865,722		$	2,416,686
Unamortized debt issuance costs		(1,690	)		(639	)
	$	2,864,032		$	2,416,047
Weighted-average interest rate		2.22	%		2.17	%
Available borrowing capacity:
Committed	$	510,109		$	578,969
Uncommitted		868,978			894,343
	$	1,379,087		$	1,473,312
Margin deposits placed with counterparties	$	7,230		$	8,210
Fair value of assets securing agreements to repurchase:
Mortgage-backed securities	$	306,638		$	262,378
Mortgage loans acquired for sale at fair value		903,806			609,608
Mortgage loans at fair value		2,390,784			2,273,768
Real estate acquired in settlement of loans		280,045			76,561
	$	3,881,273		$	3,222,315

(1) Excludes the effect of amortization of commitment fees and issuance costs of $2.2 million and $6.7 million for the quarter and nine months ended September 30, 2015 and $2.2 million and $7.4 million for the quarter and nine months ended September 30, 2014, respectively.

Summary of Maturities of Outstanding Assets Sold under Agreements to Repurchase by Facility Maturity Date

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

Remaining Maturity at September 30, 2015	Contractual balance
	(in thousands)
Within 30 days	$	1,521,695
Over 30 to 90 days		413,728
Over 90 days to 180 days		252,357
Over 180 days to 1 year		290,986
Over 1 year to 2 year		386,956
	$	2,865,722
Weighted average maturity (in months)		4.5

Covenant Compliance

The following is a summary of the tangible net worth and minimum required amounts for the Company and certain of its subsidiaries at September 30, 2015 to comply with the debt covenants contained in the borrowing agreements:

	Tangible net worth at September 30, 2015
Entity	Balance		Minimum required
	(in thousands)
PennyMac Mortgage Investment Trust	$	1,514,430	$	860,000
Operating Partnership	$	1,554,310	$	700,000
PennyMac Holdings, LLC	$	896,693	$	250,000
PennyMac Corp.	$	417,780	$	150,000

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, 2015:

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)
Citibank, N.A.	$	366,115	October 22, 2015	October 22, 2015
Credit Suisse First Boston Mortgage Capital LLC	$	317,292	October 30, 2015	October 30, 2015
JPMorgan Chase & Co.	$	160,224	—	January 26, 2017
Bank of America, N.A.	$	31,157	December 19, 2015	January 29, 2016
Morgan Stanley	$	10,905	November 17, 2015	December 17, 2015

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)
Citibank, N.A.	$	517	December 30, 2015
JPMorgan Chase & Co.	$	16,547	October 23, 2015
Daiwa Capital Markets America Inc.	$	8,275	November 6, 2015
Bank of America, N.A.	$	15,181	November 18, 2015

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Derivative Financial Instruments - Summary of Activity in Notional Amount for Derivative Arising from CRT Agreements and Derivative Contracts (Detail) - USD ($)	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Forward sales contracts [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period			$ 1,601,282,000
Balance, end of period	$ 3,410,839,000		3,410,839,000
Forward purchase contracts [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period			1,100,700,000
Balance, end of period	3,282,364,000		3,282,364,000
MBS put options [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period			340,000,000
Balance, end of period	450,000,000		450,000,000
MBS call options [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period			0
Balance, end of period	0		0
Eurodollar future sale contracts [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period			7,426,000,000
Balance, end of period	1,756,000,000		1,756,000,000
Eurodollar future purchase contracts [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period			800,000,000
Balance, end of period	0		0
Treasury future contracts [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period			85,000,000
Balance, end of period	0		0
Call options on interest rate futures [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period			1,030,000,000
Balance, end of period	1,555,000,000		1,555,000,000
Put options on interest rate futures [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period			275,000,000
Balance, end of period	1,625,000,000		1,625,000,000
Net derivatives related to CRT Agreements [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period			0
Balance, end of period	2,400,433,000		2,400,433,000
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | Forward sales contracts [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period	3,252,286,000	$ 4,185,633,000	1,601,283,000	$ 3,588,027,000
Additions	15,003,760,000	11,670,826,000	38,880,821,000	35,657,347,000
Dispositions/expirations	(14,845,207,000)	(13,080,210,000)	(37,071,265,000)	(36,469,125,000)
Balance, end of period	3,410,839,000	2,776,249,000	3,410,839,000	2,776,249,000
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | Forward purchase contracts [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period	2,263,622,000	3,058,604,000	1,100,700,000	2,781,066,000
Additions	10,938,733,000	8,216,022,000	27,871,913,000	26,650,920,000
Dispositions/expirations	(9,919,991,000)	(9,364,487,000)	(25,690,249,000)	(27,521,847,000)
Balance, end of period	3,282,364,000	1,910,139,000	3,282,364,000	1,910,139,000
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | MBS put options [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period	367,500,000	392,500,000	340,000,000	55,000,000
Additions	700,000,000	640,000,000	1,692,500,000	1,482,500,000
Dispositions/expirations	(617,500,000)	(467,500,000)	(1,582,500,000)	(972,500,000)
Balance, end of period	450,000,000	565,000,000	450,000,000	565,000,000
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | MBS call options [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period	40,000,000	95,000,000	0	110,000,000
Additions	0	75,000,000	140,000,000	230,000,000
Dispositions/expirations	(40,000,000)	(120,000,000)	(140,000,000)	(290,000,000)
Balance, end of period	0	50,000,000	0	50,000,000
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | Eurodollar future sale contracts [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period	5,984,000,000	5,562,000,000	7,426,000,000	8,779,000,000
Additions	0	990,000,000	285,000,000	1,452,000,000
Dispositions/expirations	(4,228,000,000)	(290,000,000)	(5,955,000,000)	(3,969,000,000)
Balance, end of period	1,756,000,000	6,262,000,000	1,756,000,000	6,262,000,000
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | Eurodollar future purchase contracts [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period		0	800,000,000	0
Additions		290,000,000	0	3,287,000,000
Dispositions/expirations		(290,000,000)	(800,000,000)	(3,287,000,000)
Balance, end of period	0	0	0	0
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | Treasury future contracts [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period	40,000,000	85,000,000	85,000,000	105,000,000
Additions	0	154,500,000	161,500,000	375,300,000
Dispositions/expirations	(40,000,000)	(154,500,000)	(246,500,000)	(395,300,000)
Balance, end of period	0	85,000,000	0	85,000,000
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | Call options on interest rate futures [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period	1,135,000,000	230,000,000	1,030,000,000	0
Additions	1,805,000,000	580,000,000	4,080,000,000	960,000,000
Dispositions/expirations	(1,385,000,000)	(455,000,000)	(3,555,000,000)	(605,000,000)
Balance, end of period	1,555,000,000	355,000,000	1,555,000,000	355,000,000
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | Put options on interest rate futures [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period	1,273,000,000	125,000,000	275,000,000	52,500,000
Additions	1,650,000,000	490,500,000	4,318,000,000	1,052,500,000
Dispositions/expirations	(1,298,000,000)	(395,500,000)	(2,968,000,000)	(885,000,000)
Balance, end of period	1,625,000,000	220,000,000	1,625,000,000	220,000,000
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | Treasury Future purchase contracts [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period		0		0
Additions		138,300,000		331,900,000
Dispositions/expirations		(138,300,000)		(331,900,000)
Balance, end of period		$ 0		$ 0
Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member] | Net derivatives related to CRT Agreements [Member]
Derivatives, Fair Value [Line Items]
Balance, beginning of period	0		0
Additions	2,400,433,000		2,400,433,000
Dispositions/expirations	0		0
Balance, end of period	$ 2,400,433,000		$ 2,400,433,000

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Exchangeable Senior Notes - Summary of Financial Information Relating to Exchangeable Notes (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014	Dec. 31, 2014
During the period:
Weighted-average unpaid principal balance	$ 250,000	$ 250,000	$ 250,000	$ 250,000
Interest expense	3,605	3,592	10,803	10,763
At period end:
Amount outstanding	250,000	250,000	250,000	250,000
Unamortized issuance costs	(5,195)	(6,156)	(5,195)	(6,156)
Exchangeable senior notes	$ 244,805	$ 243,844	$ 244,805	$ 243,844	$ 244,079

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Concentration of Risks - Consolidated Statements of Income and Cash Flows (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Statements of income:
Interest income	$ 61,438	$ 41,236	$ 147,456	$ 129,100
Interest expense	37,760	22,020	93,245	63,660
Net gain on investments	24,958	70,390	51,019	186,109
Net loan servicing fees	20,791	10,533	41,810	26,712
Results of REO	$ (4,221)	(11,926)	(11,859)	(23,900)
Statements of cash flows:
Repayments of mortgage loans			0	6,413
Sales of REO			0	5,365
Repayments of borrowings under forward purchase agreements			$ 0	(227,866)
Citigroup Global Markets Realty Corp [Member]
Statements of income:
Interest income		0		3,584
Interest expense		0		2,364
Net gain on investments		0		803
Net loan servicing fees		0		517
Results of REO		0		(473)
Statements of cash flows:
Repayments of mortgage loans		0		6,413
Sales of REO		0		5,365
Repayments of borrowings under forward purchase agreements		$ 0		$ (227,866)

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Income Taxes - Additional Information (Detail)	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Income Tax Disclosure [Abstract]
Effective income tax rate	14.00%	5.10%	(12.10%)	(0.30%)

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Earnings Per Share - Summary of Basic and Diluted Earnings per Share (Detail) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Basic earnings per share:
Net income	$ 38,812	$ 54,949	$ 74,391	$ 168,033
Effect of participating securities-share-based compensation awards	(361)	(305)	(1,352)	(1,360)
Net income attributable to common shareholders	38,451	54,644	73,039	166,673
Diluted earnings per share:
Net income attributable to common shareholders	38,451	54,949	73,039	168,033
Interest on Exchangeable Notes, net of income taxes	2,123	2,081	6,364	6,237
Net income attributable to diluted shareholders	$ 40,574	$ 57,030	$ 79,403	$ 174,270
Weighted-average basic shares outstanding	74,681	74,140	74,675	73,254
Potentially dilutive securities:
Shares issuable pursuant to exchange of the Exchangeable Notes	8,414	8,401	8,414	8,401
Shares issuable under share-based compensation plan	316	291	397	323
Diluted weighted-average number of shares outstanding	83,411	82,832	83,486	81,978
Basic earnings per share	$ 0.51	$ 0.74	$ 0.98	$ 2.28
Diluted earnings per share	$ 0.49	$ 0.69	$ 0.95	$ 2.13

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Share-Based Compensation Plans - Additional Information (Detail) - Restricted share units [Member] - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Share-based share compensation plan, and compensation expense	$ 1.3	$ 1.6	$ 5.0	$ 5.7
Restricted share units granted	0	0	294,684	300,131
Restricted share units, grant date fair value			$ 6.3	$ 6.0
Units vested	0	500	301,763	230,716

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Segments and Related Information - Additional Information (Detail)	9 Months Ended
	Sep. 30, 2015 Segment
Segment Reporting [Abstract]
Number of business segments	2

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Transactions with Related Parties - Other Transactions - Additional Information (Detail) - USD ($)	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014	Dec. 31, 2014	Aug. 04, 2009
Related Party Transaction [Line Items]
Amounts due from PCM	$ 9,050,000		$ 9,050,000		$ 6,621,000
PNMAC Capital Management LLC [Member]
Related Party Transaction [Line Items]
Payments of contingent underwriting fee to manager	7,000	$ 256,000	237,000	$ 292,000
Amounts due from PCM	9,100,000		9,100,000		6,600,000
PNMAC Capital Management LLC [Member] | Maximum [Member]
Related Party Transaction [Line Items]
Conditional reimbursement						$ 2,900,000
IPO underwriters [Member]
Related Party Transaction [Line Items]
Payments of contingent underwriting fees to underwriters	14,000	$ 615,000	473,000	$ 1,000,000
Contingent underwriting fees	$ 459,000		$ 459,000		$ 1,700,000
IPO underwriters [Member] | Maximum [Member]
Related Party Transaction [Line Items]
Reimbursement amount						$ 5,900,000
PennyMac Financial Services, Inc. [Member]
Related Party Transaction [Line Items]
Number of common shares held by affiliate	75,000		75,000		75,000

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Loan Sales and Variable Interest Entities - Summary of Cash Flows between Company and Transferees in Transfers Accounted for Sales (Detail) - Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member] - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Cash flows:
Proceeds from sales	$ 4,885,668	$ 3,745,193	$ 10,593,309	$ 8,534,637
Servicing fees received	25,054	17,797	69,876	52,704
Period end information:
Unpaid principal balance of mortgage loans outstanding	39,786,376	32,134,609	39,786,376	32,134,609
Delinquent mortgage loans:
30-89 days delinquent	154,346	87,374	154,346	87,374
90 or more days delinquent
Not in foreclosure or bankruptcy	25,243	20,708	25,243	20,708
In foreclosure or bankruptcy	30,406	11,583	30,406	11,583
Unpaid principal balance of loans outstanding at period-end	55,649	32,291	55,649	32,291
Unpaid principal balance of delinquent mortgage loans	$ 209,995	$ 119,665	$ 209,995	$ 119,665

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Transactions with Related Parties - Summary of Corresponding Production Activity (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014	Dec. 31, 2014
Related Party Transaction [Line Items]
Fulfillment fees earned by PLS	$ 17,553	$ 15,497	$ 45,752	$ 36,832
Purchases of mortgage loans acquired for sale at fair value from PLS			13,708	4,955
At period end:
Mortgage loans included in mortgage loans acquired for sale pending sale to PLS	1,050,296		1,050,296		$ 637,722
Penny Mac Loan Services LLC [Member]
Related Party Transaction [Line Items]
Fulfillment fees earned by PLS	17,553	15,497	45,752	36,832
Unpaid principal balance of loans fulfilled by PLS	4,073,201	3,677,613	10,542,411	8,588,955
Sourcing fees received from PLS	3,236	1,384	7,084	3,401
Unpaid principal balance of loans sold to PLS	10,783,882	4,609,947	23,602,020	11,332,898
Purchases of mortgage loans acquired for sale at fair value from PLS	2,880	2,970	13,708	4,955
Tax service fee to paid to PLS	1,291	703	3,293	1,753
At period end:
Mortgage loans included in mortgage loans acquired for sale pending sale to PLS	$ 373,812	$ 59,719	$ 373,812	$ 59,719

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Segments and Related Information (Tables)

9 Months Ended

Sep. 30, 2015

Segment Reporting [Abstract]

Financial Highlights by Operating Segment

Financial highlights by operating segment are summarized below:

Quarter ended September 30, 2015	Correspondent production			Investment activities			Intersegment elimination & other		Total
	(in thousands)
Net investment income:
Interest income	$	13,748		$	47,690		$	—	$	61,438
Interest expense		(6,370	)		(31,390	)		—		(37,760	)
		7,378			16,300			—		23,678
Net gain on mortgage loans acquired for sale		13,884			—			—		13,884
Net gain on investments		—			24,958			—		24,958
Net loan servicing fees		—			20,791					20,791
Other income (loss)		9,154			(1,691	)		—		7,463
		30,416			60,358			—		90,774
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.		18,367			16,664			—		35,031
Other		1,876			8,760			—		10,636
		20,243			25,424			—		45,667
Pre-tax income	$	10,173		$	34,934		$	—	$	45,107
Total assets at period end	$	1,073,070		$	4,519,161		$	—	$	5,592,231

Quarter ended September 30, 2014	Correspondent production			Investment activities			Intersegment elimination & other		Total
	(in thousands)
Net investment income:
Interest income	$	7,727		$	33,509		$	—	$	41,236
Interest expense		(3,660	)		(18,360	)		—		(22,020	)
		4,067			15,149			—		19,216
Net gain on mortgage loans acquired for sale		9,509			—			—		9,509
Net gain on investments		—			70,390			—		70,390
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

Nine months ended September 30, 2015	Correspondent production			Investment activities			Intersegment elimination & other		Total
	(in thousands)
Net investment income:
Interest income	$	29,858		$	117,598		$	—	$	147,456
Interest expense		(14,953	)		(78,292	)		—		(93,245	)
		14,905			39,306			—		54,211
Net gain on mortgage loans acquired for sale		35,219			—			—		35,219
Net gain on investments		—			51,019			—		51,019
Net loan servicing fees		—			41,810					41,810
Other income (loss)		21,857			(5,920	)		—		15,937
		71,981			126,215			—		198,196
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.		47,313			51,505			—		98,818
Other		4,803			28,200			—		33,003
		52,116			79,705			—		131,821
Pre-tax income	$	19,865		$	46,510		$	—	$	66,375
Total assets at period end	$	1,073,070		$	4,519,161		$	—	$	5,592,231

Nine months ended September 30, 2014	Correspondent production			Investment activities			Intersegment elimination & other			Total
	(in thousands)
Net investment income:
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 gain on mortgage loans acquired for sale		29,702			—			—			29,702
Net gain on investments		—			186,109			—			186,109
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

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Asset-Backed Secured Financing of a Variable Interest Entity at Fair Value

9 Months Ended

Sep. 30, 2015

Text Block [Abstract]

Asset-Backed Secured Financing of a Variable Interest Entity at Fair Value

Note 18—Asset-Backed Secured Financing of a Variable Interest Entity at Fair Value

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

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
	(dollars in thousands)
During the period:
Weighted-average fair value	$	170,262		$	168,923		$	165,024		$	168,186
Interest expense	$	1,787		$	1,584		$	4,671		$	4,762
Weighted-average effective interest rate		3.30	%		3.67	%		3.35	%		3.73	%
At period end:
Fair value	$	234,287		$	166,841
Interest rate		3.50	%		3.50	%

The asset-backed secured financing of a variable interest entity is a non-recourse liability and secured solely by the assets of a consolidated 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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Net Interest Income - Summary of Net Interest Income (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Interest income:
Interest income, total	$ 61,438	$ 41,236	$ 147,456	$ 129,100
Interest expense:
Assets sold under agreements to repurchase	21,350	15,814	60,470	43,496
Notes payable	2,375		3,369
Exchangeable senior notes	3,605	3,592	10,803	10,763
Interest expense, total	37,760	22,020	93,245	63,660
Net interest income	23,678	19,216	54,211	65,440
Nonaffiliates [Member]
Interest income:
Short-term investments	115	138	417	462
Mortgage-backed securities	2,614	1,935	7,752	5,657
Mortgage loans acquired for sale at fair value	20,704	7,712	38,120	16,911
Mortgage loans at fair value	24,364	22,401	68,089	76,502
Mortgage loans under forward purchase agreements	0	0	0	3,584
Other	17	16	42	38
Interest income, total	53,412	37,659	129,860	119,522
Interest expense:
Assets sold under agreements to repurchase	21,350	15,814	60,470	43,496
Federal Home Loan Bank advances	117	0	119	0
Mortgage loans participation and sale agreement	226	0	699	0
Credit risk transfer financing	5,799	0	6,912	0
Notes payable	2,375	0	3,369	0
Asset-backed secured financing of a variable interest entity at fair value	1,787	1,584	4,671	4,762
Exchangeable senior notes	3,605	3,592	10,803	10,763
Borrowings under forward purchase agreements	0	0	0	2,363
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations	849	581	3,313	1,281
Interest on mortgage loan impound deposits	363	449	1,067	995
Interest expense, total	36,471	22,020	91,423	63,660
Nonaffiliates [Member] | Consolidated VIE [Member]
Interest income:
Mortgage loans at fair value	5,598	5,457	15,440	16,368
PennyMac Financial Services, Inc. [Member]
Interest income:
Interest income, total	8,026	3,577	17,596	9,578
Excess servicing spread purchased from PFSI, at fair value	8,026	3,577	17,596	9,578
Interest expense:
Notes payable	1,289	0	1,822	0
Interest expense, total	$ 1,289	$ 0	$ 1,822	$ 0

XML

Fair Value (Tables)

9 Months Ended

Sep. 30, 2015

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, 2015
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	31,518	$	—	$	—	$	31,518
Mortgage-backed securities at fair value		—		315,599		—		315,599
Mortgage loans acquired for sale at fair value		—		1,050,296		—		1,050,296
Mortgage loans at fair value		—		477,271		2,160,459		2,637,730
Excess servicing spread purchased from PFSI		—		—		418,573		418,573
Derivative assets:
Interest rate lock commitments		—		—		9,109		9,109
Forward purchase contracts		—		22,985		—		22,985
Forward sales contracts		—		15		—		15
Net derivatives related to CRT Agreements		—		—		626		626
Put options on interest rate futures		693		—		—		693
Call options on interest rate futures		3,270		—		—		3,270
Total derivative assets before netting before netting		3,963		23,000		9,735		36,698
Netting (1)		—		—		—		(19,892	)
Total derivative assets after netting		3,963		23,000		9,735		16,806
Mortgage servicing rights at fair value		—		—		57,751		57,751
	$	35,481	$	1,866,166	$	2,646,518	$	4,528,273
Liabilities:
Asset-backed secured financing of a variable interest entity at fair value		—		234,287		—		234,287
Derivative liabilities:
Interest rate lock commitments		—		—		302		302
Forward purchase contracts		—		6		—		6
Forward sales contracts		—		21,794		—		21,794
Total derivative liabilities before netting		—		21,800		302		22,102
Netting (1)		—		—		—		(19,316	)
Total derivative liabilities after netting		—		21,800		302		2,786
	$	—	$	256,087	$	302	$	237,073

(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, 2014
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	139,900	$	—	$	—	$	139,900
Mortgage-backed securities at fair value		—		307,363		—		307,363
Mortgage loans acquired for sale at fair value		—		637,722		—		637,722
Mortgage loans at fair value		—		527,369		2,199,583		2,726,952
Excess servicing spread purchased from PFSI		—		—		191,166		191,166
Derivative assets:
Interest rate lock commitments		—		—		5,678		5,678
MBS put options		—		374		—		374
Forward purchase contracts		—		3,775		—		3,775
Forward sales contracts		—		52		—		52
Put options on interest rate futures		193		—		—		193
Call options on interest rate futures		3,319		—		—		3,319
Total derivative assets		3,512		4,201		5,678		13,391
Netting (1)		—		—		—		(2,284	)
Total derivative assets after netting		3,512		4,201		5,678		11,107
Mortgage servicing rights at fair value		—		—		57,358		57,358
	$	143,412	$	1,476,655	$	2,453,785	$	4,071,568
Liabilities:
Asset-backed secured financing of a variable interest entity at fair value	$	—	$	165,920	$	—	$	165,920
Derivative liabilities:
Interest rate lock commitments		—		—		17		17
MBS call options		478		—		—		478
Forward purchase contracts		—		34		—		34
Forward sales contracts		—		6,649		—		6,649
Total derivative liabilities		478		6,683		17		7,178
Netting (1)		—		—		—		(4,748	)
Total derivative liabilities		478		6,683		17		2,430
Total liabilities	$	478	$	172,603	$	17	$	168,350

(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, 2015
	Mortgage loans at fair value			Excess servicing spread			Interest rate lock commitments (1)			Net derivatives related to CRT Agreements		Mortgage servicing rights			Total
	(in thousands)
Assets:
Balance, June 30, 2015	$	2,246,944		$	359,102		$	(267	)	$	—	$	57,343		$	2,663,122
Purchases		—			84,165			—			—		—			84,165
Repayments and sales		(57,022	)		(24,717	)		—			—		—			(81,739	)
Capitalization of interest		14,849			8,026			—			—		—			22,875
ESS received pursuant to a recapture agreement with PFSI		—			2,268			—			—		—			2,268
Interest rate lock commitments issued, net		—			—			11,834			—		—			11,834
Servicing received as proceeds from sales of mortgage loans													5,674			5,674
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		9,255			—			—			—		—			9,255
Other factors		22,638			(10,271	)		16,458			626		(5,266	)		24,185
		31,893			(10,271	)		16,458			626		(5,266	)		33,440
Transfers of mortgage loans to REO		(76,205	)		—			—			—		—			(76,205	)
Transfers of interest rate lock commitments to mortgage loans acquired for sale		—			—			(19,218	)		—		—			(19,218	)
Balance, September 30, 2015	$	2,160,459		$	418,573		$	8,807		$	626	$	57,751		$	2,646,216
Changes in fair value recognized during the period relating to assets still held at September 30, 2015	$	32,971		$	(10,271	)	$	8,807		$	626	$	(5,266	)	$	26,867

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

	Quarter ended September 30, 2014
	Mortgage loans at fair value			Excess servicing spread			Net 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	)
Capitalization of interest		10,451			3,577			—			—			14,028
ESS received pursuant to a recapture agreement with PFSI		—			2,619			—			—			2,619
Interest rate lock commitments issued, net		—			—			14,046			—			14,046
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		—			—			(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.

	Nine months ended September 30, 2015
	Mortgage loans at fair value			Excess servicing spread			Interest rate lock commitments (1)			Net derivatives related to CRT Agreements		Mortgage servicing rights			Total
	(in thousands)
Assets:
Balance, December 31, 2014	$	2,199,583		$	191,166		$	5,661		$	—	$	57,358		$	2,453,768
Purchases		241,981			271,452			—			—		—			513,433
Repayments and sales		(171,093	)		(55,800	)		—			—		—			(226,893	)
Capitalization of interest		34,979			17,596			—			—		—			52,575
ESS received pursuant to a recapture agreement with PFSI		—			4,833			—			—		—			4,833
Interest rate lock commitments issued, net		—			—			42,917			—		—			42,917
Servicing received as proceeds from sales of mortgage loans		—			—			—			—		9,169			9,169
Charges in fair value included in income arising from:
Changes in instrument-specific credit risk		29,563			—			—			—		—			29,563
Other factors		49,584			(10,674	)		(6,941	)		626		(8,776	)		23,819
		79,147			(10,674	)		(6,941	)		626		(8,776	)		53,382
Transfers of mortgage loans to REO		(224,138	)		—			—			—		—			(224,138	)
Transfers of interest rate lock commitments to mortgage loans acquired for sale		—			—			(32,830	)		—		—			(32,830	)
Balance, September 30, 2015	$	2,160,459		$	418,573		$	8,807		$	626	$	57,751		$	2,646,216
Changes in fair value recognized during the period relating to assets still held at September 30, 2015	$	80,885		$	(10,674	)	$	8,807		$	626	$	(8,776	)	$	70,868

(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			Net 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	)
Capitalization of interest		39,005			1,800			9,578			—			—			50,383
ESS received pursuant to a recapture agreement with PFSI		—			—			6,093			—			—			6,093
Interest rate lock commitments issued, net		—			—			—			45,800			—			45,800
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 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 held in a consolidated VIE):

	September 30, 2015
	Fair value		Principal amount due upon maturity		Difference
	(in thousands)
Mortgage loans acquired for sale at fair value:
Current through 89 days delinquent	$	1,050,006	$	1,003,249	$	46,757
90 or more days delinquent (1)
Not in foreclosure		85		116		(31	)
In foreclosure		205		254		(49	)
		290		370		(80	)
	$	1,050,296	$	1,003,619	$	46,677
Mortgage loans at fair value:
Mortgage loans held in a consolidated VIE
Current through 89 days delinquent	$	477,271	$	471,496	$	5,775
90 or more days delinquent (1)
Not in foreclosure		—		—		—
In foreclosure		—		—		—
		—		—		—
		477,271		471,496		5,775
Other mortgage loans at fair value:
Current through 89 days delinquent		801,018		1,049,502		(248,484	)
90 or more days delinquent (1)
Not in foreclosure		533,070		739,183		(206,113	)
In foreclosure		826,371		1,149,326		(322,955	)
		1,359,441		1,888,509		(529,068	)
		2,160,459		2,938,011		(777,552	)
	$	2,637,730	$	3,409,507	$	(771,777	)

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

	December 31, 2014
	Fair value		Principal amount due upon maturity		Difference
	(in thousands)
Mortgage loans acquired for sale:
Current through 89 days delinquent	$	637,518	$	610,372	$	27,146
90 or more days delinquent (1)
Not in foreclosure		204		255		(51	)
In foreclosure		—		—		—
		204		255		(51	)
	$	637,722	$	610,627	$	27,095
Mortgage loans at fair value
Mortgage loans held in a consolidated VIE
Current through 89 days delinquent	$	527,369	$	517,500	$	9,869
90 or more days delinquent (1)
Not in foreclosure		—		—		—
In foreclosure		—		—		—
		—		—		—
		527,369		517,500		9,869
Other mortgage loans at fair value:
Current through 89 days delinquent		664,266		935,385		(271,119	)
90 or more days delinquent (1)
Not in foreclosure		608,144		875,214		(267,070	)
In foreclosure		927,173		1,371,371		(444,198	)
		1,535,317		2,246,585		(711,268	)
		2,726,952		3,699,470		(972,518	)
	$	3,364,674	$	4,310,097	$	(945,423	)

(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, 2015
	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		—		91			3,564			—			3,655
Mortgage loans acquired for sale at fair value		39,504		—			—			—			39,504
Mortgage loans at fair value		—		1,024			39,273			—			40,297
Excess servicing spread at fair value		—		—			(7,844	)		—			(7,844	)
Mortgage servicing rights at fair value		—		—			—			(5,266	)		(5,266	)
	$	39,504	$	1,115		$	34,993		$	(5,266	)	$	70,346
Liabilities:
Asset-backed secured financing at fair value		—		(351	)		(3,940	)		—			(4,291	)
	$	—	$	(351	)	$	(3,940	)	$	—		$	(4,291	)

	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
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

	Nine months ended September 30, 2015
	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		—		155			(1,622	)		—			(1,467	)
Mortgage loans acquired for sale at fair value		57,568		—			—			—			57,568
Mortgage loans at fair value		—		1,203			76,249			—			77,452
Excess servicing spread at fair value		—		—			(5,502	)		—			(5,502	)
Mortgage servicing rights at fair value		—		—			—			(8,776	)		(8,776	)
	$	57,568	$	1,358		$	69,125		$	(8,776	)	$	119,275
Liabilities:
Asset-backed secured financing at fair value		—		(474	)		(719	)		—			(1,193	)
	$	—	$	(474	)	$	(719	)	$	—		$	(1,193	)

	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	)

Summary of Financial Statement Items Re-measured at Fair Value on Nonrecurring Basis

Following is a summary of financial statement items that were re-measured at fair value on a nonrecurring basis during the periods presented:

	September 30, 2015
	Level 1		Level 2		Level 3		Total
	(in thousands)
Real estate asset acquired in settlement of loans	$	—	$	—	$	145,815	$	145,815
Mortgage servicing rights at lower of amortized cost or fair value		—		—		125,952		125,952
	$	—	$	—	$	271,767	$	271,767

	December 31, 2014
	Level 1		Level 2		Level 3		Total
	(in thousands)
Real estate asset acquired in settlement of loans	$	—	$	—	$	157,203	$	157,203
Mortgage servicing rights at lower of amortized cost or fair value		—		—		91,990		91,990
	$	—	$	—	$	249,193	$	249,193

Summary of Fair Value Changes Recognized on Assets Held Measured at Fair Value on Nonrecurring Basis

The following table summarizes the fair value changes recognized during the period on assets held at period end that were measured at fair value on a nonrecurring basis:

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
	(in thousands)
Real estate asset acquired in settlement of loans	$	(8,182	)	$	(14,242	)	$	(18,308	)	$	(24,027	)
Mortgage servicing rights at lower of amortized cost or fair value		(7,845	)		602			(7,142	)		(2,249	)
	$	(16,027	)	$	(13,640	)	$	(25,450	)	$	(26,276	)

Quantitative Summary of Key Inputs Used in Valuation of Mortgage Loans at Fair Value

Following is a quantitative summary of key inputs used in the valuation of mortgage loans at fair value:

	Range
	(Weighted average)
Key inputs	September 30, 2015	December 31, 2014
Discount rate
Range	2.5% – 15.0%	2.3% – 15.0%
Weighted average	6.9%	7.7%
Twelve-month projected housing price index change
Range	2.0% – 4.3%	4.0% – 5.3%
Weighted average	3.9%	4.8%
Prepayment speed (1)
Range	0.1% – 4.6%	0.0% – 6.5%
Weighted average	3.6%	3.1%
Total prepayment speed (2)
Range	3.6% – 27.3%	0.0% – 27.9%
Weighted average	20.5%	21.6%

(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:

	Range
	(Weighted average)
Key inputs	September 30, 2015	December 31, 2014
Unpaid principal balance of underlying mortgage loans (in thousands)	$54,189,421	$28,227,340
Average servicing fee rate (in basis points)	32	31
Average ESS rate (in basis points)	17	16
Pricing spread (1)
Range	4.8% – 6.5%	1.7% – 12.0%
Weighted average	5.7%	5.3%
Life (in years)
Range	1.5 – 8.9	0.4 – 7.3
Weighted average	6.7	5.8
Annual total prepayment speed (2)
Range	5.5% – 50.3%	7.6% – 74.6%
Weighted average	10.4%	11.2%

(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:

	Range
	(Weighted average)
Key inputs	September 30, 2015	December 31, 2014
Pull-through rate
Range	44.8% – 99.9%	65.0% – 98.0%
Weighted average	88.6%	94.9%
MSR value expressed as:
Servicing fee multiple
Range	1.9 – 6.0	0.7 – 5.2
Weighted average	4.5	4.3
Percentage of unpaid principal balance
Range	0.5% – 3.7%	0.2% – 1.3%
Weighted average	1.2%	1.1%

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,
	2015				2014
Key inputs	Amortized cost		Fair value		Amortized cost		Fair value
	(MSR recognized and unpaid principal balance of underlying loan amounts in thousands)
MSR recognized	$	47,140	$	5,674	$	26,802	$	12,812
Unpaid principal balance of underlying mortgage loans	$	3,512,016	$	578,894	$	2,423,013	$	1,234,028
Weighted-average annual servicing fee rate (in basis points)		25		25		25		25
Pricing spread (1)
Range		6.5% – 13.0%		7.2% – 14.3%		6.5% – 17.5%		8.8% – 13.5%
Weighted average		7.8%		8.4%		8.5%		9.1%
Life (in years)
Range		2.0 – 7.4		2.3 – 7.2		1.4 – 7.3		2.8 – 7.3
Weighted average		6.8		6.6		6.6		7.1
Annual total prepayment speed (2)
Range		7.6% – 37.6%		8.4% – 22.4%		7.6% – 48.8%		8.0% – 30.4%
Weighted average		9.2%		11.9%		9.2%		9.7%
Annual per-loan cost of servicing
Range		$62 – $68		$62 – $68		$68 – $140		$68 – $140
Weighted average		$65		$65		$70		$70

	Nine months ended September 30,
	2015				2014
Key inputs	Amortized cost		Fair value		Amortized cost		Fair value
	(MSR recognized and unpaid principal balance of underlying loan amounts in thousands)
MSR recognized	$	103,281	$	9,169	$	49,276	$	39,954
Unpaid principal balance of underlying mortgage loans	$	9,140,782	$	978,951	$	4,518,100	$	3,784,142
Weighted-average annual servicing fee rate (in basis points)		25		25		25		25
Pricing spread (1)
Range		6.5% – 17.5%		7.2% – 16.3%		6.3% – 17.5%		8.5% – 13.5%
Weighted average		8.1%		9.2%		8.5%		9.1%
Life (in years)
Range		1.3 – 7.7		2.3 – 7.3		1.1 – 7.3		2.8 – 7.3
Weighted average		6.7		6.5		6.3		7.1
Annual total prepayment speed (2)
Range		7.6% – 51.0%		8.3% – 34.2%		7.6% – 56.4%		8.0% – 30.4%
Weighted average		8.9%		12.1%		9.7%		9.5%
Annual per-loan cost of servicing
Range		$62 – $134		$62 – $68		$68 – $140		$68 – $140
Weighted average		$63		$64		$69		$69

(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 Estimated Fair Value from Adverse Changes in Those Inputs

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 inputs:

	September 30, 2015						December 31, 2014
	Amortized cost			Fair value			Amortized cost			Fair value
	(Carrying value, unpaid principal balance and effect on fair value amounts in thousands)
Carrying value	$	365,344		$	57,751		$	300,422		$	57,358
Key inputs:
Unpaid principal balance of underlying mortgage loans	$	33,834,143		$	6,061,654		$	28,006,797		$	6,278,676
Weighted-average annual servicing fee rate (in basis points)		26			25			26			25
Weighted-average note interest rate		3.84	%		4.77	%		3.80	%		4.78	%
Pricing spread (1) (2)
Range		7.2% – 10.7%			7.2% – 10.7%			6.3% – 17.5%			8.1% – 16.3%
Weighted average		7.2%			7.2%			7.9%			10.3%
Effect on fair value of a:
5% adverse change	$	(5,826	)	$	(813	)	$	(5,801	)	$	(937	)
10% adverse change	$	(11,484	)	$	(1,602	)	$	(11,410	)	$	(1,845	)
20% adverse change	$	(22,318	)	$	(3,117	)	$	(22,086	)	$	(3,577	)
Weighted average life (in years)
Range		1.3 – 7.4			1.9 – 5.6			1.8 – 7.2			1.8 – 7.2
Weighted average		6.9			5.6			6.4			6.7
Prepayment speed (1) (3)
Range		8.6% – 54.2%			14.3% – 38.5%			7.8% – 47.9%			8.0% – 39.6%
Weighted average		10.2%			14.6%			8.8%			11.4%
Effect on fair value of a:
5% adverse change	$	(8,064	)	$	(1,751	)	$	(6,166	)	$	(1,430	)
10% adverse change	$	(15,826	)	$	(3,416	)	$	(12,138	)	$	(2,803	)
20% adverse change	$	(30,511	)	$	(6,508	)	$	(23,532	)	$	(5,394	)
Annual per-loan cost of servicing
Range		$68 – $68			$68 – $68			$62 – $134			$62 – $134
Weighted average		$68			$68			$62			$62
Effect on fair value of a:
5% adverse change	$	(2,512	)	$	(412	)	$	(1,807	)	$	(334	)
10% adverse change	$	(5,024	)	$	(824	)	$	(3,614	)	$	(668	)
20% adverse change	$	(10,047	)	$	(1,648	)	$	(7,228	)	$	(1,337	)

(1) The effect on fair 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.

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

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Subsequent Events

9 Months Ended

Sep. 30, 2015

Subsequent Events [Abstract]

Subsequent Events

Note 35—Subsequent Events

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

• On October 16, 2015, the Company sold an additional $25.3 million in certificates issued under PMT Loan Trust 2013-J1, thereby reducing the certificates retained by the Company to $213.5 million.

• On October 22, 2015, the Company, through PMC and PMH, entered into amendments to (i) its master repurchase agreement, dated December 9, 2010, by and among Citibank, N.A. (“Citi”), PMC, PMH and PLS (the “NPL Repurchase Agreement”), and (ii) its master repurchase agreement, dated May 24, 2012, by and among Citi, PMC and PLS (the “Loan Repo Facility” and, together with the NPL Repurchase Agreement, the “Repurchase Agreements”).

Under the terms of the amendments, the maturity date of each Repurchase Agreement was extended to October 20, 2016, and the maximum aggregate purchase price provided for in each Repurchase Agreement was increased to $1.075 billion, $925 million of which is committed and the available amount of which is reduced under each Repurchase Agreement by the aggregate outstanding purchase price under the other Repurchase Agreement (and as defined therein).

The Repurchase Agreements together require the Company to maintain various financial and other covenants, which include maintaining (i) a minimum adjusted tangible net worth at all times greater than or equal to $830 million; (ii) a minimum in unrestricted cash and cash equivalents among the Company and its subsidiaries at all times equal to or greater than $40 million; (iii) a ratio of total liabilities to adjusted tangible net worth at all times less than 5:1; and (iv) profitability of at least $1.00 for at least one (1) of the previous two (2) consecutive fiscal quarters, as of the end of each fiscal quarter.

The Repurchase Agreements together also require PMH and PMC to maintain various financial and other covenants, which include maintaining (i) a minimum adjusted tangible net worth at all times greater than or equal to $220 million for PMH and $140 million for PMC; (ii) a minimum in unrestricted cash and cash equivalents between PMH and PMC at all times greater than or equal to $25 million in the aggregate; and (iii) a ratio of total liabilities to adjusted tangible net worth at all times less than 10:1 for each of PMH and PMC.

The Repurchase Agreements together also require PLS to maintain various financial and other covenants, which include maintaining (i) a minimum adjusted tangible net worth at all times greater than or equal to $170 million; (ii) a minimum in unrestricted cash and cash equivalents at all times greater than or equal to $20 million; (iii) a ratio of total liabilities to adjusted tangible net worth at all times less than 10:1; and (iv) profitability of at least $1.00 for each fiscal quarter.

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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	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014	Dec. 31, 2014
Investment portfolio purchases:
Investment portfolio purchases, Mortgage loans	$ 0	$ 0	$ 241,981	$ 284,403
Investment portfolio purchases, REO	0	0	0	3,117
Investment portfolio purchases, total	0	0	241,981	287,520
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	0	26,737
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. REO	0	0	0	68
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. total	0	$ 0	0	$ 26,805
Forward Purchase Commitments [Member]
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			879,990		$ 943,163
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. REO			97,619		108,302
Investment portfolio purchases above through one or more subsidiaries of Citigroup, Inc. total			977,609		1,051,465
Total holdings of mortgage loans and REO	$ 2,991,293		$ 2,991,293		$ 3,030,180

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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	Sep. 30, 2015	Dec. 31, 2014
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	$ 2,637,730	$ 3,364,674
Mortgage loans at fair value	2,637,730	2,726,952
Mortgage loans on real estate principal amount of delinquent loans
Unpaid principal balance of loans outstanding at period-end	3,409,507	4,310,097
Unpaid principal balance	3,409,507	3,699,470
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	(771,777)	(945,423)
Nonperforming mortgage 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	1,359,441	1,535,317
Mortgage loans on real estate principal amount of delinquent loans
Unpaid principal balance	1,888,509	2,246,585
Mortgage loans acquired for sale at fair value [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair value option loans held as assets ninety days or less past due	1,050,006	637,518
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent
Not in foreclosure	85	204
In foreclosure	205	0
Fair value option loans held as assets, Total	290	204
Mortgage loans at fair value	1,050,296	637,722
Mortgage loans on real estate principal amount of delinquent loans less than ninety days	1,003,249	610,372
Mortgage loans on real estate principal amount of delinquent loans
Not in foreclosure	116	255
In foreclosure	254	0
Unpaid principal balance of loans outstanding at period-end	1,003,619	610,627
Fair value option loans held as assets ninety days or less past due aggregate difference	46,757	27,146
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference
Not in foreclosure	(31)	(51)
In foreclosure	(49)	0
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total	46,677	27,095
Mortgage loans acquired for sale at fair value [Member] | Nonperforming loans [Member]
Mortgage loans on real estate principal amount of delinquent loans
Unpaid principal balance of loans outstanding at period-end	370	255
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	(80)	(51)
Mortgage loans at fair value held in consolidated VIE [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Fair value option loans held as assets ninety days or less past due	477,271	527,369
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent
Not in foreclosure	0	0
In foreclosure	0	0
Mortgage loans at fair value	477,271	527,369
Mortgage loans on real estate principal amount of delinquent loans less than ninety days	471,496	517,500
Mortgage loans on real estate principal amount of delinquent loans
Not in foreclosure	0	0
In foreclosure	0	0
Unpaid principal balance	471,496	517,500
Fair value option loans held as assets ninety days or less past due aggregate difference	5,775	9,869
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference
Not in foreclosure	0	0
In foreclosure	0	0
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total	5,775	9,869
Mortgage loans at fair value held in consolidated VIE [Member] | Nonperforming mortgage 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	0	0
Mortgage loans at fair value held in consolidated VIE [Member] | Nonperforming loans [Member]
Mortgage loans on real estate principal amount of delinquent loans
Unpaid principal balance	0	0
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	0	0
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	801,018	664,266
Fair Value, Option, Loans Held as Assets, current through 89 days delinquent and 90 or more days delinquent
Not in foreclosure	533,070	608,144
In foreclosure	826,371	927,173
Mortgage loans at fair value	2,160,459	2,726,952
Mortgage loans on real estate principal amount of delinquent loans less than ninety days	1,049,502	935,385
Mortgage loans on real estate principal amount of delinquent loans
Not in foreclosure	739,183	875,214
In foreclosure	1,149,326	1,371,371
Unpaid principal balance	2,938,011	3,699,470
Fair value option loans held as assets ninety days or less past due aggregate difference	(248,484)	(271,119)
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference
Not in foreclosure	(206,113)	(267,070)
In foreclosure	(322,955)	(444,198)
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total	(777,552)	(972,518)
Mortgage loans and mortgage loans under forward purchase agreements at fair value [Member] | Nonperforming mortgage 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	1,359,441	1,535,317
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	1,888,509	2,246,585
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	$ (529,068)	$ (711,268)

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Income Taxes

9 Months Ended

Sep. 30, 2015

Income Tax Disclosure [Abstract]

Income Taxes

Note 30—Income Taxes

The Company’s effective tax rate is 14.0% and (12.1)% for the quarter and nine months ended September 30, 2015, as compared to 5.1% and (0.3)% for the same periods in 2014. The increase in the Company’s tax expense for the quarter ended September 30, 2015 as compared to the same period in 2014 is due primarily to increased income before income taxes earned at the Company’s taxable REIT subsidiary. The increase in the Company’s tax benefit for the nine months ended September 30, 2015 as compared to the same period in 2014 is due primarily to an increased loss before income taxes incurred at the Company’s taxable REIT subsidiary. 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 dividends paid deduction.

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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Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2015

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, 2015								December 31, 2014
			Fair value								Fair value
Instrument	Notional amount		Derivative assets			Derivative liabilities			Notional amount		Derivative assets			Derivative liabilities
	(in thousands)
Derivatives not designated as hedging instruments:
Free-standing derivatives:
Interest rate lock commitments		1,163,415	$	9,109		$	302			695,488	$	5,678		$	17
Forward sales contracts		3,410,839		15			21,794			1,601,282		52			6,649
Forward purchase contracts		3,282,364		22,985			6			1,100,700		3,775			34
MBS put options		450,000		—			—			340,000		374			—
MBS call options		—		—			—			—		—			—
Eurodollar future sales contracts		1,756,000		—			—			7,426,000		—			—
Eurodollar future purchase contracts		—		—			—			800,000		—			—
Treasury future contracts		—		—			—			85,000		—			478
Call options on interest rate futures		1,555,000		3,270			—			1,030,000		3,319			—
Put options on interest rate futures		1,625,000		693			—			275,000		193			—
Net derivative related to CRT transactions		2,400,433		626			—			—		—			—
Total derivative instruments before netting				36,698			22,102					13,391			7,178
Netting				(19,892	)		(19,316	)				(2,284	)		(4,748	)
			$	16,806		$	2,786				$	11,107		$	2,430

Net Gains (Losses) Recognized on Derivative Financial Instruments

Following are the net gains (losses) recognized by the Company on derivative financial instruments and the income statement line items where such gains and losses are included:

Hedged Item	Income Statement Line	Quarter ended September 30,						Nine months ended September 30,
		2015			2014			2015			2014
		(in thousands)
Interest rate lock commitments and mortgage loans acquired for sale	Net gain on mortgage loans acquired for sale	$	(33,652	)	$	(4,503	)	$	(23,198	)	$	(44,003	)
Mortgage servicing rights	Net loan servicing fees	$	19,061		$	(654	)	$	13,868		$	3,532
Fixed-rate assets and LIBOR—indexed repurchase agreements	Net gain on investments	$	(6,772	)	$	(807	)	$	(18,065	)	$	(14,609	)

Mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS securities [Member]

Summary of Activity in Notional Amount for Derivative Arising from CRT Agreements and Derivative Contracts

The following tables summarize the notional amount activity for derivative arising from CRT Agreements and derivative contracts used to hedge the Company’s IRLCs, inventory of mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS.

	Quarter ended September 30, 2015
Instrument	Balance, beginning of period		Additions		Dispositions/ expirations			Balance, end of period
	(in thousands)
Forward sales contracts		3,252,286		15,003,760		(14,845,207	)		3,410,839
Forward purchase contracts		2,263,622		10,938,733		(9,919,991	)		3,282,364
MBS put options		367,500		700,000		(617,500	)		450,000
MBS call options		40,000		—		(40,000	)		—
Eurodollar future sale contracts		5,984,000		—		(4,228,000	)		1,756,000
Treasury future contracts		40,000		—		(40,000	)		—
Call option on interest rate futures		1,135,000		1,805,000		(1,385,000	)		1,555,000
Put options on interest rate futures		1,273,000		1,650,000		(1,298,000	)		1,625,000
Net derivative related to CRT transactions		—		2,400,433		—			2,400,433

	Quarter ended September 30, 2014
Instrument	Balance, beginning of period		Additions		Dispositions/ expirations			Balance, end of period
	(in thousands)
Forward purchase contracts		3,058,604		8,216,022		(9,364,487	)		1,910,139
Forward sales contracts		4,185,633		11,670,826		(13,080,210	)		2,776,249
MBS put option		392,500		640,000		(467,500	)		565,000
MBS call option		95,000		75,000		(120,000	)		50,000
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		154,500		(154,500	)		85,000
Treasury future purchase contracts		—		138,300		(138,300	)		—
Put options on interest rate futures		125,000		490,500		(395,500	)		220,000
Call options on interest rate futures		230,000		580,000		(455,000	)		355,000

	Nine months ended September 30, 2015
Instrument	Balance, beginning of period		Additions		Dispositions/ expirations			Balance, end of period
	(in thousands)
Forward sales contracts		1,601,283		38,880,821		(37,071,265	)		3,410,839
Forward purchase contracts		1,100,700		27,871,913		(25,690,249	)		3,282,364
MBS put options		340,000		1,692,500		(1,582,500	)		450,000
MBS call options		—		140,000		(140,000	)		—
Eurodollar future sale contracts		7,426,000		285,000		(5,955,000	)		1,756,000
Eurodollar future purchase contracts		800,000		—		(800,000	)		—
Treasury future contracts		85,000		161,500		(246,500	)		—
Call options on interest rate futures		1,030,000		4,080,000		(3,555,000	)		1,555,000
Put options on interest rate futures		275,000		4,318,000		(2,968,000	)		1,625,000
Net derivative related to CRT transactions		—		2,400,433		—			2,400,433

	Nine months ended September 30, 2014
Instrument	Balance, beginning of period		Additions		Dispositions/ expirations			Balance, end of period
	(in thousands)
Forward purchase contracts		2,781,066		26,650,920		(27,521,847	)		1,910,139
Forward sales contracts		3,588,027		35,657,347		(36,469,125	)		2,776,249
MBS put option		55,000		1,482,500		(972,500	)		565,000
MBS call option		110,000		230,000		(290,000	)		50,000
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		375,300		(395,300	)		85,000
Treasury future purchase contracts		—		331,900		(331,900	)		—
Put options on interest rate futures		52,500		1,052,500		(885,000	)		220,000
Call options on interest rate futures		—		960,000		(605,000	)		355,000

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Net Gain on Mortgage Loans Acquired for Sale (Tables)

9 Months Ended

Sep. 30, 2015

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,
	2015			2014			2015			2014
	(in thousands)
Cash (loss) gain:
Loans	$	4,579		$	(15,473	)		(54,183	)	$	(21,540	)
Hedging activities		(33,268	)		(12,706	)		(27,082	)		(35,004	)
		(28,689	)		(28,179	)		(81,265	)		(56,544	)
Non cash gain:
Receipt of MSRs in loan sale transactions		52,814			39,614			112,450			89,230
Provision for losses relating to representations and warranties provided in loan sales		(1,833	)		(1,359	)		(4,177	)		(3,125	)
Change in fair value of financial instruments issued and held at period end:
IRLCs		9,073			(5,697	)		3,146			4,140
Mortgage loans		(17,097	)		(3,073	)		1,181			5,000
Hedging derivatives		(384	)		8,203			3,884			(8,999	)
		(8,408	)		(567	)		8,211			141
	$	13,884		$	9,509		$	35,219		$	29,702

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Mortgage Loans at Fair Value - Summary of Distribution of Company's Mortgage Loans at Fair Value (Detail) - USD ($) $ in Thousands	Sep. 30, 2015	Dec. 31, 2014	Sep. 30, 2014
Financing Receivable, Recorded Investment [Line Items]
Fair value	$ 2,637,730	$ 2,726,952
Unpaid principal balance	3,409,507	3,699,470
Assets sold under agreements to repurchase	3,881,273		$ 3,222,315
FHLB advances	68,937	0
Asset-backed secured financing	477,271	527,369
Fixed interest rate jumbo mortgage loans held in a VIE [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	477,271	527,369
Unpaid principal balance	471,496	517,500
Mortgage loans acquired for sale at fair value [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	1,050,296	637,722
Assets sold under agreements to repurchase	2,390,784	2,543,242
FHLB advances	140,025	0
Nonperforming mortgage loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	1,359,441	1,535,317
Unpaid principal balance	1,888,509	2,246,585
Performing mortgage loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	801,018	664,266
Unpaid principal balance	1,049,502	935,385
Performing mortgage loans [Member] | Fixed interest rate [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	380,322	322,704
Unpaid principal balance	494,804	449,496
Performing mortgage loans [Member] | Adjustable-rate/hybrid [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	157,265	127,405
Unpaid principal balance	186,534	162,329
Performing mortgage loans [Member] | Interest rate step-up [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	263,270	213,999
Unpaid principal balance	367,958	323,350
Performing mortgage loans [Member] | Balloon [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	161	158
Unpaid principal balance	$ 206	$ 210

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Supplemental Cash Flow Information - Summary of Supplemental Cash Flow Information (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Additional Cash Flow Elements and Supplemental Cash Flow Information [Abstract]
Cash paid for interest			$ 85,876	$ 68,443
Income tax paid (refund)			700	(6,782)
Non-cash investing activities:
Transfer of mortgage loans and advances to real estate acquired in settlement of loans	$ 82,405	$ 94,530	240,483	268,677
Purchase of mortgage loans financed through forward purchase agreements			0	2,828
Transfer of mortgage loans under forward purchase agreements to mortgage loans at fair value			0	205,902
Transfer of mortgage loans under forward purchase agreements and advances to REO under forward purchase agreements		0	0	9,369
Receipt of MSRs as proceeds from sales of loans	52,814	39,614	112,450	89,230
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment			4,440	0
Receipt of ESS pursuant to recapture agreement with PFSI			4,833	6,093
Transfer of REO under forward purchase agreements to REO	0	0	0	12,737
Non-cash financing activities:
Purchase of mortgage loans financed through forward purchase agreements			0	2,828
Transfer of mortgage loans at fair value financed through agreements to repurchase to REO financed under agreements to repurchase			58,923	3,491
Dividends payable	$ 35,019	$ 45,467	$ 35,019	$ 45,467

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Asset-Backed Secured Financing of a Variable Interest Entity at Fair Value (Tables)

9 Months Ended

Sep. 30, 2015

Text Block [Abstract]

Summary of Financial Information Relating to Asset-Backed Secured Financing of a VIE

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

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
	(dollars in thousands)
During the period:
Weighted-average fair value	$	170,262		$	168,923		$	165,024		$	168,186
Interest expense	$	1,787		$	1,584		$	4,671		$	4,762
Weighted-average effective interest rate		3.30	%		3.67	%		3.35	%		3.73	%
At period end:
Fair value	$	234,287		$	166,841
Interest rate		3.50	%		3.50	%

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Earnings Per Share (Tables)

9 Months Ended

Sep. 30, 2015

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,
	2015			2014			2015			2014
	(in thousands except per share amounts)
Basic earnings per share:
Net income		38,812		$	54,949		$	74,391		$	168,033
Effect of participating securities—share-based compensation awards		(361	)		(305	)		(1,352	)		(1,360	)
Net income attributable to common shareholders	$	38,451		$	54,644		$	73,039		$	166,673
Diluted earnings per share:
Net income attributable to common shareholders	$	38,451		$	54,949		$	73,039		$	168,033
Interest on Exchangeable Notes, net of income taxes		2,123			2,081			6,364			6,237
Net income attributable to diluted shareholders	$	40,574		$	57,030		$	79,403		$	174,270
Weighted-average basic shares outstanding		74,681			74,140			74,675			73,254
Potentially dilutive securities:
Shares issuable pursuant to exchange of the Exchangeable Notes		8,414			8,401			8,414			8,401
Shares issuable under share-based compensation plan		316			291			397			323
Diluted weighted-average number of shares outstanding		83,411			82,832			83,486			81,978
Basic earnings per share	$	0.51		$	0.74		$	0.98		$	2.28
Diluted earnings per share	$	0.49		$	0.69		$	0.95		$	2.13

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Concentration of Risks

9 Months Ended

Sep. 30, 2015

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. The mortgage loans at fair value not acquired for sale are generally 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 PLS’ 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 mortgage 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 mortgage 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 in prior years 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,
	2015		2014		2015		2014
	(in thousands)
Investment portfolio purchases:
Mortgage loans	$	—	$	—	$	241,981	$	284,403
REO		—		—		—		3,117
	$	—	$	—	$	241,981	$	287,520
Investment portfolio purchases above through one or more subsidiaries of Citigroup Inc.:
Mortgage loans	$	—	$	—	$	—	$	26,737
REO		—		—		—		68
	$	—	$	—	$	—	$	26,805

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

	September 30, 2015		December 31, 2014
	(in thousands)
Mortgage loans	$	879,990	$	943,163
REO		97,619		108,302
	$	977,609	$	1,051,465
Total holdings of mortgage loans and REO	$	2,991,293	$	3,030,180

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

	Quarter ended September 30, 2014		Nine months ended September 30, 2014
	(in thousands)
Statements of income:
Interest income	$	—	$	3,584
Interest expense	$	—	$	2,364
Net gain on investments	$	—	$	803
Net loan servicing fees	$	—	$	517
Results of REO	$	—	$	(473	)
Statements of cash flows:
Repayments of mortgage loans	$	—	$	6,413
Sales of REO	$	—	$	5,365
Repayments of borrowings under forward purchase agreements	$	—	$	(227,866	)

The Company had 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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Commitments and Contingencies - Company's Outstanding Contractual Loan Commitments (Detail) $ in Thousands	Sep. 30, 2015 USD ($)
Commitments to purchase mortgage loans:
Mortgage loans acquired for sale at fair value	$ 1,163,415

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Mortgage Servicing Rights - Summary of MSRs Carried at Fair Value (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Servicing Asset At Fair Value Changes In Fair Value [Abstract]
Balance at beginning of period	$ 57,343	$ 46,802	$ 57,358	$ 26,452
MSRs resulting from mortgage loan sales	5,674	12,812	9,169	39,954
Due to changes in valuation inputs or assumptions used in valuation model	(3,418)	(106)	(3,525)	(4,974)
Other changes in fair value	(1,848)	(1,500)	(5,251)	(3,424)
Change in fair value, Total	(5,266)	(1,606)	(8,776)	(8,398)
Sales	0	(137)	0	(137)
Balance at end of period	57,751	57,871	57,751	57,871
MSRs pledged to secure note payable at end of period	$ 57,751	$ 0	$ 57,751	$ 0

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Exchangeable Senior Notes (Tables)

9 Months Ended

Sep. 30, 2015

Text Block [Abstract]

Summary of Financial Information Relating to Exchangeable Notes

Following is financial information relating to the Exchangeable Notes:

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015		2014
	(dollars in thousands)
During the period:
Weighted-average unpaid principal balance	$	250,000		$	250,000		$	250,000	$	250,000
Interest expense (1)	$	3,605		$	3,592		$	10,803	$	10,763
At period end:
Amount outstanding	$	250,000		$	250,000
Unamortized issuance costs		(5,195	)		(6,156	)
	$	244,805		$	243,844

(1) Total interest expense includes amortization of debt issuance costs of $245,000 and $726,000 during the quarter and nine months ended September 30, 2015, respectively, and $232,000 and $685,000 during the quarter and nine months ended September 2014, respectively.

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Federal Home Loan Bank Advances - Summary of FHLB Advances (Detail) - USD ($)	3 Months Ended	9 Months Ended
	Sep. 30, 2015	Sep. 30, 2015	Dec. 31, 2014
Federal Home Loan Banks [Abstract]
Weighted-average interest rate	0.27%	0.27%
Average balance	$ 170,902,000	$ 58,100,000
Total interest expense	117,000	119,000
Maximum daily amount outstanding	188,834,000	188,834,000
Balance	$ 183,000,000	$ 183,000,000
Weighted-average interest rate	0.27%	0.27%
Mortgage-backed securities	$ 8,961,000	$ 8,961,000	$ 0
Mortgage loans acquired for sale at fair value	68,937,000	68,937,000	0
Mortgage loans at fair value	140,025,000	140,025,000	$ 0
Fair value of assets securing FHLB advances, total	$ 217,923,000	$ 217,923,000

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Borrowings under Forward Purchase Agreements - Additional Information (Detail) - USD ($)	Sep. 30, 2015	Sep. 30, 2014
Forward purchase agreements [Member]
Debt Instrument [Line Items]
Borrowings	$ 0	$ 0

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Organization and Basis of Presentation (Policies)

9 Months Ended

Sep. 30, 2015

Organization, Consolidation and Presentation of Financial Statements [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 mortgage 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 the 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 (“GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“ASC”) for interim financial information and with the Securities and Exchange Commission’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 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 fiscal year ended December 31, 2014.

The accompanying unaudited consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, income, and cash flows for the interim periods, but are not necessarily indicative of the results of operations that may be anticipated for the full year. Intercompany accounts and transactions have been eliminated.

Reclassification of Previously Presented Balances

Reclassification of previously presented balances

In April of 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-03, Interest—Imputation of Interest (Subtopic 835-30): Simplifying the Presentation of Debt Issuance Costs (“ASU 2015-03”). The amendments in this ASU require that debt issuance costs related to a recognized debt liability be presented in the consolidated balance sheet as a direct deduction from the carrying amount of that debt liability. ASU 2015-03 specifies that its adoption be made on a retrospective basis. Accordingly, the Company has reclassified its debt issuance costs from Other assets as previously presented to Assets sold under agreements to repurchase, Mortgage loan participation and sale agreement and Exchangeable senior notes to conform its December 31, 2014 balance sheet to the current presentation. The adoption of ASU 2015-03 did not result in changes to the Company’s previously presented consolidated statements of income.

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 PLS’ 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 mortgage 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 mortgage 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 by dividing net income, reduced by income attributable to the participating securities, 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 “Exchangeable 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.

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 the Manager has elected to carry the item at its fair value as discussed in the following paragraphs.

Fair Value Accounting Elections

The Manager identified all of the Company’s 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. The Manager 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.

The Manager has also identified the Company’s CRT financing and 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 mortgage loans at fair value collateralizing these financings.

The Company’s subsequent accounting for MSRs is based on the class of MSRs. Originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5% are accounted for using the amortization method. Originated MSRs backed by loans with initial interest rates of more than 4.5% are accounted for at fair value with changes in fair value recorded in current period income.

Recently Issued Accounting Pronouncements

Recently Issued Accounting Pronouncements

In February 2015, the FASB issued ASU 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis (“ASU 2015-02”). ASU 2015-02 affects reporting entities that are required to evaluate whether they should consolidate certain legal entities. ASU 2015-02 modifies the evaluation of whether limited partnerships and similar legal entities are VIEs or voting interest entities, eliminates the presumption that a general partner should consolidate a limited partnership and affects the consolidation analysis of reporting entities that are involved with VIEs, particularly those that have fee arrangements and related party relationships. ASU 2015-02 is effective for fiscal years, and for interim periods within those fiscal years, beginning after December 15, 2015. Early adoption is permitted. A reporting entity may apply the amendments in ASU 2015-02: (a) using a modified retrospective approach by recording a cumulative-effect adjustment to equity as of the beginning of the fiscal year of adoption; or (b) by applying the amendments retrospectively. The Company is currently assessing the potential effect that the adoption of ASU 2015-02 will have on its consolidated financial statements.

In April 2015, the FASB issued ASU No. 2015-03. The amendments in this ASU require that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. The recognition and measurement guidance for debt issuance costs are not affected by the amendments in this ASU. ASU 2015-03 should be applied on a retrospective basis and is effective for the Company for financial statements issued for fiscal years and interim periods within those fiscal years beginning after December 15, 2015.

The Company adopted ASU 2015-03 during the quarter ended June 30, 2015. As a result of the adoption of ASU 2015-03, the Company, on its September 30, 2015 consolidated balance sheet, reclassified $7.0 million in debt issuance costs from Other assets and allocated such costs in the amount of $1.7 million to Mortgage loans sold under agreements to repurchase; $16,000 to Mortgage loan participation and sale agreement; $82,000 to Notes payable and $5.2 million to Exchangeable senior notes. There were no changes to the Company’s consolidated statements of income or consolidated statements of cash flows as a result of the Company’s adoption of ASU 2015-03.

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Commitments and Contingencies

9 Months Ended

Sep. 30, 2015

Commitments and Contingencies Disclosure [Abstract]

Commitments and Contingencies

Note 22—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, 2015, 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, 2015
	(in thousands)
Commitments to purchase mortgage loans:
Mortgage loans acquired for sale at fair value	$	1,163,415

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Liability for Losses Under Representations and Warranties

9 Months Ended

Sep. 30, 2015

Text Block [Abstract]

Liability for Losses Under Representations and Warranties

Note 21—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,
	2015			2014		2015			2014
	(in thousands)
Balance, beginning of period	$	16,714		$	11,876	$	14,242		$	10,110
Provision for losses		1,833			1,359		4,177			3,125
Losses incurred		(74	)		—		(176	)		—
Recoveries		—			—		230			—
Balance, end of period	$	18,473		$	13,235	$	18,473		$	13,235
Unpaid principal balance of mortgage loans subject to representations and warranties at period end	$	39,730,788		$	32,129,635

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Fair Value - Summary of Fair Value Changes Recognized on Assets Held Measured at Fair Value on Nonrecurring Basis (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Mortgage servicing rights at lower of amortized cost or fair value	$ (7,845)	$ 602	$ (7,142)	$ (2,249)
Nonrecurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Real estate asset acquired in settlement of loans	(8,182)	(14,242)	(18,308)	(24,027)
Mortgage servicing rights at lower of amortized cost or fair value	(7,845)	602	(7,142)	(2,249)
Total assets, gains (losses) recognized	$ (16,027)	$ (13,640)	$ (25,450)	$ (26,276)

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Mortgage Servicing Rights (Tables)

9 Months Ended

Sep. 30, 2015

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,
	2015			2014			2015			2014
	(in thousands)
Balance at beginning of period	$	57,343		$	46,802		$	57,358		$	26,452
MSRs resulting from mortgage loan sales		5,674			12,812			9,169			39,954
Changes in fair value:
Due to changes in valuation inputs or assumptions used in valuation model (1)		(3,418	)		(106	)		(3,525	)		(4,974	)
Other changes in fair value (2)		(1,848	)		(1,500	)		(5,251	)		(3,424	)
		(5,266	)		(1,606	)		(8,776	)		(8,398	)
Sales		—			(137	)		—			(137	)
Balance at end of period	$	57,751		$	57,871		$	57,751		$	57,871
MSRs pledged to secure note payable at end of period	$	57,751		$	—

(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,
	2015			2014			2015			2014
	(in thousands)
Amortized Cost:
Balance at beginning of period	$	344,405		$	274,110		$	308,137		$	266,697
MSRs resulting from loan sales		47,140			26,802			103,281			49,276
Amortization		(11,333	)		(8,109	)		(30,913	)		(23,170	)
Application of valuation allowance to write down MSRs with other-than temporary impairment		—			—			—			—
Sales		(12	)		—			(305	)		—
Balance at end of period		380,200			292,803			380,200			292,803
Valuation Allowance:
Balance at beginning of period		(7,011	)		(5,428	)		(7,714	)		(2,577	)
(Additions) reversals		(7,845	)		602			(7,142	)		(2,249	)
Application of valuation allowance to write down MSRs with other-than temporary impairment		—			—			—			—
Balance at end of period		(14,856	)		(4,826	)		(14,856	)		(4,826	)
MSRs, net	$	365,344		$	287,977		$	365,344		$	287,977
Fair value at beginning of period	$	362,908		$	289,226		$	322,230		$	289,737
Fair value at end of period	$	386,539		$	312,196
Carrying value of MSRs pledged to secure note payable	$	365,344		$	—

Summary of Company's Estimate of Future Amortization of Existing MSRs Carried at Amortized Cost

The following table summarizes the Company’s estimate of future amortization of its existing MSRs carried at amortized cost. This estimate was developed with the inputs used in the September 30, 2015 valuation of MSRs. The inputs 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.

Quarter ended September 30, 2015	Estimated MSR amortization
	(in thousands)
2015	$	49,227
2016		42,898
2017		37,642
2018		33,216
2019		29,421
Thereafter		187,796
Total	$	380,200

Mortgage service rights [Member]

Summary of Net Loan Servicing Fees Relating to MSRs

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

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Contractually-specified servicing fees	$	25,500	$	19,345	$	74,016	$	54,396

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Organization and Basis of Presentation (Tables)

9 Months Ended

Sep. 30, 2015

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Summary of Reclassifications of Previously Presented Balances

Following is a summary of the balance sheet reclassifications:

	December 31, 2014
	As reported		As previously reported		Reclassification
	(in thousands)
ASSETS
Other	$	59,155	$	66,193	$	(7,038	)
Total assets	$	4,897,258	$	4,904,296	$	(7,038	)
LIABILITIES
Assets sold under agreements to repurchase	$	2,729,027	$	2,730,130	$	(1,103	)
Mortgage loan participation and sale agreement	$	20,222	$	20,236	$	(14	)
Exchangeable senior notes	$	244,079	$	250,000	$	(5,921	)
Total liabilities	$	3,319,086	$	3,326,124	$	(7,038	)
Total liabilities and shareholders’ equity	$	4,897,258	$	4,904,296	$	(7,038	)

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Shareholders' Equity

9 Months Ended

Sep. 30, 2015

Equity [Abstract]

Shareholders' Equity

Note 23—Shareholders’ Equity

Common Share Repurchases

On August 19, 2015, the Company announced that its Board of Directors authorized a common share repurchase program under which the Company may repurchase up to $150 million of its outstanding common shares. During the quarter and nine months ended September 30, 2015, 1.0 million common shares were repurchased by the Company at a cost of $16.0 million. The repurchased common shares were canceled upon settlement of the repurchase transactions.

Common Share Issuances

The Company has entered into an ATM Equity Offering Sales Agreement^SM. During the quarter and nine month periods ended September 30, 2015, the Company did not sell any common shares under the agreement. 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, 2015, the Company had approximately $106.9 million of common shares available for issuance under its ATM Equity Offering Sales Agreement^SM.

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Net Interest Income

9 Months Ended

Sep. 30, 2015

Banking and Thrift, Interest [Abstract]

Net Interest Income

Note 24—Net Interest Income

Net interest income is summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Interest income:
From nonaffiliates:
Short-term investments	$	115	$	138	$	417	$	462
Mortgage-backed securities		2,614		1,935		7,752		5,657
Mortgage loans acquired for sale at fair value		20,704		7,712		38,120		16,911
Mortgage loans at fair value		24,364		22,401		68,089		76,502
Mortgage loans at fair value held by VIE		5,598		5,457		15,440		16,368
Mortgage loans under forward purchase agreements		—		—		—		3,584
Other		17		16		42		38
		53,412		37,659		129,860		119,522
From PennyMac Financial Services, Inc:
Excess servicing spread purchased from PFSI, at fair value		8,026		3,577		17,596		9,578
		61,438		41,236		147,456		129,100
Interest expense:
From nonaffiliates:
Assets sold under agreements to repurchase		21,350		15,814		60,470		43,496
Federal Home Loan Bank advances		117		—		119		—
Mortgage loans participation and sale agreement		226		—		699		—
Credit risk transfer financing		5,799		—		6,912		—
Notes payable		2,375		—		3,369		—
Asset-backed secured financing of a variable interest entity at fair value		1,787		1,584		4,671		4,762
Exchangeable senior notes		3,605		3,592		10,803		10,763
Borrowings under forward purchase agreements		—		—		—		2,363
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations		849		581		3,313		1,281
Interest on mortgage loan impound deposits		363		449		1,067		995
		36,471		22,020		91,423		63,660
From PennyMac Financial Services, Inc:
Note payable to PennyMac Financial Services, Inc.		1,289		—		1,822		—
		37,760		22,020		93,245		63,660
Net interest income	$	23,678	$	19,216	$	54,211	$	65,440

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Organization and Basis of Presentation

9 Months Ended

Sep. 30, 2015

Organization, Consolidation and Presentation of Financial Statements [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 mortgage 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 the 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 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 (“GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“ASC”) for interim financial information and with the Securities and Exchange Commission’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 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 fiscal year ended December 31, 2014.

The accompanying unaudited consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, income, and cash flows for the interim periods, but are not necessarily indicative of the results of operations that may be anticipated for the full year. Intercompany accounts and transactions have been eliminated.

Preparation of financial statements in compliance with GAAP requires the Manager to make estimates and judgments 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.

Reclassification of previously presented balances

In April of 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-03, Interest—Imputation of Interest (Subtopic 835-30): Simplifying the Presentation of Debt Issuance Costs (“ASU 2015-03”). The amendments in this ASU require that debt issuance costs related to a recognized debt liability be presented in the consolidated balance sheet as a direct deduction from the carrying amount of that debt liability. ASU 2015-03 specifies that its adoption be made on a retrospective basis. Accordingly, the Company has reclassified its debt issuance costs from Other assets as previously presented to Assets sold under agreements to repurchase, Mortgage loan participation and sale agreement and Exchangeable senior notes to conform its December 31, 2014 balance sheet to the current presentation. The adoption of ASU 2015-03 did not result in changes to the Company’s previously presented consolidated statements of income.

Following is a summary of the balance sheet reclassifications:

	December 31, 2014
	As reported		As previously reported		Reclassification
	(in thousands)
ASSETS
Other	$	59,155	$	66,193	$	(7,038	)
Total assets	$	4,897,258	$	4,904,296	$	(7,038	)
LIABILITIES
Assets sold under agreements to repurchase	$	2,729,027	$	2,730,130	$	(1,103	)
Mortgage loan participation and sale agreement	$	20,222	$	20,236	$	(14	)
Exchangeable senior notes	$	244,079	$	250,000	$	(5,921	)
Total liabilities	$	3,319,086	$	3,326,124	$	(7,038	)
Total liabilities and shareholders’ equity	$	4,897,258	$	4,904,296	$	(7,038	)

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Net Gain on Mortgage Loans Acquired for Sale

9 Months Ended

Sep. 30, 2015

Text Block [Abstract]

Net Gain on Mortgage Loans Acquired for Sale

Note 25—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,
	2015			2014			2015			2014
	(in thousands)
Cash (loss) gain:
Loans	$	4,579		$	(15,473	)		(54,183	)	$	(21,540	)
Hedging activities		(33,268	)		(12,706	)		(27,082	)		(35,004	)
		(28,689	)		(28,179	)		(81,265	)		(56,544	)
Non cash gain:
Receipt of MSRs in loan sale transactions		52,814			39,614			112,450			89,230
Provision for losses relating to representations and warranties provided in loan sales		(1,833	)		(1,359	)		(4,177	)		(3,125	)
Change in fair value of financial instruments issued and held at period end:
IRLCs		9,073			(5,697	)		3,146			4,140
Mortgage loans		(17,097	)		(3,073	)		1,181			5,000
Hedging derivatives		(384	)		8,203			3,884			(8,999	)
		(8,408	)		(567	)		8,211			141
	$	13,884		$	9,509		$	35,219		$	29,702

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Transactions with Related Parties - Summary of Expenses (Detail) - PNMAC Capital Management LLC [Member] - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Related Party Transaction [Line Items]
Common overhead incurred by PCM and its affiliates	$ 2,694	$ 2,912	$ 8,125	$ 8,181
Reimbursement of expenses incurred on the Company's behalf	(85)	122	377	671
Total expenses incurred in transaction with affiliates	2,609	3,034	8,502	8,852
Payments and settlements during the period	$ 17,709	$ 31,621	$ 64,575	$ 72,975

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Real Estate Acquired in Settlement of Loans - Summary of Financial Information Relating to REO (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Real Estate [Abstract]
Balance at beginning of period	$ 324,278	$ 240,471	$ 303,228	$ 138,942
Purchases	0	0	0	3,049
Transfers from mortgage loans at fair value and servicing advances	82,405	94,530	240,483	268,677
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment	(2,212)	0	(3,505)	0
Transfers from REO under forward purchase agreements	0	0	0	12,737
Results of REO:
Valuation adjustments, net	(8,734)	(15,639)	(26,740)	(32,912)
Gain on sale, net	4,513	3,713	14,881	9,485
Total gain (loss), net	(4,221)	(11,926)	(11,859)	(23,427)
Proceeds from sales	(46,687)	(47,890)	(174,784)	(124,793)
Balance at end of period	353,563	275,185	353,563	275,185
At period end:
REO pledged to secure assets sold under agreements to repurchase	280,045	56,702	280,045	56,702
REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties	$ 0	$ 19,858	$ 0	$ 19,858

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Regulatory Net Worth

9 Months Ended

Sep. 30, 2015

Mortgage Banking [Abstract]

Regulatory Net Worth

Note 33—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 are a minimum net worth of $75.9 million and $39.4 million, respectively. Management believes that PMC complies with Fannie Mae’s and Freddie Mac’s net worth requirements as of September 30, 2015.

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Mortgage Loans at Fair Value (Tables)

9 Months Ended

Sep. 30, 2015

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, 2015				December 31, 2014
Loan type	Fair value		Unpaid principal balance		Fair value		Unpaid principal balance
	(in thousands)
Distressed mortgage loans:
Nonperforming mortgage loans	$	1,359,441	$	1,888,509	$	1,535,317	$	2,246,585
Performing mortgage loans:
Fixed interest rate		380,322		494,804		322,704		449,496
Adjustable-rate/hybrid		157,265		186,534		127,405		162,329
Interest rate step-up		263,270		367,958		213,999		323,350
Balloon		161		206		158		210
		801,018		1,049,502		664,266		935,385
Fixed interest rate jumbo mortgage loans held in a VIE		477,271		471,496		527,369		517,500
	$	2,637,730	$	3,409,507	$	2,726,952	$	3,699,470
Mortgage loans at fair value pledged to secure :
Assets sold under agreements to repurchase	$	2,390,784			$	2,543,242
FHLB advances	$	140,025			$	—
Asset-backed secured financing	$	477,271			$	527,369

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, 2015	December 31, 2014
	(percentages are at fair value)
Portion of mortgage loans originated between 2005 and 2007	73%	75%
Percentage of fair value of mortgage loans with unpaid-principal balance-to-current-property-value in excess of 100%	46%	55%
Percentage of mortgage loans secured by California real estate	22%	22%
Additional states contributing 5% or more of mortgage loans	New York New Jersey Florida	New York New Jersey Florida

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Supplemental Cash Flow Information (Tables)

9 Months Ended

Sep. 30, 2015

Supplemental Cash Flow Elements [Abstract]

Summary of Supplemental Cash Flow Information

	Nine months ended September 30,
	2015		2014
	(in thousands)
Cash paid for interest	$	85,876	$	68,443
Income tax paid (refund)	$	700	$	(6,782	)
Non-cash investing activities:
Transfer of mortgage loans and advances to real estate acquired in settlement of loans	$	240,483	$	268,677
Purchase of mortgage loans financed through forward purchase agreements	$	—	$	2,828
Transfer of mortgage loans under forward purchase agreements to mortgage loans at fair value	$	—	$	205,902
Transfer of mortgage loans under forward purchase agreements and advances to REO under forward purchase agreements	$	—	$	9,369
Receipt of MSRs as proceeds from sales of loans	$	112,450	$	89,230
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment	$	4,440	$	—
Receipt of ESS pursuant to recapture agreement with PFSI	$	4,833	$	6,093
Transfer of REO under forward purchase agreements to REO	$	—	$	12,737
Non-cash financing activities:
Purchase of mortgage loans financed through forward purchase agreements	$	—	$	2,828
Transfer of mortgage loans at fair value financed through agreements to repurchase to REO financed under agreements to repurchase	$	58,923	$	3,491
Dividends payable	$	35,019	$	45,467

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Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands	Sep. 30, 2015	Dec. 31, 2014
ASSETS
Cash	$ 89,303	$ 76,386
Short-term investments	31,518	139,900
Mortgage-backed securities at fair value (includes $306,638 and $307,363 pledged to secure assets sold under agreements to repurchase and $8,961 and $0 pledged to secure Federal Home Loan Bank advances)	315,599	307,363
Mortgage loans acquired for sale at fair value (includes $903,806 and $609,608 pledged to secure assets sold under agreements to repurchase, $63,162 and $20,862 pledged to secure mortgage loan participation and sale agreement, and $68,937 and $0 pledged to secure Federal Home Loan Bank advances)	1,050,296	637,722
Mortgage loans at fair value (includes $2,485,046 and $2,709,161 pledged to secure assets sold under agreements to repurchase and asset-backed secured financing of a variable interest entity at fair value and $140,025 and $0 pledged to secure Federal Home Loan Bank advances)	2,637,730	2,726,952
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value pledged to secure note payable to PennyMac Financial Services, Inc.	418,573	191,166
Derivative assets	16,806	11,107
Real estate acquired in settlement of loans (includes $280,045 and $150,649 pledged to secure assets sold under agreements to repurchase)	353,563	303,228
Real estate held for investment	4,448	0
Mortgage servicing rights (includes $57,751 and $57,358 carried at fair value and $423,095 and $0 pledged to secure borrowings under notes payable)	423,095	357,780
Servicing advances	79,528	79,878
Due from PennyMac Financial Services, Inc.	9,050	6,621
Other	162,722	59,155
Total assets	5,592,231	4,897,258
LIABILITIES
Assets sold under agreements to repurchase	2,864,032	2,729,027
Mortgage loan participation and sale agreement	61,078	20,222
Federal Home Loan Bank advances	183,000	0
Notes payable	192,332	0
Asset-backed secured financing of a variable interest entity at fair value	234,287	165,920
Exchangeable senior notes	244,805	244,079
Derivative liabilities	2,786	2,430
Accounts payable and accrued liabilities	67,086	67,806
Due to PennyMac Financial Services, Inc.	17,220	23,943
Income taxes payable	42,702	51,417
Liability for losses under representations and warranties	18,473	14,242
Total liabilities	4,077,801	3,319,086
SHAREHOLDERS' EQUITY
Common shares of beneficial interest-authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding, 73,792,435 and 74,510,159 common shares	738	745
Additional paid-in capital	1,468,739	1,479,699
Retained earnings	44,953	97,728
Total shareholders' equity	1,514,430	1,578,172
Total liabilities and shareholders' equity	5,592,231	4,897,258
PennyMac Financial Services, Inc. [Member]
LIABILITIES
Notes payable	150,000	0
Consolidated VIE [Member]
ASSETS
Mortgage loans at fair value (includes $2,485,046 and $2,709,161 pledged to secure assets sold under agreements to repurchase and asset-backed secured financing of a variable interest entity at fair value and $140,025 and $0 pledged to secure Federal Home Loan Bank advances)	477,271	527,369
Derivative assets	626	0
Other assets
Interest receivable	1,502	1,651
Restricted cash	87,891	0
Total assets of Consolidated Variable Interest Entity	567,290	529,020
LIABILITIES
Asset-backed secured financing of a variable interest entity at fair value	234,287	165,920
Accounts payable and accrued expenses-interest payable	679	477
Total liabilities of Consolidated Variable Interest Entity	$ 234,966	$ 166,397

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Concentration of Risks (Tables)

9 Months Ended

Sep. 30, 2015

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 in prior years 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,
	2015		2014		2015		2014
	(in thousands)
Investment portfolio purchases:
Mortgage loans	$	—	$	—	$	241,981	$	284,403
REO		—		—		—		3,117
	$	—	$	—	$	241,981	$	287,520
Investment portfolio purchases above through one or more subsidiaries of Citigroup Inc.:
Mortgage loans	$	—	$	—	$	—	$	26,737
REO		—		—		—		68
	$	—	$	—	$	—	$	26,805

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

	September 30, 2015		December 31, 2014
	(in thousands)
Mortgage loans	$	879,990	$	943,163
REO		97,619		108,302
	$	977,609	$	1,051,465
Total holdings of mortgage loans and REO	$	2,991,293	$	3,030,180

Consolidated Statements of Income and Cash Flows

As a result of recognizing the CGM assets and related obligations, the Company’s consolidated statements of income and cash flows included the following amounts related to the forward purchase agreements:

	Quarter ended September 30, 2014		Nine months ended September 30, 2014
	(in thousands)
Statements of income:
Interest income	$	—	$	3,584
Interest expense	$	—	$	2,364
Net gain on investments	$	—	$	803
Net loan servicing fees	$	—	$	517
Results of REO	$	—	$	(473	)
Statements of cash flows:
Repayments of mortgage loans	$	—	$	6,413
Sales of REO	$	—	$	5,365
Repayments of borrowings under forward purchase agreements	$	—	$	(227,866	)

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Fair Value - Summary of Changes in Items Measured Using Level 3 Inputs on Recurring Basis (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Assets:
Servicing received as proceeds from sales of mortgage loans	$ 5,674	$ 12,812	$ 9,169	$ 39,954
Recurring [Member]
Assets:
Beginning balance	2,663,122	2,404,634	2,453,768	2,461,217
Purchases	84,165	9,253	513,433	367,049
Repayments and sales	(81,739)	(135,336)	(226,893)	(545,673)
Capitalization of interest	22,875	14,028	52,575	50,383
ESS received pursuant to a recapture agreement with PFSI	2,268	2,619	4,833	6,093
Interest rate lock commitments issued, net	11,834	14,046	42,917	45,800
Servicing received as proceeds from sales of mortgage loans	5,674	12,812	9,169	39,954
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk	9,255	13,850	29,563	56,881
Other factors	24,185	57,144	23,819	117,974
Total	33,440	70,994	53,382	174,855
Transfers of mortgage loans under forward purchase agreements to mortgage loans				0
Transfers of mortgage loans to REO	(76,205)	(90,733)	(224,138)	(253,649)
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements				(9,802)
Transfers of interest rate lock commitments to mortgage loans acquired for sale	(19,218)	(20,585)	(32,830)	(54,495)
Ending balance	2,646,216	2,281,732	2,646,216	2,281,732
Changes in fair value recognized during the period relating to assets	26,867	64,959	70,868	99,374
Net derivatives related to CRT Agreements [Member] | Recurring [Member]
Assets:
Beginning balance	0		0
Purchases	0		0
Repayments and sales	0		0
Capitalization of interest	0		0
ESS received pursuant to a recapture agreement with PFSI	0		0
Interest rate lock commitments issued, net	0		0
Servicing received as proceeds from sales of mortgage loans			0
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk	0		0
Other factors	626		626
Total	626		626
Transfers of mortgage loans to REO	0		0
Transfers of interest rate lock commitments to mortgage loans acquired for sale	0		0
Ending balance	626		626
Changes in fair value recognized during the period relating to assets	626		626
Interest rate lock commitments [Member] | Recurring [Member]
Assets:
Beginning balance	(267)	11,087	5,661	1,249
Purchases	0	0	0	0
Repayments and sales	0	0	0	0
Capitalization of interest	0	0	0	0
ESS received pursuant to a recapture agreement with PFSI	0	0	0	0
Interest rate lock commitments issued, net	11,834	14,046	42,917	45,800
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	0	0	0	0
Other factors	16,458	843	(6,941)	12,837
Total	16,458	843	(6,941)	12,837
Transfers of mortgage loans under forward purchase agreements to mortgage loans				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
Transfers of interest rate lock commitments to mortgage loans acquired for sale	(19,218)	(20,585)	(32,830)	(54,495)
Ending balance	8,807	5,391	8,807	5,391
Changes in fair value recognized during the period relating to assets	8,807	5,391	8,807	5,391
Mortgage loans at fair value [Member] | Recurring [Member]
Assets:
Beginning balance	2,246,944	2,156,501	2,199,583	2,076,665
Purchases	0	0	241,981	283,017
Repayments and sales	(57,022)	(126,413)	(171,093)	(513,843)
Capitalization of interest	14,849	10,451	34,979	39,005
ESS received pursuant to a recapture agreement with PFSI	0	0	0	0
Interest rate lock commitments issued, net	0	0	0	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	9,255	13,850	29,563	54,612
Other factors	22,638	67,446	49,584	139,393
Total	31,893	81,296	79,147	194,005
Transfers of mortgage loans under forward purchase agreements to mortgage loans				205,902
Transfers of mortgage loans to REO	(76,205)	(90,733)	(224,138)	(253,649)
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	0	0	0	0
Ending balance	2,160,459	2,031,102	2,160,459	2,031,102
Changes in fair value recognized during the period relating to assets	32,971	70,713	80,885	126,773
Excess servicing spread [Member] | Recurring [Member]
Assets:
Beginning balance	359,102	190,244	191,166	138,723
Purchases	84,165	9,253	271,452	82,646
Repayments and sales	(24,717)	(8,786)	(55,800)	(25,280)
Capitalization of interest	8,026	3,577	17,596	9,578
ESS received pursuant to a recapture agreement with PFSI	2,268	2,619	4,833	6,093
Interest rate lock commitments issued, net	0	0	0	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	0	0	0	0
Other factors	(10,271)	(9,539)	(10,674)	(24,392)
Total	(10,271)	(9,539)	(10,674)	(24,392)
Transfers of mortgage loans under forward purchase agreements to mortgage loans				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
Transfers of interest rate lock commitments to mortgage loans acquired for sale	0	0	0	0
Ending balance	418,573	187,368	418,573	187,368
Changes in fair value recognized during the period relating to assets	(10,271)	(9,539)	(10,674)	(24,392)
Mortgage servicing rights [Member] | Recurring [Member]
Assets:
Beginning balance	57,343	46,802	57,358	26,452
Purchases	0	0	0	0
Repayments and sales	0	(137)	0	(137)
Capitalization of interest	0	0	0	0
ESS received pursuant to a recapture agreement with PFSI	0	0	0	0
Interest rate lock commitments issued, net	0	0	0	0
Servicing received as proceeds from sales of mortgage loans	5,674	12,812	9,169	39,954
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk	0	0	0
Other factors	(5,266)	(1,606)	(8,776)	(8,398)
Total	(5,266)	(1,606)	(8,776)	(8,398)
Transfers of mortgage loans under forward purchase agreements to mortgage loans				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
Transfers of interest rate lock commitments to mortgage loans acquired for sale	0	0	0	0
Ending balance	57,751	57,871	57,751	57,871
Changes in fair value recognized during the period relating to assets	$ (5,266)	(1,606)	$ (8,776)	(8,398)
Mortgage loans under forward purchase agreements [Member] | Recurring [Member]
Assets:
Beginning balance				218,128
Purchases				1,386
Repayments and sales				(6,413)
Capitalization of interest				1,800
ESS received pursuant to a recapture agreement with PFSI				0
Interest rate lock commitments issued, net				0
Servicing received as proceeds from sales of mortgage loans				0
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk				2,269
Other factors				(1,466)
Total				803
Transfers of mortgage loans under forward purchase agreements to mortgage loans				(205,902)
Transfers of mortgage loans to REO				0
Transfers of mortgage loans under forward purchase agreements to REO under forward purchase agreements				(9,802)
Transfers of interest rate lock commitments to mortgage loans acquired for sale				0
Ending balance		$ 0		0
Changes in fair value recognized during the period relating to assets				$ 0

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Exchangeable Senior Notes - Summary of Financial Information Relating to Exchangeable Notes (Parenthetical) (Detail) - USD ($)	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Debt Instrument [Line Items]
Amortization of debt issuance costs	$ 562,000,000		$ 915,000,000
Interest Expense [Member]
Debt Instrument [Line Items]
Amortization of debt issuance costs	$ 245,000	$ 232,000	$ 726,000	$ 685,000

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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 (Parenthetical) (Detail)	Sep. 30, 2015	Dec. 31, 2014
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%

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Consolidated Statements of Changes in Shareholders' Equity (Unaudited) (Parenthetical) - $ / shares	9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014
Common share dividends declared per share	$ 1.69	$ 1.79
Retained earnings [Member]
Common share dividends declared per share	$ 1.69	$ 1.79

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Fair Value - Additional Information (Detail) - USD ($) $ in Millions	9 Months Ended
	Sep. 30, 2015	Dec. 31, 2014
Mortgage Loans on Real Estate [Line Items]
Initial interest rates	More than 4.5%
Interest rate	4.50%
Mortgage loans description	Note interest rate pools of 50 basis points
Basis point for mortgage loan	0.50%
Fair value of exchangeable notes	$ 225.0	$ 239.0
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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Liability for Losses under Representations and Warranties - Summary of Company's Liability for Losses under Representations and Warranties (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Mortgage Banking [Abstract]
Balance, beginning of period	$ 16,714	$ 11,876	$ 14,242	$ 10,110
Provision for losses	1,833	1,359	4,177	3,125
Losses incurred	(74)	0	(176)	0
Recoveries	0	0	230	0
Balance, end of period	18,473	13,235	18,473	13,235
Unpaid principal balance of mortgage loans subject to representations and warranties at period end	$ 39,730,788	$ 32,129,635	$ 39,730,788	$ 32,129,635

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Shareholders' Equity - Additional Information (Detail) - USD ($)	3 Months Ended	9 Months Ended
	Sep. 30, 2015	Sep. 30, 2015	Sep. 30, 2014	Aug. 19, 2015
Schedule of Capitalization, Equity [Line Items]
Number of common stock shares Repurchased during period	1,000,000	1,000,000
Value of common stock shares Repurchased during period	$ 16,000,000	$ 15,955,000
Number of common shares sold under Sales Agreement			3,447,022
Proceeds from public offering of common shares			$ 81,600,000
Sales commissions net		$ 0	1,052,000
ATM Equity Offering Sales AgreementSM [Member]
Schedule of Capitalization, Equity [Line Items]
Number of common shares sold under Sales Agreement	0	0
Sales commissions net			$ 899,000
Amount of common stock available for future issuance under Sales Agreement	$ 106,900,000	$ 106,900,000
Weighted Average [Member]
Schedule of Capitalization, Equity [Line Items]
Price of common shares sold under sales agreement			$ 23.92
Maximum [Member]
Schedule of Capitalization, Equity [Line Items]
Common stock shares Repurchase authorized amount				$ 150,000,000

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Federal Home Loan Bank Advances (Tables)

9 Months Ended

Sep. 30, 2015

Banking and Thrift [Abstract]

Summary of FHLB Advances

The FHLB advances are summarized below:

	Quarter ended September 30, 2015			Nine months ended September 30, 2015
	(dollars in thousands)
During the period:
Weighted-average interest rate		0.27	%		0.27	%
Average balance	$	170,902		$	58,100
Total interest expense	$	117		$	119
Maximum daily amount outstanding	$	188,834		$	188,834
At period end:
Balance	$	183,000
Weighted-average interest rate		0.27	%
Fair value of assets securing FHLB advances:
Mortgage-backed securities	$	8,961
Mortgage loans acquired for sale at fair value		68,937
Mortgage loans at fair value		140,025
	$	217,923

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Fair Value - Summary of Financial Statement Items Re-measured at Fair Value on Nonrecurring Basis (Detail) - Nonrecurring [Member] - USD ($) $ in Thousands	Sep. 30, 2015	Dec. 31, 2014
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Real estate asset acquired in settlement of loans	$ 145,815	$ 157,203
Mortgage servicing rights at lower of amortized cost or fair value	125,952	91,990
Total Assets	271,767	249,193
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
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
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	145,815	157,203
Mortgage servicing rights at lower of amortized cost or fair value	125,952	91,990
Total Assets	$ 271,767	$ 249,193

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Share-Based Compensation Plans

9 Months Ended

Sep. 30, 2015

Disclosure of Compensation Related Costs, Share-based Payments [Abstract]

Share-Based Compensation Plans

Note 28—Share-Based Compensation Plans

On September 30, 2015 and 2014, the Company had one share-based compensation plan. The Company recognized compensation expense of $1.3 million and $5.0 million for the quarter and nine months ended September 30, 2015, compared to $1.6 million and $5.7 million for the same periods in 2014. The Company granted 294,684 and 300,131 restricted share units with a grant date fair value of $6.3 million and $6.0 million during the nine months ended September 30, 2015 and 2014, respectively. No restricted share units were granted during the quarters ended September 30, 2015 and 2014. The Company had vestings of zero and 301,763 restricted share units during the quarter and nine months ended September 30, 2015, compared to 500 and 230,716 units for the same periods in 2014.

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Other Expenses - Summary of Other Expenses (Parenthetical) (Detail) - USD ($)	3 Months Ended	9 Months Ended
	Sep. 30, 2015	Sep. 30, 2015
PNMAC Capital Management LLC [Member]
Other Non operating Income Expense [Line Items]
Waiver of overhead expenses	$ 900,000	$ 1,600,000

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Note Payable - Summary of Financial Information Relating to Note Payable (Parenthetical) (Detail) - USD ($) $ in Thousands	3 Months Ended	9 Months Ended
	Sep. 30, 2015	Sep. 30, 2015
Debt Disclosure [Abstract]
Amortization of commitment fees and issuance costs	$ 562,000	$ 915,000

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Commitments and Contingencies (Tables)

9 Months Ended

Sep. 30, 2015

Commitments and Contingencies Disclosure [Abstract]

Company's Outstanding Contractual Loan Commitments

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

	September 30, 2015
	(in thousands)
Commitments to purchase mortgage loans:
Mortgage loans acquired for sale at fair value	$	1,163,415

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Mortgage Loan Participation and Sale Agreement

9 Months Ended

Sep. 30, 2015

Text Block [Abstract]

Mortgage Loan Participation and Sale Agreement

Note 15—Mortgage Loan Participation and Sale Agreement

One of the borrowing facilities secured by mortgage loans acquired for sale is in the form of a mortgage loan participation and sale agreement. Participation certificates, each of which represents an undivided beneficial ownership interest in a pool of mortgage loans that have been pooled with Fannie Mae or Freddie Mac, are sold to the lender pending the securitization of such mortgage loans and the sale of the resulting security. A commitment between the Company and a non-affiliate to sell such security is also assigned to the lender at the time a participation certificate is sold.

The purchase price paid by the lender for each participation certificate is based on the trade price of the security, plus an amount of interest expected to accrue on the security to its anticipated delivery date, minus a present value adjustment, any related hedging costs and a holdback amount that is based on a percentage of the purchase price and is not required to be paid to the Company until the settlement of the security and its delivery to the lender.

The mortgage loan participation and sale agreements are summarized below:

	Quarter ended September 30, 2015			Nine months ended September 30, 2015
	(dollars in thousands)
During the period:
Weighted-average interest rate (1)		1.44	%		1.43	%
Average balance	$	48,832		$	50,933
Total interest expense	$	226		$	699
Maximum daily amount outstanding	$	120,374		$	148,032
At period end:
Amount outstanding	$	61,093
Unamortized debt issuance costs		(16	)
	$	61,078
Weighted-average interest rate		1.44	%
Mortgage loans pledged to secure mortgage loan participation and sale agreement	$	63,162

(1) Excludes the effect of amortization of commitment fees of $47,000 and $146,000 for the quarter and nine months ended September 30, 2015.

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Other Expenses

9 Months Ended

Sep. 30, 2015

Other Income and Expenses [Abstract]

Other Expenses

Note 29—Other Expenses

Other expenses are summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Common overhead allocation from PFSI (1)	$	2,550	$	2,802	$	7,487	$	8,018
Servicing and collection costs		1,853		2,064		6,480		5,809
Loan origination		1,367		1,202		3,496		1,637
Insurance		309		247		984		738
Technology		307		246		910		720
Other		941		823		2,649		1,682
	$	7,327	$	7,384	$	22,006	$	18,604

(1) For the quarter and nine months ended September 30, 2015, in accordance with the terms of the management agreement, PCM provided the Company discretionary waivers of $900,000 and $1.6 million, respectively, of overhead expenses that otherwise would have been allocable to the Company.

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Fair Value - Summary of Changes in Fair Value Included in Current Period Income (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	$ 13,884	$ 9,509	$ 35,219	$ 29,702
Net gain on investments	24,958	70,390	51,019	186,109
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	0	0
Net interest income	(351)	(124)	(474)	(328)
Net gain on investments	(3,940)	696	(719)	(7,258)
Net loan servicing fees	0	0	0	0
Total	(4,291)	572	(1,193)	(7,586)
Liabilities, Total [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	0	0	0	0
Net interest income	(351)	(124)	(474)	(328)
Net gain on investments	(3,940)	696	(719)	(7,258)
Net loan servicing fees	0	0	0	0
Total	(4,291)	572	(1,193)	(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	0		0
Net loan servicing fees	0	0	0	0
Total	0	0	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	0
Net interest income	91	108	155	296
Net gain on investments	3,564	(821)	(1,622)	6,096
Net loan servicing fees	0	0	0	0
Total	3,655	(713)	(1,467)	6,392
Mortgage loans acquired for sale at fair value [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	39,504	19,977	57,568	69,812
Net interest income	0	0	0	0
Net gain on investments	0	0	0	0
Net loan servicing fees	0	0	0	0
Total	39,504	19,977	57,568	69,812
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	1,024	385	1,203	938
Net gain on investments	39,273	78,717	76,249	218,912
Net loan servicing fees	0	0	0	0
Total	40,297	79,102	77,452	219,850
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
Net interest income				0
Net gain on investments				803
Net loan servicing fees				0
Total				803
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	(7,844)	(7,396)	(5,502)	(17,834)
Net loan servicing fees	0	0	0	0
Total	(7,844)	(7,396)	(5,502)	(17,834)
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 fees	(5,266)	(1,606)	(8,776)	(8,398)
Total	(5,266)	(1,606)	(8,776)	(8,398)
Assets, Total [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	39,504	19,977	57,568	69,812
Net interest income	1,115	493	1,358	1,234
Net gain on investments	34,993	70,500	69,125	207,977
Net loan servicing fees	(5,266)	(1,606)	(8,776)	(8,398)
Total	$ 70,346	$ 89,364	$ 119,275	$ 270,625

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Assets Sold Under Agreements to Repurchase - Summary of Assets Sold under Agreements to Repurchase by Counterparty (Detail) $ in Thousands	9 Months Ended
	Sep. 30, 2015 USD ($)
Citibank, N.A. [Member] | Securities sold under agreements to repurchase at fair value [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 517
Facility maturity	Dec. 30, 2015
JPMorgan Chase & Co. [Member] | Securities sold under agreements to repurchase at fair value [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 16,547
Facility maturity	Oct. 23, 2015
Daiwa Capital Markets [Member] | Securities sold under agreements to repurchase at fair value [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 8,275
Facility maturity	Nov. 06, 2015
Bank of America, N.A. [Member] | Securities sold under agreements to repurchase at fair value [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 15,181
Facility maturity	Nov. 18, 2015
Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | Citibank, N.A. [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 366,115
Mortgage acquired for sale Weighted-average repurchase agreement maturity	Oct. 22, 2015
Facility maturity	Oct. 22, 2015
Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | Credit Suisse First Boston Mortgage Capital LLC [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 317,292
Mortgage acquired for sale Weighted-average repurchase agreement maturity	Oct. 30, 2015
Facility maturity	Oct. 30, 2015
Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | JPMorgan Chase & Co. [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 160,224
Facility maturity	Jan. 26, 2017
Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | Bank of America, N.A. [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 31,157
Mortgage acquired for sale Weighted-average repurchase agreement maturity	Dec. 19, 2015
Facility maturity	Jan. 29, 2016
Mortgage loans acquired for sale, mortgage loans and REO sold under agreements to repurchase [Member] | Morgan Stanley Bank, N.A. [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 10,905
Mortgage acquired for sale Weighted-average repurchase agreement maturity	Nov. 17, 2015
Facility maturity	Dec. 17, 2015

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Notes Payable

9 Months Ended

Sep. 30, 2015

Text Block [Abstract]

Notes Payable

Note 17—Notes Payable

On September 14, 2015, the Company, through its wholly-owned subsidiary PMC, entered into a Loan and Security Agreement with Barclays Bank PLC, pursuant to which PMC may finance certain of its MSRs relating to mortgage loans pooled into Fannie Mae MBS in an aggregate loan amount not to exceed $150 million. The note matures on September 13, 2016. The Company used the proceeds of this financing to repay its borrowings collateralized by MSRs relating to mortgage loans pooled into Fannie Mae MBS under a Loan and Security Agreement with Citibank, N.A, which is now used to finance Freddie Mac MSRs only. The note in favor of Citibank, N.A. matures on March 29, 2016.

Following is a summary of financial information relating to the notes payable:

	Quarter ended September 30, 2015			Nine months ended September 30, 2015
	(dollars in thousands)
During the period:
Weighted-average interest rate (1)		4.25	%		4.24	%
Average balance	$	195,030		$	85,907
Total interest expense	$	2,375		$	3,369
Maximum daily amount outstanding	$	198,191		$	198,191
At period end:
Amount outstanding	$	192,332
Weighted-average interest rate		4.39	%
Mortgage servicing rights pledged to secure notes payable	$	423,095

(1) Excludes the effect of amortization of commitment fees and issuance costs of $562,000 and $915,000 for the quarter and nine months ended September 30, 2015.

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Net Gain on Investments (Tables)

9 Months Ended

Sep. 30, 2015

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,
	2015			2014			2015			2014
	(in thousands)
Net gain (loss) on investments:
From non-affiliates:
Mortgage-backed securities	$	3,564		$	(821	)	$	(1,622	)	$	6,096
Mortgage loans		31,909			81,296			79,163			194,808
Mortgage loans held in a VIE		7,421			(2,578	)		(2,856	)		24,906
Net derivatives related to CRT Agreements		626			—			626			—
Asset-backed secured financing		(3,941	)		696			(719	)		(7,258	)
Hedging derivatives		(6,777	)		(807	)		(18,071	)		(14,609	)
		32,802			77,786			56,521			203,943
From PennyMac Financial Services, Inc:
Excess servicing spread purchased from PFSI		(7,844	)		(7,396	)		(5,502	)		(17,834	)
	$	24,958		$	70,390		$	51,019		$	186,109

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Derivative Financial Instruments - Derivative Assets and Liabilities and Related Margin Deposits Recorded within Derivative Assets and Derivative Liabilities (Detail) - USD ($)	Sep. 30, 2015	Dec. 31, 2014
Derivatives, Fair Value [Line Items]
Total derivative assets instruments before netting	$ 36,698,000	$ 13,391,000
Derivative assets, Netting	(19,892,000)	(2,284,000)
Derivative assets, Fair value, Total	16,806,000	11,107,000
Total derivative liabilities instruments fair value before netting	22,102,000	7,178,000
Derivative liabilities, Netting	(19,316,000)	(4,748,000)
Derivative liabilities, Fair value, Total	2,786,000	2,430,000
Interest rate lock commitments [Member]
Derivatives, Fair Value [Line Items]
Notional amount	1,163,415,000	695,488,000
Total derivative assets instruments before netting	9,109,000	5,678,000
Total derivative liabilities instruments fair value before netting	302,000	17,000
Forward sales contracts [Member]
Derivatives, Fair Value [Line Items]
Notional amount	3,410,839,000	1,601,282,000
Total derivative assets instruments before netting	15,000	52,000
Total derivative liabilities instruments fair value before netting	21,794,000	6,649,000
Forward purchase contracts [Member]
Derivatives, Fair Value [Line Items]
Notional amount	3,282,364,000	1,100,700,000
Total derivative assets instruments before netting	22,985,000	3,775,000
Total derivative liabilities instruments fair value before netting	6,000	34,000
MBS put options [Member]
Derivatives, Fair Value [Line Items]
Notional amount	450,000,000	340,000,000
Total derivative assets instruments before netting	0	374,000
Total derivative liabilities instruments fair value before netting	0	0
MBS call options [Member]
Derivatives, Fair Value [Line Items]
Notional amount	0	0
Total derivative assets instruments before netting	0	0
Total derivative liabilities instruments fair value before netting	0	0
Eurodollar future sale contracts [Member]
Derivatives, Fair Value [Line Items]
Notional amount	1,756,000,000	7,426,000,000
Total derivative assets instruments before netting	0	0
Total derivative liabilities instruments fair value before netting	0	0
Eurodollar future purchase contracts [Member]
Derivatives, Fair Value [Line Items]
Notional amount	0	800,000,000
Total derivative assets instruments before netting	0	0
Total derivative liabilities instruments fair value before netting	0	0
Treasury future contracts [Member]
Derivatives, Fair Value [Line Items]
Notional amount	0	85,000,000
Total derivative assets instruments before netting	0	0
Derivative assets, Netting	0	0
Derivative assets, Fair value, Total	0	0
Total derivative liabilities instruments fair value before netting	0	478,000
Call options on interest rate futures [Member]
Derivatives, Fair Value [Line Items]
Notional amount	1,555,000,000	1,030,000,000
Total derivative assets instruments before netting	3,270,000	3,319,000
Derivative assets, Netting	0	0
Derivative assets, Fair value, Total	3,270,000	3,319,000
Total derivative liabilities instruments fair value before netting	0	0
Put options on interest rate futures [Member]
Derivatives, Fair Value [Line Items]
Notional amount	1,625,000,000	275,000,000
Total derivative assets instruments before netting	693,000	193,000
Derivative assets, Netting	0	0
Derivative assets, Fair value, Total	693,000	193,000
Total derivative liabilities instruments fair value before netting	0	0
Net derivatives related to CRT Agreements [Member]
Derivatives, Fair Value [Line Items]
Notional amount	2,400,433,000	0
Total derivative assets instruments before netting	626,000	0
Derivative assets, Netting	0	0
Derivative assets, Fair value, Total	626,000	0
Total derivative liabilities instruments fair value before netting	$ 0	$ 0

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Recently Issued Accounting Pronouncements - Additional Information (Detail) - ASU 2015-03 [Member] - Reclassification [Member]	9 Months Ended
	Sep. 30, 2015 USD ($)
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Debt issuance costs	$ 7,000,000
Mortgage loans sold under agreements to repurchase [Member]
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Debt issuance costs	1,700,000
Mortgage Loan Participation and Sale Agreement [Member]
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Debt issuance costs	16,000
Notes payable [Member]
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Debt issuance costs	82,000
Exchangeable senior notes [Member]
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Debt issuance costs	$ 5,200,000

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Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014
Cash flows from operating activities
Net income	$ 74,391	$ 168,033
Adjustments to reconcile net income to net cash used by operating activities:
Accrual of unearned discounts and amortization of premiums on mortgage-backed securities, mortgage loans at fair value, and asset-backed secured financing	(884)	(905)
Capitalization of interest on mortgage loans at fair value	(34,979)	(40,805)
Accrual of interest on excess servicing spread	(17,596)	(9,578)
Amortization of credit facility commitment fees and debt issuance costs	8,491	7,298
Net gain on mortgage loans acquired for sale	(35,219)	(29,702)
Reversal of costs related to forward purchase agreements	0	(168)
Net gain on investments	(51,019)	(186,109)
Change in fair value, amortization and impairment of mortgage servicing rights	32,876	30,285
Results of real estate acquired in settlement of loans	11,859	23,900
Share-based compensation expense	4,980	4,356
Purchases of mortgage loans acquired for sale at fair value from nonaffiliates	(35,922,418)	(20,759,885)
Purchases of mortgage loans acquired for sale at fair value from PennyMac Financial Services, Inc.	(13,708)	(4,955)
Repurchase of mortgage loans subject to representation and warranties	(14,873)	(14,266)
Sales and repayments of mortgage loans acquired for sale at fair value to nonaffiliates	10,593,309	8,548,903
Sales of mortgage loans acquired for sale to PennyMac Financial Services, Inc.	24,877,077	11,947,251
Increase in servicing advances	(16,930)	(14,347)
(Increase) decrease in due from PennyMac Financial Services, Inc.	(2,090)	2,163
Increase in other assets	(14,891)	(70,252)
Increase in accounts payable and accrued liabilities	10,624	6,038
(Decrease) increase in payable to PennyMac Financial Services, Inc.	(6,487)	3,076
(Decrease) increase in income taxes payable	(8,715)	6,273
Net cash used in operating activities	(526,202)	383,396
Cash flows from investing activities
Net decrease in short-term investments	108,382	54,946
Purchases of mortgage-backed securities at fair value	(62,224)	(73,922)
Repayments of mortgage-backed securities at fair value	52,520	9,830
Purchases of mortgage loans at fair value	(241,981)	(283,017)
Sales and repayments of mortgage loans at fair value	215,630	532,375
Repayments of mortgage loans under forward purchase agreements at fair value	0	6,413
Purchases of excess servicing spread from PennyMac Financial Services, Inc.	(271,452)	(82,646)
Repayments of excess servicing spread by PennyMac Financial Services, Inc.	55,800	25,280
Purchase of Federal Home Loan Bank capital stock	(7,330)	0
Settlements of derivative financial instruments	(8,766)	(7,879)
Sale of mortgage loans at fair value to PennyMac Financial Services, Inc.	1,466	0
Purchase of real estate acquired in settlement of loans	0	(3,049)
Sales of real estate acquired in settlement of loans	174,784	124,794
Sales of real estate acquired in settlement of loans under forward purchase agreements	0	5,365
Sale of mortgage servicing rights	392	137
Deposits of cash collateral to variable interest entities	(87,891)	0
Decrease (increase) in margin deposits and restricted cash	1,438	(350)
Net cash (used) provided by investing activities	(69,232)	308,277
Cash flows from financing activities
Sales of assets under agreement to repurchase	38,669,898	26,109,117
Repurchases of assets sold under agreements to repurchase	(38,534,306)	(25,732,035)
Sales of mortgage loan participation certificates	3,613,090	0
Repayments of mortgage loan participation certificates	(3,572,232)	0
Issuances of credit risk transfer financing	1,204,187	0
Repayments of credit risk transfer financing	(1,204,187)	0
Federal Home Loan Bank advances	461,484	0
Repayments of Federal Home Loan Bank advances	(278,484)	0
Advances under note payable	346,179	0
Repayments under note payable	(153,765)	0
Repayments of borrowings under forward purchase agreements	0	(227,866)
Issuances of asset-backed secured financing at fair value	85,206	0
Repayments of asset-backed secured financing at fair value	(15,590)	(6,161)
Payments of debt issuance cost and commitment fees	(8,436)	0
Issuances of common shares	8	82,453
Repurchases of common shares	(15,955)	0
Payments of common share underwriting and offering costs	0	(1,052)
Payments of contingent underwriting fees payable	(705)	(1,295)
Payments of dividends	(138,041)	(128,966)
Net cash provided financing activities	608,351	94,195
Net increase in cash	12,917	19,076
Cash at beginning of period	76,386	27,411
Cash at end of period	89,303	46,487
PennyMac Financial Services, Inc. [Member]
Cash flows from financing activities
Advances under note payable to PennyMac Financial Services, Inc.	168,546	0
Repayments under note payable to PennyMac Financial Services, Inc.	$ (18,546)	$ 0

XML

Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) $ in Thousands	Sep. 30, 2015	Dec. 31, 2014
Mortgage-backed securities at fair value, pledged to secure assets sold under agreements to repurchase	$ 306,638	$ 307,363
Mortgage-backed securities at fair value, pledged to secure Federal Home Loan Bank advances	8,961	0
Mortgage loans acquired for sale at fair value, pledged to secure assets sold under agreements to repurchase	903,806	609,608
Mortgage loans acquired for sale at fair value, pledged to secure Federal Home Loan Bank advances	68,937	0
Mortgage loans at fair value, pledged to secure assets sold under agreements to repurchase and asset-backed secured financing of a variable interest entity at fair value	2,485,046	2,709,161
Mortgage loans at fair value, pledged to secure Federal Home Loan Bank advances	140,025	0
Real estate acquired in settlement of loans, pledged to secure assets sold under agreements to repurchase	280,045	150,649
Mortgage servicing rights at fair value	57,751	57,358
Mortgage servicing rights, pledged to secure borrowings under notes payable	$ 423,095	$ 0
Common shares, authorized	500,000,000	500,000,000
Common shares, par value	$ 0.01	$ 0.01
Common shares, issued	73,792,435	74,510,159
Common shares, outstanding	73,792,435	74,510,159
Mortgage Loan Participation and Sale Agreement [Member]
Mortgage loans acquired for sale at fair value, pledged to secure mortgage loan participation and sale agreement	$ 63,162	$ 20,862

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Mortgage Loans at Fair Value

9 Months Ended

Sep. 30, 2015

Text Block [Abstract]

Mortgage Loans at Fair Value

Note 10—Mortgage Loans at Fair Value

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

	September 30, 2015				December 31, 2014
Loan type	Fair value		Unpaid principal balance		Fair value		Unpaid principal balance
	(in thousands)
Distressed mortgage loans:
Nonperforming mortgage loans	$	1,359,441	$	1,888,509	$	1,535,317	$	2,246,585
Performing mortgage loans:
Fixed interest rate		380,322		494,804		322,704		449,496
Adjustable-rate/hybrid		157,265		186,534		127,405		162,329
Interest rate step-up		263,270		367,958		213,999		323,350
Balloon		161		206		158		210
		801,018		1,049,502		664,266		935,385
Fixed interest rate jumbo mortgage loans held in a VIE		477,271		471,496		527,369		517,500
	$	2,637,730	$	3,409,507	$	2,726,952	$	3,699,470
Mortgage loans at fair value pledged to secure :
Assets sold under agreements to repurchase	$	2,390,784			$	2,543,242
FHLB advances	$	140,025			$	—
Asset-backed secured financing	$	477,271			$	527,369

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, 2015	December 31, 2014
	(percentages are at fair value)
Portion of mortgage loans originated between 2005 and 2007	73%	75%
Percentage of fair value of mortgage loans with unpaid-principal balance-to-current-property-value in excess of 100%	46%	55%
Percentage of mortgage loans secured by California real estate	22%	22%
Additional states contributing 5% or more of mortgage loans	New York New Jersey Florida	New York New Jersey Florida

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Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments (Detail)	Sep. 30, 2015	Dec. 31, 2014
Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pull-through rate	44.80%	65.00%
Servicing fee multiple	1.90%	0.70%
Percentage of unpaid principal balance	0.50%	0.20%
Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pull-through rate	99.90%	98.00%
Servicing fee multiple	6.00%	5.20%
Percentage of unpaid principal balance	3.70%	1.30%
Weighted Average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pull-through rate	88.60%	94.90%
Servicing fee multiple	4.50%	4.30%
Percentage of unpaid principal balance	1.20%	1.10%

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Netting of Financial Instruments - Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty (Detail) - USD ($) $ in Thousands	Sep. 30, 2015	Dec. 31, 2014
Derivative [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	$ 2,866,818	$ 2,731,457
Gross amounts, Financial instruments	(2,864,032)	(2,729,027)
Gross amounts, Cash collateral pledged	0	0
Net amount	2,786	2,430
Interest rate lock commitments [Member]
Derivative [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	302	17
Gross amounts, Financial instruments	0	0
Gross amounts, Cash collateral pledged	0	0
Net amount	302	17
Morgan Stanley Bank, N.A. [Member]
Derivative [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	163,104	121,975
Gross amounts, Financial instruments	(163,104)	(121,975)
Gross amounts, Cash collateral pledged	0	0
Net amount	0	0
Credit Suisse First Boston Mortgage Capital LLC [Member]
Derivative [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	861,527	966,155
Gross amounts, Financial instruments	(861,527)	(966,155)
Gross amounts, Cash collateral pledged	0	0
Net amount	0	0
Citibank, N.A. [Member]
Derivative [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	843,743	797,851
Gross amounts, Financial instruments	(843,743)	(797,663)
Gross amounts, Cash collateral pledged	0	0
Net amount	0	188
JPMorgan Chase & Co. [Member]
Derivative [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	446,348	0
Gross amounts, Financial instruments	(446,348)	0
Gross amounts, Cash collateral pledged	0	0
Net amount	0	0
Bank of America, N.A. [Member]
Derivative [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	403,193	508,908
Gross amounts, Financial instruments	(402,917)	(508,908)
Gross amounts, Cash collateral pledged	0	0
Net amount	276	0
Daiwa Capital Markets [Member]
Derivative [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	148,083	126,909
Gross amounts, Financial instruments	(148,083)	(126,909)
Gross amounts, Cash collateral pledged	0	0
Net amount	0	0
RBS Securities [Member]
Derivative [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	0	208,520
Gross amounts, Financial instruments	0	(208,520)
Gross amounts, Cash collateral pledged	0	0
Net amount	0	0
Other [Member]
Derivative [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	2,208	2,225
Gross amounts, Financial instruments	0	0
Gross amounts, Cash collateral pledged	0	0
Net amount	2,208	2,225
Unamortized commitment fees and issuance costs [Member]
Derivative [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	(1,690)	(1,103)
Gross amounts, Financial instruments	1,690	1,103
Gross amounts, Cash collateral pledged	0	0
Net amount	$ 0	$ 0

XML

Netting of Financial Instruments - Summary of Derivative Assets and Collateral Held by Counterparty (Detail) - USD ($) $ in Thousands	Sep. 30, 2015	Dec. 31, 2014
Derivative [Line Items]
Derivative assets, Fair value, Total	$ 16,806	$ 11,107
Financial instruments	0	0
Cash collateral received	0	0
Net amount	16,806	11,107
Interest rate lock commitments [Member]
Derivative [Line Items]
Derivative assets, Fair value, Total	9,109	5,678
Financial instruments	0	0
Cash collateral received	0	0
Net amount	9,109	5,678
RJ O'Brien & Associates, LLC [Member]
Derivative [Line Items]
Derivative assets, Fair value, Total	3,112	3,034
Financial instruments	0	0
Cash collateral received	0	0
Net amount	3,112	3,034
Nomura Securities International, Inc [Member]
Derivative [Line Items]
Derivative assets, Fair value, Total	733	0
Financial instruments	0	0
Cash collateral received	0	0
Net amount	733	0
Fannie Mae Capital Markets [Member]
Derivative [Line Items]
Derivative assets, Fair value, Total	730	0
Financial instruments	0	0
Cash collateral received	0	0
Net amount	730	0
Jefferies Group, LLC [Member]
Derivative [Line Items]
Derivative assets, Fair value, Total	598	133
Financial instruments	0	0
Cash collateral received	0	0
Net amount	598	133
Deutsche Bank [Member]
Derivative [Line Items]
Derivative assets, Fair value, Total	572	124
Financial instruments	0	0
Cash collateral received	0	0
Net amount	572	124
Morgan Stanley Bank, N.A. [Member]
Derivative [Line Items]
Derivative assets, Fair value, Total	531	104
Financial instruments	0	0
Cash collateral received	0	0
Net amount	531	104
Bank of New York Mellon [Member]
Derivative [Line Items]
Derivative assets, Fair value, Total	403	0
Financial instruments	0	0
Cash collateral received	0	0
Net amount	403	0
JPMorgan Chase & Co. [Member]
Derivative [Line Items]
Derivative assets, Fair value, Total	313	0
Financial instruments	0	0
Cash collateral received	0	0
Net amount	313	0
Credit Suisse First Boston Mortgage Capital LLC [Member]
Derivative [Line Items]
Derivative assets, Fair value, Total	188	253
Financial instruments	0	0
Cash collateral received	0	0
Net amount	188	253
Goldman Sachs [Member]
Derivative [Line Items]
Derivative assets, Fair value, Total	186	0
Financial instruments	0	0
Cash collateral received	0	0
Net amount	186	0
Royal Bank of Canada [Member]
Derivative [Line Items]
Derivative assets, Fair value, Total	173	0
Financial instruments	0	0
Cash collateral received	0	0
Net amount	173	0
Daiwa Capital Markets [Member]
Derivative [Line Items]
Derivative assets, Fair value, Total	100	29
Financial instruments	0	0
Cash collateral received	0	0
Net amount	100	29
Bank of America, N.A. [Member]
Derivative [Line Items]
Derivative assets, Fair value, Total	0	738
Financial instruments	0	0
Cash collateral received	0	0
Net amount	0	738
Other [Member]
Derivative [Line Items]
Derivative assets, Fair value, Total	58	1,014
Financial instruments	0	0
Cash collateral received	0	0
Net amount	$ 58	$ 1,014

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Assets Sold Under Agreements to Repurchase - Summary of Maturities of Outstanding Assets Sold under Agreements to Repurchase by Facility Maturity Date (Detail) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014
Assets Sold under Agreements to Repurchase [Line Items]
Maturity of repurchase agreements	$ 2,865,722	$ 2,416,686
Securities sold under agreements to repurchase at fair value [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Maturity of repurchase agreements	$ 2,865,722
Weighted average maturity	4 years 6 months
Securities sold under agreements to repurchase at fair value [Member] | Within 30 days [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Maturity of repurchase agreements	$ 1,521,695
Securities sold under agreements to repurchase at fair value [Member] | Over 30 to 90 days [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Maturity of repurchase agreements	413,728
Securities sold under agreements to repurchase at fair value [Member] | Over 90 days to 180 days [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Maturity of repurchase agreements	252,357
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	290,986
Securities sold under agreements to repurchase at fair value [Member] | Maturity One Year To Two Years [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Maturity of repurchase agreements	$ 386,956

XML

Asset-Backed Secured Financing of a Variable Interest Entity at Fair Value - Summary of Financial Information Relating to Asset-Backed Secured Financing of Variable Interest Entity (Detail) - Asset-backed secured financing of the variable interest entity at fair value [Member] - Variable Interest Entity [Member] - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
During the period:
Weighted-average fair value	$ 170,262	$ 168,923	$ 165,024	$ 168,186
Interest expense	$ 1,787	$ 1,584	$ 4,671	$ 4,762
Weighted-average effective interest rate	3.30%	3.67%	3.35%	3.73%
At period end:
Fair value	$ 234,287	$ 166,841	$ 234,287	$ 166,841
Interest rate	3.50%	3.50%

XML

Other Expenses - Summary of Other Expenses (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Other Non operating Income Expense [Line Items]
Total other expenses	$ 7,327	$ 7,384	$ 22,006	$ 18,604
Loan origination [Member]
Other Non operating Income Expense [Line Items]
Total other expenses	1,367	1,202	3,496	1,637
Common overhead allocation from PFSI [Member]
Other Non operating Income Expense [Line Items]
Total other expenses	2,550	2,802	7,487	8,018
Servicing and collection costs [Member]
Other Non operating Income Expense [Line Items]
Total other expenses	1,853	2,064	6,480	5,809
Insurance [Member]
Other Non operating Income Expense [Line Items]
Total other expenses	309	247	984	738
Technology [Member]
Other Non operating Income Expense [Line Items]
Total other expenses	307	246	910	720
Other [Member]
Other Non operating Income Expense [Line Items]
Total other expenses	$ 941	$ 823	$ 2,649	$ 1,682

XML

Mortgage Servicing Rights - Summary of Net Loan Servicing Fees (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Transfers and Servicing [Abstract]
Contractually-specified servicing fees	$ 25,500	$ 19,345	$ 74,016	$ 54,396

XML

Document and Entity Information - shares	9 Months Ended
	Sep. 30, 2015	Nov. 04, 2015
Document And Entity Information [Abstract]
Document Type	10-Q
Amendment Flag	false
Document Period End Date	Sep. 30, 2015
Document Fiscal Year Focus	2015
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		73,767,435

XML

Mortgage Loan Participation and Sale Agreement - Summary of Mortgage Loan Participation and Sale Agreements (Detail) - USD ($)	3 Months Ended	9 Months Ended
	Sep. 30, 2015	Sep. 30, 2015	Dec. 31, 2014	Sep. 30, 2014
At period end:
Unamortized debt issuance costs	$ (5,195,000)	$ (5,195,000)		$ (6,156,000)
Mortgage loan participation and sale agreements, At period end	$ 61,078,000	$ 61,078,000	$ 20,222,000
Mortgage Loan Participation and Sale Agreement [Member]
During the period:
Weighted-average interest rate	1.44%	1.43%
Average balance	$ 48,832,000	$ 50,933,000
Total interest expense	226,000	699,000
Maximum daily amount outstanding	120,374,000	148,032,000
At period end:
Amount outstanding	61,093,000	61,093,000
Unamortized debt issuance costs	(16,000)	(16,000)
Mortgage loan participation and sale agreements, At period end	$ 61,078,000	61,078,000
Weighted-average interest rate	1.44%
Mortgage loans pledged to secure mortgage loan participation and sale agreement	$ 63,162,000	$ 63,162,000	$ 20,862,000

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Real Estate Acquired in Settlement of Loans

9 Months Ended

Sep. 30, 2015

Banking and Thrift [Abstract]

Real Estate Acquired in Settlement of Loans

Note 11—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,
	2015			2014			2015			2014
	(in thousands)
Balance at beginning of period	$	324,278		$	240,471		$	303,228		$	138,942
Purchases		—			—			—			3,049
Transfers from mortgage loans at fair value and servicing advances		82,405			94,530			240,483			268,677
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment		(2,212	)		—			(3,505	)		—
Transfers from REO under forward purchase agreements		—			—			—			12,737
Results of REO:
Valuation adjustments, net		(8,734	)		(15,639	)		(26,740	)		(32,912	)
Gain on sale, net		4,513			3,713			14,881			9,485
		(4,221	)		(11,926	)		(11,859	)		(23,427	)
Proceeds from sales		(46,687	)		(47,890	)		(174,784	)		(124,793	)
Balance at end of period	$	353,563		$	275,185		$	353,563		$	275,185
At period end:
REO pledged to secure assets sold under agreements to repurchase	$	280,045		$	56,702
REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties	$	—		$	19,858

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Transactions with Related Parties - Note Payable - Additional Information (Detail) - USD ($)	9 Months Ended
	Sep. 30, 2015	Apr. 30, 2015
Loan Agreement [Member]
Mortgage Loans on Real Estate [Line Items]
Maximum borrowing capacity of loan amount		$ 150,000,000
Additional fee payable, description	PMH and PLS have agreed that PMH is required to repay PLS the principal amount of such borrowings plus accrued interest to the date of such repayment, and PLS is required to repay its lender the corresponding amount under the lending facility. Interest accrues under the underlying loan and security agreement at a rate based on the nonaffiliate lender’s cost of funds. PMH was also required to pay PLS a fee for the structuring of the underlying loan and security agreement in an amount equal to the portion of the corresponding fee paid by PLS to the nonaffiliate lender under the lending facility and allocable to the $150 million relating to the ESS financing.
PennyMac Holdings, LLC [Member]
Mortgage Loans on Real Estate [Line Items]
Maximum borrowing capacity of loan amount		150,000,000
Penny Mac Loan Services LLC [Member]
Mortgage Loans on Real Estate [Line Items]
Maximum borrowing capacity of loan amount		$ 407,000,000

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Netting of Financial Instruments - Summary of Offsetting of Derivative Assets (Detail) - USD ($) $ in Thousands	Sep. 30, 2015	Dec. 31, 2014
Derivative [Line Items]
Gross amounts of recognized assets	$ 36,698	$ 13,391
Gross amounts offset in the consolidated balance sheet	(19,892)	(2,284)
Net amounts of assets presented in the consolidated balance sheet	16,806	11,107
Net derivatives related to CRT Agreements [Member]
Derivative [Line Items]
Gross amounts of recognized assets	626	0
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	626	0
MBS put options [Member]
Derivative [Line Items]
Gross amounts of recognized assets	0	374
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	0	374
MBS call options [Member]
Derivative [Line Items]
Gross amounts of recognized assets	0	0
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	0	0
Forward purchase contracts [Member]
Derivative [Line Items]
Gross amounts of recognized assets	22,985	3,775
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	22,985	3,775
Forward sales contracts [Member]
Derivative [Line Items]
Gross amounts of recognized assets	15	52
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	15	52
Interest rate lock commitments [Member]
Derivative [Line Items]
Gross amounts of recognized assets	9,109	5,678
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	9,109	5,678
Put options on interest rate futures [Member]
Derivative [Line Items]
Gross amounts of recognized assets	693	193
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	693	193
Call options on interest rate futures [Member]
Derivative [Line Items]
Gross amounts of recognized assets	3,270	3,319
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	3,270	3,319
Treasury future contracts [Member]
Derivative [Line Items]
Gross amounts of recognized assets	0	0
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	0	0
Netting [Member]
Derivative [Line Items]
Gross amounts of recognized assets	0	0
Gross amounts offset in the consolidated balance sheet	(19,892)	(2,284)
Net amounts of assets presented in the consolidated balance sheet	(19,892)	(2,284)
Derivatives subject to master netting arrangements [Member]
Derivative [Line Items]
Gross amounts of recognized assets	26,963	7,713
Gross amounts offset in the consolidated balance sheet	(19,892)	(2,284)
Net amounts of assets presented in the consolidated balance sheet	7,071	5,429
Derivatives not subject to master netting arrangements [Member]
Derivative [Line Items]
Gross amounts of recognized assets	36,698	13,391
Gross amounts offset in the consolidated balance sheet	(19,892)	(2,284)
Net amounts of assets presented in the consolidated balance sheet	$ 16,806	$ 11,107

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Consolidated Statements of Income (Unaudited) - USD ($) shares in Thousands, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Net investment income
Interest income	$ 61,438	$ 41,236	$ 147,456	$ 129,100
Interest expense
Interest expense	37,760	22,020	93,245	63,660
Net interest income	23,678	19,216	54,211	65,440
Net gain on mortgage loans acquired for sale	13,884	9,509	35,219	29,702
Loan origination fees	9,135	6,447	21,701	13,288
Net gain on investments	24,958	70,390	51,019	186,109
Net loan servicing fees	20,791	10,533	41,810	26,712
Results of real estate acquired in settlement of loans	(4,221)	(11,926)	(11,859)	(23,900)
Other	2,549	2,361	6,095	6,330
Net investment income	90,774	106,530	198,196	303,681
Expenses
Loan fulfillment fees	17,553	15,497	45,752	36,832
Loan servicing fees	11,736	12,325	34,542	41,096
Management fees	5,742	9,623	18,524	26,609
Compensation	1,550	1,843	5,748	6,668
Professional services	1,759	1,927	5,249	6,348
Other	7,327	7,384	22,006	18,604
Total expenses	45,667	48,599	131,821	136,157
Income before provision for (benefit from) income taxes	45,107	57,931	66,375	167,524
Provision for (benefit from) income taxes	6,295	2,982	(8,016)	(509)
Net income	$ 38,812	$ 54,949	$ 74,391	$ 168,033
Earnings per share
Basic	$ 0.51	$ 0.74	$ 0.98	$ 2.28
Diluted	$ 0.49	$ 0.69	$ 0.95	$ 2.13
Weighted-average shares outstanding
Basic	74,681	74,140	74,675	73,254
Diluted	83,411	82,832	83,486	81,978
Dividends declared per share	$ 0.47	$ 0.61	$ 1.69	$ 1.79
Nonaffiliates [Member]
Net investment income
Interest income	$ 53,412	$ 37,659	$ 129,860	$ 119,522
Interest expense
Interest expense	36,471	22,020	91,423	63,660
Net gain on investments	32,802	77,786	56,521	203,943
PennyMac Financial Services, Inc. [Member]
Net investment income
Interest income	8,026	3,577	17,596	9,578
Interest expense
Interest expense	1,289	0	1,822	0
Net gain on investments	$ (7,844)	$ (7,396)	$ (5,502)	$ (17,834)

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Loan Sales and Variable Interest Entities

9 Months Ended

Sep. 30, 2015

Organization, Consolidation and Presentation of Financial Statements [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 purposes. 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 (“UPB”) information at period end:

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Cash flows:
Proceeds from sales	$	4,885,668	$	3,745,193	$	10,593,309	$	8,534,637
Servicing fees received (1)	$	25,054	$	17,797	$	69,876	$	52,704
Period end information:
Unpaid principal balance of:
Mortgage loans outstanding	$	39,786,376	$	32,134,609
Delinquent mortgage loans:
30-89 days delinquent	$	154,346	$	87,374
90 or more days delinquent
Not in foreclosure or bankruptcy		25,243		20,708
In foreclosure or bankruptcy		30,406		11,583
		55,649		32,291
	$	209,995	$	119,665

(1) Net of guarantee fees.

Consolidated VIEs

Credit Risk Transfer (“CRT”) Transactions

The Company, through its wholly-owned subsidiary, PennyMac Corp. (“PMC”), entered into CRT arrangements with Fannie Mae, pursuant to which PMC, through subsidiary trust entities, may sell pools of mortgage loans into Fannie Mae-guaranteed securitizations while retaining a portion of the credit risk underlying such mortgage loans (the “CRT Agreements”).

Transfers of mortgage loans subject to CRT Agreements receive sale accounting treatment upon fulfillment of the criteria for sale recognition contained in the Transfers and Servicing topic of the FASB’s ASC.

The Company retains a portion of the credit risk underlying such mortgage loans by issuing a credit guarantee to Fannie Mae in exchange for a portion of the guarantee fee normally charged by Fannie Mae for mortgage loan securitizations that it guarantees. The mortgage loans subject to the CRT Agreements are transferred by PMC to subsidiary trust entities which sell the mortgage loans into Fannie Mae mortgage loan securitizations and issue the credit guarantees to Fannie Mae.

The Manager has concluded that the Company’s subsidiary trust entities are VIEs. The Manager concluded that the Company is the primary beneficiary of the VIEs as it is the holder of the primary beneficial interests which absorb the variability of the trusts’ results of operations. Consolidation of the VIEs results in the inclusion on the Company’s consolidated balance sheet of the credit guarantees, including the cash pledged to fulfill the guarantee obligation, on the Company’s consolidated balance sheet in the form of a net derivative and the restricted cash deposited to secure the guarantee obligation. The restricted cash represents the Company’s maximum contractual exposure to claims under its credit guarantee and is the sole source of settlement of losses under the CRT Agreements. Gains and losses on net derivatives related to CRT Agreements are included in net gain on investments in the consolidated statements of income.

Following is a summary of the CRT Agreements:

	Quarter ended September 30,		Nine months ended September 30,
	2015		2015
	(in thousands)
During the period:
UPB of mortgage loans transferred and sold under CRT Agreements	$	1,660,280	$	2,400,433
Restricted cash deposited to fund guarantees	$	59,841	$	87,891
Gains recognized on net derivatives related to CRT Agreements
Realized	$	—	$	—
Resulting from valuation changes		626		626
	$	626	$	626
Payments made to settle losses	$	—	$	—
At period end:
UPB of mortgage loans subject to guarantee obligation	$	2,400,433
Delinquency
Current—89 days delinquent	$	2,400,433
90 or more days delinquent		—
	$	2,400,433
Carrying value of CRT Agreements:
Restricted cash included in Other assets	$	87,891
Net derivative assets included in Derivative assets		626
	$	88,517

Jumbo Mortgage Loan Financing

On September 30, 2013, the Company completed a securitization transaction in which a VIE issued $537.0 million in UPB of 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. During the quarter ended September 30, 2015, the Company sold an additional $85.2 million in certificates issued under PMT Loan Trust 2013-J1, thereby reducing the certificates retained by the Company to $238.8 million as of September 30, 2015.

The Manager 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 a 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.

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Earnings Per Share

9 Months Ended

Sep. 30, 2015

Earnings Per Share [Abstract]

Earnings Per Share

Note 4—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 by dividing net income, reduced by income attributable to the participating securities, 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 “Exchangeable 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,
	2015			2014			2015			2014
	(in thousands except per share amounts)
Basic earnings per share:
Net income		38,812		$	54,949		$	74,391		$	168,033
Effect of participating securities—share-based compensation awards		(361	)		(305	)		(1,352	)		(1,360	)
Net income attributable to common shareholders	$	38,451		$	54,644		$	73,039		$	166,673
Diluted earnings per share:
Net income attributable to common shareholders	$	38,451		$	54,949		$	73,039		$	168,033
Interest on Exchangeable Notes, net of income taxes		2,123			2,081			6,364			6,237
Net income attributable to diluted shareholders	$	40,574		$	57,030		$	79,403		$	174,270
Weighted-average basic shares outstanding		74,681			74,140			74,675			73,254
Potentially dilutive securities:
Shares issuable pursuant to exchange of the Exchangeable Notes		8,414			8,401			8,414			8,401
Shares issuable under share-based compensation plan		316			291			397			323
Diluted weighted-average number of shares outstanding		83,411			82,832			83,486			81,978
Basic earnings per share	$	0.51		$	0.74		$	0.98		$	2.28
Diluted earnings per share	$	0.49		$	0.69		$	0.95		$	2.13

Dividends and undistributed earnings allocated to participating securities under the basic and diluted earnings per share calculations require specific shares to be included or excluded that may differ in certain circumstances.

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Net Loan Servicing Fees - Summary of Net Loan Servicing Fees (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Components of Net Servicing Fee Income [Line Items]
Servicing fees	$ 25,500	$ 20,300	$ 74,016	$ 56,988
MSR recapture fee receivable from PFSI	670	0	670	9
Effect of MSRs:
Carried at lower of amortized cost or fair value Amortization	(11,333)	(8,109)	(30,913)	(23,170)
(Provision for) reversal of impairment	(7,845)	602	(7,142)	(2,249)
Gain on sale	4	0	87	0
Carried at fair value-change in fair value	(5,266)	(1,606)	(8,776)	(8,398)
Total Effect of MSRs	(5,379)	(9,767)	(32,876)	(30,285)
Net loan servicing fees	20,791	10,533	41,810	26,712
Average servicing portfolio	38,172,371	30,701,324	36,446,663	28,597,033
Mortgage service rights [Member]
Effect of MSRs:
Gains (losses) on hedging derivatives	$ 19,061	$ (654)	$ 13,868	$ 3,532

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Federal Home Loan Bank Advances

9 Months Ended

Sep. 30, 2015

Banking and Thrift [Abstract]

Federal Home Loan Bank Advances

Note 16—Federal Home Loan Bank Advances

In June 2015, the Company entered into a collateral, pledge, and security agreement with the Federal Home Loan Bank of Des Moines with no specified termination date. The Company may request advances up to a maximum of $400.0 million. The Company is required to comply with certain financial covenants and must also maintain capital stock equal to at least 4% of the outstanding balance of FHLB advances.

The FHLB advances are summarized below:

	Quarter ended September 30, 2015			Nine months ended September 30, 2015
	(dollars in thousands)
During the period:
Weighted-average interest rate		0.27	%		0.27	%
Average balance	$	170,902		$	58,100
Total interest expense	$	117		$	119
Maximum daily amount outstanding	$	188,834		$	188,834
At period end:
Balance	$	183,000
Weighted-average interest rate		0.27	%
Fair value of assets securing FHLB advances:
Mortgage-backed securities	$	8,961
Mortgage loans acquired for sale at fair value		68,937
Mortgage loans at fair value		140,025
	$	217,923

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Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements

9 Months Ended

Sep. 30, 2015

Text Block [Abstract]

Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements

Note 12—Real Estate Acquired in Settlement of Loans Under Forward Purchase Agreements

The Company held no real estate acquired in settlement of loans under forward purchase agreements during the quarter and nine months ended September 30, 2015. Following is a summary of the activity in REO under forward purchase agreements during the quarter and nine months ended September 30, 2014:

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

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Transactions with Related Parties - Summary of Expenses (Parenthetical) (Detail) - USD ($)	3 Months Ended	9 Months Ended
	Sep. 30, 2015	Sep. 30, 2015
PNMAC Capital Management LLC [Member]
Related Party Transaction [Line Items]
Waiver of overhead expenses	$ 900,000	$ 1,600,000

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Mortgage Loans Acquired for Sale at Fair Value

9 Months Ended

Sep. 30, 2015

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, 2015				December 31, 2014
Loan type	Fair value		Unpaid principal balance		Fair value		Unpaid principal balance
	(in thousands)
Conventional:
Agency-eligible	$	601,394	$	575,458	$	287,300	$	274,650
Jumbo		69,157		67,544		137,440		134,079
Held for sale to PennyMac Loan Services, LLC—Government insured or guaranteed		373,812		354,529		209,325		198,265
Commercial real estate loan		1,851		1,798		—		—
Mortgage loans repurchased pursuant to representations and warranties		4,082		4,291		3,657		3,634
	$	1,050,296	$	1,003,620	$	637,722	$	610,628
Mortgage loans pledged to secure:
Assets sold under agreements to repurchase	$	903,806			$	609,608
Mortgage loan participation and sale agreements	$	63,162			$	20,862
Federal Home Loan Bank (“FHLB”) advances	$	68,937			$	—

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 UPB plus interest earned during the period it holds each such mortgage loan.

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Segments and Related Information - Financial Highlights by Operating Segment (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014	Dec. 31, 2014
Net investment income:
Interest income	$ 61,438	$ 41,236	$ 147,456	$ 129,100
Interest expense	(37,760)	(22,020)	(93,245)	(63,660)
Net interest income	23,678	19,216	54,211	65,440
Net gain on mortgage loans acquired for sale	13,884	9,509	35,219	29,702
Net gain on investments	24,958	70,390	51,019	186,109
Net loan servicing fees	20,791	10,533	41,810	26,712
Other income (loss)	7,463	(3,118)	15,937	(4,282)
Net investment income	90,774	106,530	198,196	303,681
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.	35,031	37,445	98,818	104,537
Other	10,636	11,154	33,003	31,620
Total expenses	45,667	48,599	131,821	136,157
Pre-tax income	45,107	57,931	66,375	167,524
Total assets at period end	5,592,231	4,604,813	5,592,231	4,604,813	$ 4,897,258
Operating segments [Member] | Correspondent production [Member]
Net investment income:
Interest income	13,748	7,727	29,858	16,948
Interest expense	(6,370)	(3,660)	(14,953)	(12,196)
Net interest income	7,378	4,067	14,905	4,752
Net gain on mortgage loans acquired for sale	13,884	9,509	35,219	29,702
Net gain on investments	0	0	0	0
Net loan servicing fees	0	0	0	0
Other income (loss)	9,154	6,524	21,857	13,365
Net investment income	30,416	20,100	71,981	47,819
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.	18,367	15,900	47,313	37,701
Other	1,876	1,410	4,803	2,248
Total expenses	20,243	17,310	52,116	39,949
Pre-tax income	10,173	2,790	19,865	7,870
Total assets at period end	1,073,070	708,442	1,073,070	708,442
Operating segments [Member] | Investment activities [Member]
Net investment income:
Interest income	47,690	33,509	117,598	114,540
Interest expense	(31,390)	(18,360)	(78,292)	(53,852)
Net interest income	16,300	15,149	39,306	60,688
Net gain on mortgage loans acquired for sale	0	0	0	0
Net gain on investments	24,958	70,390	51,019	186,109
Net loan servicing fees	20,791	10,533	41,810	26,712
Other income (loss)	(1,691)	(9,642)	(5,920)	(17,647)
Net investment income	60,358	86,430	126,215	255,862
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.	16,664	21,545	51,505	66,836
Other	8,760	9,744	28,200	29,372
Total expenses	25,424	31,289	79,705	96,208
Pre-tax income	34,934	55,141	46,510	159,654
Total assets at period end	4,519,161	3,896,371	4,519,161	3,896,371
Intersegment elimination & other [Member]
Net investment income:
Interest income	0	0	0	(2,388)
Interest expense	0	0	0	2,388
Net interest income	0	0	0	0
Net gain on mortgage loans acquired for sale	0	0	0	0
Net gain on investments	0	0	0	0
Net loan servicing fees	0	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	0
Other	0	0	0	0
Total expenses	0	0	0	0
Pre-tax income	0	0	0	0
Total assets at period end	$ 0	$ 0	$ 0	$ 0

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Notes Payable (Tables)

9 Months Ended

Sep. 30, 2015

Text Block [Abstract]

Summary of Financial Information Relating to Note Payable

Following is a summary of financial information relating to the notes payable:

	Quarter ended September 30, 2015			Nine months ended September 30, 2015
	(dollars in thousands)
During the period:
Weighted-average interest rate (1)		4.25	%		4.24	%
Average balance	$	195,030		$	85,907
Total interest expense	$	2,375		$	3,369
Maximum daily amount outstanding	$	198,191		$	198,191
At period end:
Amount outstanding	$	192,332
Weighted-average interest rate		4.39	%
Mortgage servicing rights pledged to secure notes payable	$	423,095

(1) Excludes the effect of amortization of commitment fees and issuance costs of $562,000 and $915,000 for the quarter and nine months ended September 30, 2015.

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Subsequent Events - Additional Information (Detail)		9 Months Ended
	Oct. 22, 2015 USD ($)	Sep. 30, 2015 USD ($)	Oct. 16, 2015 USD ($)
PennyMac Holdings, LLC [Member]
Subsequent Event [Line Items]
Minimum adjusted tangible net worth required		$ 250,000,000
PennyMac Corp. [Member]
Subsequent Event [Line Items]
Minimum adjusted tangible net worth required		$ 150,000,000
Amended Loan Repo Facility and NPL Repurchase Agreement [Member]
Subsequent Event [Line Items]
Repurchase agreement, covenants description		The Repurchase Agreements together require the Company to maintain various financial and other covenants, which include maintaining (i) a minimum adjusted tangible net worth at all times greater than or equal to $830 million; (ii) a minimum in unrestricted cash and cash equivalents among the Company and its subsidiaries at all times equal to or greater than $40 million; (iii) a ratio of total liabilities to adjusted tangible net worth at all times less than 5:1; and (iv) profitability of at least $1.00 for at least one (1) of the previous two (2) consecutive fiscal quarters, as of the end of each fiscal quarter.
Amended Loan Repo Facility and NPL Repurchase Agreement [Member] | PennyMac Corp. and PennyMac Holdings, LLC [Member]
Subsequent Event [Line Items]
Repurchase agreement, covenants description		The Repurchase Agreements together also require PMH and PMC to maintain various financial and other covenants, which include maintaining (i) a minimum adjusted tangible net worth at all times greater than or equal to $220 million for PMH and $140 million for PMC; (ii) a minimum in unrestricted cash and cash equivalents between PMH and PMC at all times greater than or equal to $25 million in the aggregate; and (iii) a ratio of total liabilities to adjusted tangible net worth at all times less than 10:1 for each of PMH and PMC.
Amended Loan Repo Facility and NPL Repurchase Agreement [Member] | Penny Mac Loan Services LLC [Member]
Subsequent Event [Line Items]
Repurchase agreement, covenants description		The Repurchase Agreements together also require PLS to maintain various financial and other covenants, which include maintaining (i) a minimum adjusted tangible net worth at all times greater than or equal to $170 million; (ii) a minimum in unrestricted cash and cash equivalents at all times greater than or equal to $20 million; (iii) a ratio of total liabilities to adjusted tangible net worth at all times less than 10:1; and (iv) profitability of at least $1.00 for each fiscal quarter.
Subsequent Event [Member] | Amended Loan Repo Facility and NPL Repurchase Agreement [Member]
Subsequent Event [Line Items]
Minimum adjusted tangible net worth required	$ 830,000,000
Unrestricted cash and cash equivalents required	$ 40,000,000
Total liabilities to adjusted tangible net worth ratio	5
Minimum profitability for each fiscal quarter	$ 1.00
Subsequent Event [Member] | Amended Loan Repo Facility and NPL Repurchase Agreement [Member] | PennyMac Corp. and PennyMac Holdings, LLC [Member]
Subsequent Event [Line Items]
Date of amendments to repurchase agreement	Oct. 22, 2015
Repurchase agreements maturity date	Oct. 20, 2016
Repurchase agreement, amount committed	$ 925,000,000
Subsequent Event [Member] | Amended Loan Repo Facility and NPL Repurchase Agreement [Member] | PennyMac Corp. and PennyMac Holdings, LLC [Member] | Maximum [Member]
Subsequent Event [Line Items]
Repurchase agreement, aggregate purchase price	1,075,000,000
Subsequent Event [Member] | Amended Loan Repo Facility and NPL Repurchase Agreement [Member] | PennyMac Holdings, LLC [Member]
Subsequent Event [Line Items]
Minimum adjusted tangible net worth required	220,000,000
Unrestricted cash and cash equivalents required	$ 25,000,000
Total liabilities to adjusted tangible net worth ratio	10
Subsequent Event [Member] | Amended Loan Repo Facility and NPL Repurchase Agreement [Member] | PennyMac Corp. [Member]
Subsequent Event [Line Items]
Minimum adjusted tangible net worth required	$ 140,000,000
Unrestricted cash and cash equivalents required	$ 25,000,000
Total liabilities to adjusted tangible net worth ratio	10
Subsequent Event [Member] | Amended Loan Repo Facility and NPL Repurchase Agreement [Member] | Penny Mac Loan Services LLC [Member]
Subsequent Event [Line Items]
Minimum adjusted tangible net worth required	$ 170,000,000
Unrestricted cash and cash equivalents required	$ 20,000,000
Total liabilities to adjusted tangible net worth ratio	10
Minimum profitability for each fiscal quarter	$ 1.00
Subsequent Event [Member] | Jumbo Mortgage Loan Financing [Member]
Subsequent Event [Line Items]
Certificates issued			$ 25,300,000
Certificates retained			$ 213,500,000

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Derivative Financial Instruments - Net Gains (Losses) Recognized on Derivative Financial Instruments (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Fixed-rate assets and LIBOR- indexed repurchase agreements [Member] | Net gain on investments [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) on derivative financial instruments used as economic hedges	$ (6,772)	$ (807)	$ (18,065)	$ (14,609)
Mortgage loans acquired for sale at fair value [Member] | Mortgage loans acquired for sale [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) on derivative financial instruments used as economic hedges	(33,652)	(4,503)	(23,198)	(44,003)
Mortgage service rights [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) on derivative financial instruments used as economic hedges	19,061	(654)	13,868	3,532
Mortgage service rights [Member] | Net loan servicing fees [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) on derivative financial instruments used as economic hedges	$ 19,061	$ (654)	$ 13,868	$ 3,532

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Netting of Financial Instruments

9 Months Ended

Sep. 30, 2015

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 (“IRLCs”), mortgage loans acquired for sale at fair value, mortgage loans at fair value held in VIE, 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 and the net derivatives related to CRT Agreements. As of September 30, 2015 and December 31, 2014, the Company did not enter into reverse repurchase agreements or securities lending transactions that are required to be disclosed in the following tables.

Offsetting of Derivative Assets

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

	September 30, 2015								December 31, 2014
	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	$	—	$	—		$	—		$	374	$	—		$	374
MBS call options		—		—			—			—		—			—
Forward purchase contracts		22,985		—			22,985			3,775		—			3,775
Forward sale contracts		15		—			15			52		—			52
Put options on interest rate futures		693		—			693			193		—			193
Call options on interest rate futures		3,270		—			3,270			3,319		—			3,319
Treasury futures contracts		—		—			—			—		—			—
Netting		—		(19,892	)		(19,892	)		—		(2,284	)		(2,284	)
		26,963		(19,892	)		7,071			7,713		(2,284	)		5,429
Derivatives not subject to master netting arrangements:
Interest rate lock commitments		9,109		—			9,109			5,678		—			5,678
Net derivatives related to CRT Agreements		626		—			626			—		—			—
	$	36,698	$	(19,892	)	$	16,806		$	13,391	$	(2,284	)	$	11,107

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 qualifying for netting.

	September 30, 2015								December 31, 2014
	Net amount of assets presented in the consolidated balance sheet		Gross amounts not offset in the consolidated balance sheet						Net amount of assets presented in the consolidated balance sheet		Gross amounts not offset in the consolidated balance sheet
			Financial instruments		Cash collateral received		Net amount				Financial instruments		Cash collateral received		Net amount
	(in thousands)
Interest rate lock commitments	$	9,109	$	—	$	—	$	9,109	$	5,678	$	—	$	—	$	5,678
RJ O’Brien & Associates, LLC		3,112		—		—		3,112		3,034		—		—		3,034
Nomura Securities International, Inc		733		—		—		733		—		—		—		—
Fannie Mae Capital Markets		730		—		—		730		—		—		—		—
Jefferies Group, LLC		598		—		—		598		133		—		—		133
Deutsche Bank		572		—		—		572		124		—		—		124
Morgan Stanley Bank, N.A.		531		—		—		531		104		—		—		104
Bank of New York Mellon		403		—		—		403		—		—		—		—
JP Morgan Chase & Co.		313		—		—		313		—		—		—		—
Credit Suisse First Boston Mortgage Capital LLC		188		—		—		188		253		—		—		253
Goldman Sachs		186		—		—		186		—		—		—		—
Royal Bank of Canada		173		—		—		173		—		—		—		—
Daiwa Capital Markets		100		—		—		100		29		—		—		29
Bank of America, N.A.		—		—		—		—		738		—		—		738
Other		58		—		—		58		1,014		—		—		1,014
Total	$	16,806	$	—	$	—	$	16,806	$	11,107	$	—	$	—	$	11,107

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 setoff accounting.

	September 30, 2015									December 31, 2014
	Gross amounts of recognized liabilities in the consolidated balance sheet			Gross amounts offset in the consolidated balance sheet			Net amounts of liabilities presented in the consolidated balance sheet			Gross amounts of recognized liabilities in the consolidated balance sheet			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	$	6		$	—		$	6		$	34		$	—		$	34
Forward sales contracts		21,794			—			21,794			6,649			—			6,649
Treasury futures sales contracts		—			—			—			478			—			478
Netting		—			(19,316	)		(19,316	)		—			(4,748	)		(4,748	)
		21,800			(19,316	)		2,484			7,161			(4,748	)		2,413
Derivatives not subject to master netting arrangements:
Interest rate lock commitments		302			—			302			17			—			17
		22,102			(19,316	)		2,786			7,178			(4,748	)		2,430
Assets sold under agreements to repurchase		2,865,722			—			2,865,722			2,730,130			—			2,730,130
Unamortized commitment fees and issuance cost		(1,690	)		—			(1,690	)		(1,103	)		—			(1,103	)
		2,864,032			—			2,864,032			2,729,027			—			2,729,027
	$	2,886,134		$	(19,316	)	$	2,866,818		$	2,736,205		$	(4,748	)	$	2,731,457

Derivative Liabilities, Financial Liabilities and Collateral Pledged 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 qualifying 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, 2015										December 31, 2014
				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 (1)			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	$	302		$	—		$	—	$	302	$	17		$	—		$	—	$	17
Morgan Stanley Bank, N.A.		163,104			(163,104	)		—		—		121,975			(121,975	)		—		—
Credit Suisse First Boston Mortgage Capital LLC		861,527			(861,527	)		—		—		966,155			(966,155	)		—		—
Citibank		843,743			(843,743	)		—		—		797,851			(797,663	)		—		188
JPMorgan Chase & Co.		446,348			(446,348	)		—		—		—			—			—		—
Bank of America, N.A.		403,193			(402,917	)		—		276		508,908			(508,908	)		—		—
Daiwa Capital Markets		148,083			(148,083	)		—		—		126,909			(126,909	)		—		—
RBS Securities		—			—			—		—		208,520			(208,520	)		—		—
Other		2,208			—			—		2,208		2,225			—			—		2,225
Unamortized commitment fees and issuance cost		(1,690	)		1,690			—		—		(1,103	)		1,103			—		—
Total	$	2,866,818		$	(2,864,032	)	$	—	$	2,786	$	2,731,457		$	(2,729,027	)	$	—	$	2,430

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Fair Value

9 Months Ended

Sep. 30, 2015

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 the Manager has elected to carry the item at its fair value as discussed in the following paragraphs.

Fair Value Accounting Elections

The Manager identified all of the Company’s 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. The Manager 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.

The Manager has also identified the Company’s CRT financing and 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 mortgage loans at fair value collateralizing these financings.

The Company’s subsequent accounting for MSRs is based on the class of MSRs. Originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5% are accounted for using the amortization method. Originated MSRs backed by loans with initial interest rates of more than 4.5% are accounted for at fair value with changes in fair value recorded in current period income.

For assets sold under agreements to repurchase, borrowings under forward purchase agreements and the Exchangeable Notes, the Manager 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 availability 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, 2015
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	31,518	$	—	$	—	$	31,518
Mortgage-backed securities at fair value		—		315,599		—		315,599
Mortgage loans acquired for sale at fair value		—		1,050,296		—		1,050,296
Mortgage loans at fair value		—		477,271		2,160,459		2,637,730
Excess servicing spread purchased from PFSI		—		—		418,573		418,573
Derivative assets:
Interest rate lock commitments		—		—		9,109		9,109
Forward purchase contracts		—		22,985		—		22,985
Forward sales contracts		—		15		—		15
Net derivatives related to CRT Agreements		—		—		626		626
Put options on interest rate futures		693		—		—		693
Call options on interest rate futures		3,270		—		—		3,270
Total derivative assets before netting before netting		3,963		23,000		9,735		36,698
Netting (1)		—		—		—		(19,892	)
Total derivative assets after netting		3,963		23,000		9,735		16,806
Mortgage servicing rights at fair value		—		—		57,751		57,751
	$	35,481	$	1,866,166	$	2,646,518	$	4,528,273
Liabilities:
Asset-backed secured financing of a variable interest entity at fair value		—		234,287		—		234,287
Derivative liabilities:
Interest rate lock commitments		—		—		302		302
Forward purchase contracts		—		6		—		6
Forward sales contracts		—		21,794		—		21,794
Total derivative liabilities before netting		—		21,800		302		22,102
Netting (1)		—		—		—		(19,316	)
Total derivative liabilities after netting		—		21,800		302		2,786
	$	—	$	256,087	$	302	$	237,073

(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, 2014
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	139,900	$	—	$	—	$	139,900
Mortgage-backed securities at fair value		—		307,363		—		307,363
Mortgage loans acquired for sale at fair value		—		637,722		—		637,722
Mortgage loans at fair value		—		527,369		2,199,583		2,726,952
Excess servicing spread purchased from PFSI		—		—		191,166		191,166
Derivative assets:
Interest rate lock commitments		—		—		5,678		5,678
MBS put options		—		374		—		374
Forward purchase contracts		—		3,775		—		3,775
Forward sales contracts		—		52		—		52
Put options on interest rate futures		193		—		—		193
Call options on interest rate futures		3,319		—		—		3,319
Total derivative assets		3,512		4,201		5,678		13,391
Netting (1)		—		—		—		(2,284	)
Total derivative assets after netting		3,512		4,201		5,678		11,107
Mortgage servicing rights at fair value		—		—		57,358		57,358
	$	143,412	$	1,476,655	$	2,453,785	$	4,071,568
Liabilities:
Asset-backed secured financing of a variable interest entity at fair value	$	—	$	165,920	$	—	$	165,920
Derivative liabilities:
Interest rate lock commitments		—		—		17		17
MBS call options		478		—		—		478
Forward purchase contracts		—		34		—		34
Forward sales contracts		—		6,649		—		6,649
Total derivative liabilities		478		6,683		17		7,178
Netting (1)		—		—		—		(4,748	)
Total derivative liabilities		478		6,683		17		2,430
Total liabilities	$	478	$	172,603	$	17	$	168,350

(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, 2015
	Mortgage loans at fair value			Excess servicing spread			Interest rate lock commitments (1)			Net derivatives related to CRT Agreements		Mortgage servicing rights			Total
	(in thousands)
Assets:
Balance, June 30, 2015	$	2,246,944		$	359,102		$	(267	)	$	—	$	57,343		$	2,663,122
Purchases		—			84,165			—			—		—			84,165
Repayments and sales		(57,022	)		(24,717	)		—			—		—			(81,739	)
Capitalization of interest		14,849			8,026			—			—		—			22,875
ESS received pursuant to a recapture agreement with PFSI		—			2,268			—			—		—			2,268
Interest rate lock commitments issued, net		—			—			11,834			—		—			11,834
Servicing received as proceeds from sales of mortgage loans													5,674			5,674
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		9,255			—			—			—		—			9,255
Other factors		22,638			(10,271	)		16,458			626		(5,266	)		24,185
		31,893			(10,271	)		16,458			626		(5,266	)		33,440
Transfers of mortgage loans to REO		(76,205	)		—			—			—		—			(76,205	)
Transfers of interest rate lock commitments to mortgage loans acquired for sale		—			—			(19,218	)		—		—			(19,218	)
Balance, September 30, 2015	$	2,160,459		$	418,573		$	8,807		$	626	$	57,751		$	2,646,216
Changes in fair value recognized during the period relating to assets still held at September 30, 2015	$	32,971		$	(10,271	)	$	8,807		$	626	$	(5,266	)	$	26,867

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

	Quarter ended September 30, 2014
	Mortgage loans at fair value			Excess servicing spread			Net 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	)
Capitalization of interest		10,451			3,577			—			—			14,028
ESS received pursuant to a recapture agreement with PFSI		—			2,619			—			—			2,619
Interest rate lock commitments issued, net		—			—			14,046			—			14,046
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		—			—			(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.

	Nine months ended September 30, 2015
	Mortgage loans at fair value			Excess servicing spread			Interest rate lock commitments (1)			Net derivatives related to CRT Agreements		Mortgage servicing rights			Total
	(in thousands)
Assets:
Balance, December 31, 2014	$	2,199,583		$	191,166		$	5,661		$	—	$	57,358		$	2,453,768
Purchases		241,981			271,452			—			—		—			513,433
Repayments and sales		(171,093	)		(55,800	)		—			—		—			(226,893	)
Capitalization of interest		34,979			17,596			—			—		—			52,575
ESS received pursuant to a recapture agreement with PFSI		—			4,833			—			—		—			4,833
Interest rate lock commitments issued, net		—			—			42,917			—		—			42,917
Servicing received as proceeds from sales of mortgage loans		—			—			—			—		9,169			9,169
Charges in fair value included in income arising from:
Changes in instrument-specific credit risk		29,563			—			—			—		—			29,563
Other factors		49,584			(10,674	)		(6,941	)		626		(8,776	)		23,819
		79,147			(10,674	)		(6,941	)		626		(8,776	)		53,382
Transfers of mortgage loans to REO		(224,138	)		—			—			—		—			(224,138	)
Transfers of interest rate lock commitments to mortgage loans acquired for sale		—			—			(32,830	)		—		—			(32,830	)
Balance, September 30, 2015	$	2,160,459		$	418,573		$	8,807		$	626	$	57,751		$	2,646,216
Changes in fair value recognized during the period relating to assets still held at September 30, 2015	$	80,885		$	(10,674	)	$	8,807		$	626	$	(8,776	)	$	70,868

(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			Net 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	)
Capitalization of interest		39,005			1,800			9,578			—			—			50,383
ESS received pursuant to a recapture agreement with PFSI		—			—			6,093			—			—			6,093
Interest rate lock commitments issued, net		—			—			—			45,800			—			45,800
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 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 held in a consolidated VIE):

	September 30, 2015
	Fair value		Principal amount due upon maturity		Difference
	(in thousands)
Mortgage loans acquired for sale at fair value:
Current through 89 days delinquent	$	1,050,006	$	1,003,249	$	46,757
90 or more days delinquent (1)
Not in foreclosure		85		116		(31	)
In foreclosure		205		254		(49	)
		290		370		(80	)
	$	1,050,296	$	1,003,619	$	46,677
Mortgage loans at fair value:
Mortgage loans held in a consolidated VIE:
Current through 89 days delinquent	$	477,271	$	471,496	$	5,775
90 or more days delinquent (1)
Not in foreclosure		—		—		—
In foreclosure		—		—		—
		—		—		—
		477,271		471,496		5,775
Other mortgage loans at fair value:
Current through 89 days delinquent		801,018		1,049,502		(248,484	)
90 or more days delinquent (1)
Not in foreclosure		533,070		739,183		(206,113	)
In foreclosure		826,371		1,149,326		(322,955	)
		1,359,441		1,888,509		(529,068	)
		2,160,459		2,938,011		(777,552	)
	$	2,637,730	$	3,409,507	$	(771,777	)

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

	December 31, 2014
	Fair value		Principal amount due upon maturity		Difference
	(in thousands)
Mortgage loans acquired for sale:
Current through 89 days delinquent	$	637,518	$	610,372	$	27,146
90 or more days delinquent (1)
Not in foreclosure		204		255		(51	)
In foreclosure		—		—		—
		204		255		(51	)
	$	637,722	$	610,627	$	27,095
Mortgage loans at fair value:
Mortgage loans held in a consolidated VIE:
Current through 89 days delinquent	$	527,369	$	517,500	$	9,869
90 or more days delinquent (1)
Not in foreclosure		—		—		—
In foreclosure		—		—		—
		—		—		—
		527,369		517,500		9,869
Other mortgage loans at fair value:
Current through 89 days delinquent		664,266		935,385		(271,119	)
90 or more days delinquent (1)
Not in foreclosure		608,144		875,214		(267,070	)
In foreclosure		927,173		1,371,371		(444,198	)
		1,535,317		2,246,585		(711,268	)
		2,726,952		3,699,470		(972,518	)
	$	3,364,674	$	4,310,097	$	(945,423	)

(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, 2015
	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		—		91			3,564			—			3,655
Mortgage loans acquired for sale at fair value		39,504		—			—			—			39,504
Mortgage loans at fair value		—		1,024			39,273			—			40,297
Excess servicing spread at fair value		—		—			(7,844	)		—			(7,844	)
Mortgage servicing rights at fair value		—		—			—			(5,266	)		(5,266	)
	$	39,504	$	1,115		$	34,993		$	(5,266	)	$	70,346
Liabilities:
Asset-backed secured financing at fair value		—		(351	)		(3,940	)		—			(4,291	)
	$	—	$	(351	)	$	(3,940	)	$	—		$	(4,291	)

	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
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

	Nine months ended September 30, 2015
	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		—		155			(1,622	)		—			(1,467	)
Mortgage loans acquired for sale at fair value		57,568		—			—			—			57,568
Mortgage loans at fair value		—		1,203			76,249			—			77,452
Excess servicing spread at fair value		—		—			(5,502	)		—			(5,502	)
Mortgage servicing rights at fair value		—		—			—			(8,776	)		(8,776	)
	$	57,568	$	1,358		$	69,125		$	(8,776	)	$	119,275
Liabilities:
Asset-backed secured financing at fair value		—		(474	)		(719	)		—			(1,193	)
	$	—	$	(474	)	$	(719	)	$	—		$	(1,193	)

	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	)

Financial Statement Items Measured at Fair Value on a Nonrecurring Basis

Following is a summary of financial statement items that were re-measured at fair value on a nonrecurring basis during the periods presented:

	September 30, 2015
	Level 1		Level 2		Level 3		Total
	(in thousands)
Real estate asset acquired in settlement of loans	$	—	$	—	$	145,815	$	145,815
Mortgage servicing rights at lower of amortized cost or fair value		—		—		125,952		125,952
	$	—	$	—	$	271,767	$	271,767

	December 31, 2014
	Level 1		Level 2		Level 3		Total
	(in thousands)
Real estate asset acquired in settlement of loans	$	—	$	—	$	157,203	$	157,203
Mortgage servicing rights at lower of amortized cost or fair value		—		—		91,990		91,990
	$	—	$	—	$	249,193	$	249,193

The following table summarizes the fair value changes recognized during the period on assets held at period end that were measured at fair value on a nonrecurring basis:

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
	(in thousands)
Real estate asset acquired in settlement of loans	$	(8,182	)	$	(14,242	)	$	(18,308	)	$	(24,027	)
Mortgage servicing rights at lower of amortized cost or fair value		(7,845	)		602			(7,142	)		(2,249	)
	$	(16,027	)	$	(13,640	)	$	(25,450	)	$	(26,276	)

Real Estate Acquired in Settlement of Loans

The Company evaluates its REO for impairment with reference to the respective properties’ fair values less cost to sell on a nonrecurring basis. The initial carrying value of the REO is measured at 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 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 Company’s 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 asset’s 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, 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.

The Manager 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 the Manager 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. Cash is measured using “Level 1” inputs. The Company’s assets sold under agreements to repurchase and mortgage loan participation and sale agreement are classified as “Level 3” financial statement instruments as of September 30, 2015 due to the lack of current market activity and the Company’s reliance on unobservable inputs to estimate these instruments’ fair values.

The Manager has concluded that the fair values of Cash, Assets sold under agreements to repurchase and Mortgage loan participation and sale agreement approximate the agreements’ carrying values due to the immediate realizability of cash at their carrying amounts and to the borrowing agreements’ short terms and variable interest rates.

The Exchangeable Notes are carried at amortized cost. The fair value of the Exchangeable Notes at September 30, 2015 and December 31, 2014 was $225.0 million and $239.0 million, respectively. The fair value of the Exchangeable Notes is estimated using a broker indication of value. The Company has classified the Exchangeable Notes as “Level 3” financial statement items as of September 30, 2015 due to the lack of current market activity.

Valuation Techniques and Inputs

Most of the Company’s assets and asset-backed financing of a VIE are carried at fair value with changes in fair value recognized in current period income. A substantial portion of these items are “Level 3” financial statement items which require the use of unobservable inputs that are significant to the estimation of the items’ fair values. Unobservable inputs reflect the Company’s own judgments 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 values of “Level 3” financial statement items, the Manager has assigned the responsibility for estimating fair value of these items to specialized staff and subjects the valuation process to significant executive management oversight. The Manager’s Financial Analysis and Valuation group (the “FAV group”) is responsible for estimating the fair values of “Level 3” financial statement items other than IRLCs and maintaining its valuation policies and procedures.

With respect to the Level 3 valuations, the FAV group reports to the Manager’s senior management valuation committee, which oversees and approves the valuations. 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 the Manager’s senior management valuation committee. The Manager’s senior management valuation committee includes PFSI’s chief executive, financial, operating, risk and asset/liability management officers.

The FAV group is responsible for reporting to the Manager’s senior management valuation committee on a monthly basis on the changes in the valuation of the financial statement items, including major factors affecting the valuation and any changes in model methods and inputs. To assess the reasonableness of its valuations, the FAV group presents an analysis of the effect on the valuation of changes to the significant inputs to the models.

With respect to IRLCs, the Manager has assigned responsibility for developing fair values to its capital markets risk management staff. The fair values developed by the capital markets risk management staff are submitted to the Manager’s senior management secondary marketing working group. The Manager’s secondary marketing working group includes PFSI’s chief executive, operating, institutional mortgage banking, capital markets, asset/liability, portfolio risk, and capital markets operations officers.

The following is a description of the techniques and inputs used in estimating the fair values of “Level 2” and “Level 3” financial statement items:

Mortgage-Backed Securities

The Company’s MBS include Agency and senior non-agency MBS. The Company categorized its current holdings of MBS as “Level 2” financial statement items. Fair value of Agency and senior non-Agency MBS is established based on quoted market prices for the Company’s MBS or 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. The Company obtains indications of fair value from nonaffiliated brokers based on comparable securities and validates the brokers’ indications of fair value using pricing models and inputs the Manager believes are similar to the models and inputs used by other market participants.

• 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 mortgage loans’ 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 the Manager’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 and history 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 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:

	Range
	(Weighted average)
Key inputs	September 30, 2015	December 31, 2014
Discount rate
Range	2.5% – 15.0%	2.3% – 15.0%
Weighted average	6.9%	7.7%
Twelve-month projected housing price index change
Range	2.0% – 4.3%	4.0% – 5.3%
Weighted average	3.9%	4.8%
Prepayment speed (1)
Range	0.1% – 4.6%	0.0% – 6.5%
Weighted average	3.6%	3.1%
Total prepayment speed (2)
Range	3.6% – 27.3%	0.0% – 27.9%
Weighted average	20.5%	21.6%

(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 mortgage 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 on the Company’s consolidated statements of income. Changes to other inputs result in a change to fair value that is recognized in Net gain (loss) on investments on the Company’s consolidated statements of income.

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

	Range
	(Weighted average)
Key inputs	September 30, 2015	December 31, 2014
Unpaid principal balance of underlying mortgage loans (in thousands)	$54,189,421	$28,227,340
Average servicing fee rate (in basis points)	32	31
Average ESS rate (in basis points)	17	16
Pricing spread (1)
Range	4.8% – 6.5%	1.7% – 12.0%
Weighted average	5.7%	5.3%
Life (in years)
Range	1.5 – 8.9	0.4 – 7.3
Weighted average	6.7	5.8
Annual total prepayment speed (2)
Range	5.5% – 50.3%	7.6% – 74.6%
Weighted average	10.4%	11.2%

(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 categorizes IRLCs as a “Level 3” financial statement item. 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 mortgage 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 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 or the MSR component of the IRLCs, in isolation, may result in a significant change in fair value. The financial effects of changes in these inputs 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 mortgage loans whose payments cash flows have decreased in fair value.

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

	Range
	(Weighted average)
Key inputs	September 30, 2015	December 31, 2014
Pull-through rate
Range	44.8% – 99.9%	65.0% – 98.0%
Weighted average	88.6%	94.9%
MSR value expressed as:
Servicing fee multiple
Range	1.9 – 6.0	0.7 – 5.2
Weighted average	4.5	4.3
Percentage of unpaid principal balance
Range	0.5% – 3.7%	0.2% – 1.3%
Weighted average	1.2%	1.1%

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 uses as hedging derivatives based on observed interest rate volatilities in the MBS market. These derivative financial instruments are categorized by the Company as “Level 2” financial statement items.

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 fair value from a broker’s price opinion or a full appraisal, or the price given in a current contract of sale.

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

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 mortgage 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,
	2015				2014
Key inputs	Amortized cost		Fair value		Amortized cost		Fair value
	(MSR recognized and unpaid principal balance of underlying loan amounts in thousands)
MSR recognized	$	47,140	$	5,674	$	26,802	$	12,812
Unpaid principal balance of underlying mortgage loans	$	3,512,016	$	578,894	$	2,423,013	$	1,234,028
Weighted-average annual servicing fee rate (in basis points)		25		25		25		25
Pricing spread (1)
Range		6.5% – 13.0%		7.2% – 14.3%		6.5% – 17.5%		8.8% – 13.5%
Weighted average		7.8%		8.4%		8.5%		9.1%
Life (in years)
Range		2.0 – 7.4		2.3 – 7.2		1.4 – 7.3		2.8 – 7.3
Weighted average		6.8		6.6		6.6		7.1
Annual total prepayment speed (2)
Range		7.6% – 37.6%		8.4% – 22.4%		7.6% – 48.8%		8.0% – 30.4%
Weighted average		9.2%		11.9%		9.2%		9.7%
Annual per-loan cost of servicing
Range		$62 – $68		$62 – $68		$68 – $140		$68 – $140
Weighted average		$65		$65		$70		$70

	Nine months ended September 30,
	2015				2014
Key inputs	Amortized cost		Fair value		Amortized cost		Fair value
	(MSR recognized and unpaid principal balance of underlying loan amounts in thousands)
MSR recognized	$	103,281	$	9,169	$	49,276	$	39,954
Unpaid principal balance of underlying mortgage loans	$	9,140,782	$	978,951	$	4,518,100	$	3,784,142
Weighted-average annual servicing fee rate (in basis points)		25		25		25		25
Pricing spread (1)
Range		6.5% – 17.5%		7.2% – 16.3%		6.3% – 17.5%		8.5% – 13.5%
Weighted average		8.1%		9.2%		8.5%		9.1%
Life (in years)
Range		1.3 – 7.7		2.3 – 7.3		1.1 – 7.3		2.8 – 7.3
Weighted average		6.7		6.5		6.3		7.1
Annual total prepayment speed (2)
Range		7.6% – 51.0%		8.3% – 34.2%		7.6% – 56.4%		8.0% – 30.4%
Weighted average		8.9%		12.1%		9.7%		9.5%
Annual per-loan cost of servicing
Range		$62 – $134		$62 – $68		$68 – $140		$68 – $140
Weighted average		$63		$64		$69		$69

(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 inputs:

	September 30, 2015						December 31, 2014
	Amortized cost			Fair value			Amortized cost			Fair value
	(Carrying value, unpaid principal balance and effect on fair value amounts in thousands)
Carrying value	$	365,344		$	57,751		$	300,422		$	57,358
Key inputs:
Unpaid principal balance of underlying mortgage loans	$	33,834,143		$	6,061,654		$	28,006,797		$	6,278,676
Weighted-average annual servicing fee rate (in basis points)		26			25			26			25
Weighted-average note interest rate		3.84	%		4.77	%		3.80	%		4.78	%
Pricing spread (1) (2)
Range		7.2% – 10.7%			7.2% – 10.7%			6.3% – 17.5%			8.1% – 16.3%
Weighted average		7.2%			7.2%			7.9%			10.3%
Effect on fair value of a:
5% adverse change	$	(5,826	)	$	(813	)	$	(5,801	)	$	(937	)
10% adverse change	$	(11,484	)	$	(1,602	)	$	(11,410	)	$	(1,845	)
20% adverse change	$	(22,318	)	$	(3,117	)	$	(22,086	)	$	(3,577	)
Weighted average life (in years)
Range		1.3 – 7.4			1.9 – 5.6			1.8 – 7.2			1.8 – 7.2
Weighted average		6.9			5.6			6.4			6.7
Prepayment speed (1) (3)
Range		8.6% – 54.2%			14.3% – 38.5%			7.8% – 47.9%			8.0% – 39.6%
Weighted average		10.2%			14.6%			8.8%			11.4%
Effect on fair value of a:
5% adverse change	$	(8,064	)	$	(1,751	)	$	(6,166	)	$	(1,430	)
10% adverse change	$	(15,826	)	$	(3,416	)	$	(12,138	)	$	(2,803	)
20% adverse change	$	(30,511	)	$	(6,508	)	$	(23,532	)	$	(5,394	)
Annual per-loan cost of servicing
Range		$68 – $68			$68 – $68			$62 – $134			$62 – $134
Weighted average		$68			$68			$62			$62
Effect on fair value of a:
5% adverse change	$	(2,512	)	$	(412	)	$	(1,807	)	$	(334	)
10% adverse change	$	(5,024	)	$	(824	)	$	(3,614	)	$	(668	)
20% adverse change	$	(10,047	)	$	(1,648	)	$	(7,228	)	$	(1,337	)

(1) The effect on fair 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.

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

Securities Sold Under Agreements to Repurchase

Fair value of securities sold under agreements to repurchase is based on the accrued cost of the agreements, which approximates the fair values of the agreements, due to the short maturities of such agreements.

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Borrowings under Forward Purchase Agreements - Summary of Financial Information Relating to Borrowings under Forward Purchase Agreements (Detail) - Forward purchase agreements [Member] - USD ($)	3 Months Ended	9 Months Ended
	Sep. 30, 2014	Sep. 30, 2014	Sep. 30, 2015
During the period:
Weighted-average effective interest rate	0.00%	2.84%
Weighted-average balance	$ 0	$ 109,708,000
Interest expense	0	2,364,000
Maximum daily amount outstanding	0	226,847,000
At period end:
Balance	$ 0	$ 0	$ 0
Interest rate	0.00%
Fair value of underlying loans and REO	$ 0

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Derivative Financial Instruments

9 Months Ended

Sep. 30, 2015

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, MSRs, ESS, mortgage loans held by VIE, asset backed financing, 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. The Company is exposed to loss 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 fair value of its MSRs when interest rates decrease. The Company includes MSRs in its hedging activities.

The Company uses Eurodollar futures, which settle daily, with the intention of moderating the risk of changing 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 has entered into CRT Agreements whereby it retains a portion of the credit risk relating to mortgage loans it sells into Fannie Mae-guaranteed securitizations. These investments are accounted for as derivative financial instruments. The Company’s remaining derivative financial instrument transactions, except for IRLCs, are in support of its risk management activities. IRLCs 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, 2015								December 31, 2014
			Fair value								Fair value
Instrument	Notional amount		Derivative assets			Derivative liabilities			Notional amount		Derivative assets			Derivative liabilities
	(in thousands)
Derivatives not designated as hedging instruments:
Free-standing derivatives:
Interest rate lock commitments		1,163,415	$	9,109		$	302			695,488	$	5,678		$	17
Forward sales contracts		3,410,839		15			21,794			1,601,282		52			6,649
Forward purchase contracts		3,282,364		22,985			6			1,100,700		3,775			34
MBS put options		450,000		—			—			340,000		374			—
MBS call options		—		—			—			—		—			—
Eurodollar future sales contracts		1,756,000		—			—			7,426,000		—			—
Eurodollar future purchase contracts		—		—			—			800,000		—			—
Treasury future contracts		—		—			—			85,000		—			478
Call options on interest rate futures		1,555,000		3,270			—			1,030,000		3,319			—
Put options on interest rate futures		1,625,000		693			—			275,000		193			—
Net derivative related to CRT transactions		2,400,433		626			—			—		—			—
Total derivative instruments before netting				36,698			22,102					13,391			7,178
Netting				(19,892	)		(19,316	)				(2,284	)		(4,748	)
			$	16,806		$	2,786				$	11,107		$	2,430

The following tables summarize the notional amount activity for derivative arising from CRT Agreements and derivative contracts used to hedge the Company’s IRLCs, inventory of mortgage loans acquired for sale, MSRs, mortgage loans at fair value held in a VIE and MBS.

	Quarter ended September 30, 2015
Instrument	Balance, beginning of period		Additions		Dispositions/ expirations			Balance, end of period
	(in thousands)
Forward sales contracts		3,252,286		15,003,760		(14,845,207	)		3,410,839
Forward purchase contracts		2,263,622		10,938,733		(9,919,991	)		3,282,364
MBS put options		367,500		700,000		(617,500	)		450,000
MBS call options		40,000		—		(40,000	)		—
Eurodollar future sale contracts		5,984,000		—		(4,228,000	)		1,756,000
Treasury future contracts		40,000		—		(40,000	)		—
Call option on interest rate futures		1,135,000		1,805,000		(1,385,000	)		1,555,000
Put options on interest rate futures		1,273,000		1,650,000		(1,298,000	)		1,625,000
Net derivative related to CRT transactions		—		2,400,433		—			2,400,433

	Quarter ended September 30, 2014
Instrument	Balance, beginning of period		Additions		Dispositions/ expirations			Balance, end of period
	(in thousands)
Forward purchase contracts		3,058,604		8,216,022		(9,364,487	)		1,910,139
Forward sales contracts		4,185,633		11,670,826		(13,080,210	)		2,776,249
MBS put option		392,500		640,000		(467,500	)		565,000
MBS call option		95,000		75,000		(120,000	)		50,000
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		154,500		(154,500	)		85,000
Treasury future purchase contracts		—		138,300		(138,300	)		—
Put options on interest rate futures		125,000		490,500		(395,500	)		220,000
Call options on interest rate futures		230,000		580,000		(455,000	)		355,000

	Nine months ended September 30, 2015
Instrument	Balance, beginning of period		Additions		Dispositions/ expirations			Balance, end of period
	(in thousands)
Forward sales contracts		1,601,283		38,880,821		(37,071,265	)		3,410,839
Forward purchase contracts		1,100,700		27,871,913		(25,690,249	)		3,282,364
MBS put options		340,000		1,692,500		(1,582,500	)		450,000
MBS call options		—		140,000		(140,000	)		—
Eurodollar future sale contracts		7,426,000		285,000		(5,955,000	)		1,756,000
Eurodollar future purchase contracts		800,000		—		(800,000	)		—
Treasury future contracts		85,000		161,500		(246,500	)		—
Call options on interest rate futures		1,030,000		4,080,000		(3,555,000	)		1,555,000
Put options on interest rate futures		275,000		4,318,000		(2,968,000	)		1,625,000
Net derivative related to CRT transactions		—		2,400,433		—			2,400,433

	Nine months ended September 30, 2014
Instrument	Balance, beginning of period		Additions		Dispositions/ expirations			Balance, end of period
	(in thousands)
Forward purchase contracts		2,781,066		26,650,920		(27,521,847	)		1,910,139
Forward sales contracts		3,588,027		35,657,347		(36,469,125	)		2,776,249
MBS put option		55,000		1,482,500		(972,500	)		565,000
MBS call option		110,000		230,000		(290,000	)		50,000
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		375,300		(395,300	)		85,000
Treasury future purchase contracts		—		331,900		(331,900	)		—
Put options on interest rate futures		52,500		1,052,500		(885,000	)		220,000
Call options on interest rate futures		—		960,000		(605,000	)		355,000

Following are the net gains (losses) recognized by the Company on derivative financial instruments and the income statement line items where such gains and losses are included:

Hedged Item	Income Statement Line	Quarter ended September 30,						Nine months ended September 30,
		2015			2014			2015			2014
		(in thousands)
Interest rate lock commitments and mortgage loans acquired for sale	Net gain on mortgage loans acquired for sale	$	(33,652	)	$	(4,503	)	$	(23,198	)	$	(44,003	)
Mortgage servicing rights	Net loan servicing fees	$	19,061		$	(654	)	$	13,868		$	3,532
Fixed-rate assets and LIBOR—indexed repurchase agreements	Net gain on investments	$	(6,772	)	$	(807	)	$	(18,065	)	$	(14,609	)

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Liability for Losses Under Representations and Warranties (Tables)

9 Months Ended

Sep. 30, 2015

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,
	2015			2014		2015			2014
	(in thousands)
Balance, beginning of period	$	16,714		$	11,876	$	14,242		$	10,110
Provision for losses		1,833			1,359		4,177			3,125
Losses incurred		(74	)		—		(176	)		—
Recoveries		—			—		230			—
Balance, end of period	$	18,473		$	13,235	$	18,473		$	13,235
Unpaid principal balance of mortgage loans subject to representations and warranties at period end	$	39,730,788		$	32,129,635

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Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Detail) - USD ($)	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014	Dec. 31, 2014
Assets Sold under Agreements to Repurchase [Line Items]
Weighted-average interest rate	2.30%	2.13%	2.27%	2.18%
Average balance	$ 3,252,341,000	$ 2,501,816,000	$ 3,125,328,000	$ 2,186,135,000
Total interest expense	21,350,000	15,814,000	60,470,000	43,496,000
Maximum daily amount outstanding	4,160,814,000	2,815,572,000	4,612,001,000	2,700,586,000
Amount outstanding	2,865,722,000	2,416,686,000	2,865,722,000	2,416,686,000
Unamortized debt issuance costs	(5,195,000)	(6,156,000)	(5,195,000)	(6,156,000)
Assets sold under agreements to repurchase, At period end	$ 2,864,032,000	$ 2,416,047,000	2,864,032,000	2,416,047,000	$ 2,729,027,000
Weighted-average interest rate	2.22%	2.17%
Available borrowing capacity, Committed	$ 510,109,000	$ 578,969,000
Available borrowing capacity, Uncommitted	868,978,000	894,343,000
Available borrowing capacity	1,379,087,000	1,473,312,000
Margin deposits placed with counterparties	7,230,000	8,210,000	7,230,000	8,210,000
Fair value of assets securing agreements to repurchase	3,881,273,000	3,222,315,000	3,881,273,000	3,222,315,000
Assets Sold under Agreement to Repurchase [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Unamortized debt issuance costs	(1,690,000)	(639,000)	(1,690,000)	(639,000)
Mortgage-backed securities at fair value [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Fair value of assets securing agreements to repurchase	306,638,000	262,378,000	306,638,000	262,378,000
Mortgage loans acquired for sale at fair value [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Fair value of assets securing agreements to repurchase	903,806,000	609,608,000	903,806,000	609,608,000
Mortgage loans at fair value [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Fair value of assets securing agreements to repurchase	2,390,784,000	2,273,768,000	2,390,784,000	2,273,768,000
Real estate acquired in settlement of loans [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Fair value of assets securing agreements to repurchase	$ 280,045,000	$ 76,561,000	$ 280,045,000	$ 76,561,000

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Transactions with Related Parties - Summary of Amounts Due to Affiliates (Detail) - USD ($) $ in Thousands	Sep. 30, 2015	Dec. 31, 2014
Related Party Transaction [Line Items]
Total expense due to affiliate	$ 17,220	$ 23,943
PennyMac Financial Services, Inc. [Member]
Related Party Transaction [Line Items]
Management fees	5,742	8,426
Allocated expenses	5,237	6,582
Fulfillment fees	3,031	506
Servicing fees	2,310	3,457
Conditional reimbursement	900	1,136
Unsettled purchases of ESS	0	3,836
Total expense due to affiliate	$ 17,220	$ 23,943

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Net Interest Income (Tables)

9 Months Ended

Sep. 30, 2015

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,
	2015		2014		2015		2014
	(in thousands)
Interest income:
From nonaffiliates:
Short-term investments	$	115	$	138	$	417	$	462
Mortgage-backed securities		2,614		1,935		7,752		5,657
Mortgage loans acquired for sale at fair value		20,704		7,712		38,120		16,911
Mortgage loans at fair value		24,364		22,401		68,089		76,502
Mortgage loans at fair value held by VIE		5,598		5,457		15,440		16,368
Mortgage loans under forward purchase agreements		—		—		—		3,584
Other		17		16		42		38
		53,412		37,659		129,860		119,522
From PennyMac Financial Services, Inc:
Excess servicing spread purchased from PFSI, at fair value		8,026		3,577		17,596		9,578
		61,438		41,236		147,456		129,100
Interest expense:
From nonaffiliates:
Assets sold under agreements to repurchase		21,350		15,814		60,470		43,496
Federal Home Loan Bank advances		117		—		119		—
Mortgage loans participation and sale agreement		226		—		699		—
Credit risk transfer financing		5,799		—		6,912		—
Notes payable		2,375		—		3,369		—
Asset-backed secured financing of a variable interest entity at fair value		1,787		1,584		4,671		4,762
Exchangeable senior notes		3,605		3,592		10,803		10,763
Borrowings under forward purchase agreements		—		—		—		2,363
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations		849		581		3,313		1,281
Interest on mortgage loan impound deposits		363		449		1,067		995
		36,471		22,020		91,423		63,660
From PennyMac Financial Services, Inc:
Note payable to PennyMac Financial Services, Inc.		1,289		—		1,822		—
		37,760		22,020		93,245		63,660
Net interest income	$	23,678	$	19,216	$	54,211	$	65,440

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Fair Value - Summary of Key Inputs Used in Determining Fair Value of ESS (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014	Dec. 31, 2014
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Unpaid principal balance of underlying mortgage loans (in thousands)	$ 578,894	$ 1,234,028	$ 978,951	$ 3,784,142
Average servicing fee rate (in basis points)	0.25%	0.25%	0.25%	0.25%	0.25%
Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pricing spread	7.20%	8.80%	7.20%	8.50%
Annual total prepayment speed	14.30%		14.30%		8.00%
Minimum [Member] | Excess servicing spread [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pricing spread			4.80%		1.70%
Life (in years)			1 year 6 months		4 months 24 days
Annual total prepayment speed	5.50%		5.50%		7.60%
Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pricing spread	14.30%	13.50%	16.30%	13.50%
Annual total prepayment speed	38.50%		38.50%		39.60%
Maximum [Member] | Excess servicing spread [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pricing spread			6.50%		12.00%
Life (in years)			8 years 10 months 24 days		7 years 3 months 18 days
Annual total prepayment speed	50.30%		50.30%		74.60%
Weighted Average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pricing spread	8.40%	9.10%	9.20%	9.10%
Annual total prepayment speed	14.60%		14.60%		11.40%
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)			$ 54,189,421		$ 28,227,340
Average servicing fee rate (in basis points)			0.32%		0.31%
Average ESS rate (in basis points)			0.17%		0.16%
Pricing spread			5.70%		5.30%
Life (in years)			6 years 8 months 12 days		5 years 9 months 18 days
Annual total prepayment speed	10.40%		10.40%		11.20%

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Borrowings under Forward Purchase Agreements (Tables)

9 Months Ended

Sep. 30, 2015

Text Block [Abstract]

Summary of Financial Information Relating to Borrowings under Forward Purchase Agreements

There were no borrowings under forward purchase agreements during the quarter and nine months ended September 30, 2015. Following is a summary of financial information relating to borrowings under forward purchase agreements:

	Quarter ended September 30, 2014		Nine months ended September 30, 2014
	(dollars in thousands)
During the period:
Weighted-average effective interest rate		—		2.84	%
Weighted-average balance	$	—	$	109,708
Interest expense	$	—	$	2,364
Maximum daily amount outstanding	$	—	$	226,847
At period end:
Balance	$	—
Interest rate		—
Fair value of underlying loans and REO	$	—

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Netting of Financial Instruments - Schedule of Offsetting of Derivative Liabilities and Financial Liabilities (Detail) - USD ($) $ in Thousands	Sep. 30, 2015	Dec. 31, 2014
Derivative [Line Items]
Gross amounts of recognized liabilities in the consolidated balance sheet	$ 2,886,134	$ 2,736,205
Gross amounts offset in the consolidated balance sheet	(19,316)	(4,748)
Net amounts of liabilities presented in the consolidated balance sheet	2,866,818	2,731,457
Forward purchase contracts [Member]
Derivative [Line Items]
Gross amounts of recognized liabilities in the consolidated balance sheet	6	34
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	6	34
Forward sales contracts [Member]
Derivative [Line Items]
Gross amounts of recognized liabilities in the consolidated balance sheet	21,794	6,649
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	21,794	6,649
Interest rate lock commitments [Member]
Derivative [Line Items]
Gross amounts of recognized liabilities in the consolidated balance sheet	302	17
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	302	17
Treasury future contracts [Member]
Derivative [Line Items]
Gross amounts of recognized liabilities in the consolidated balance sheet	0	478
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	0	478
Netting [Member]
Derivative [Line Items]
Gross amounts of recognized liabilities in the consolidated balance sheet	0	0
Gross amounts offset in the consolidated balance sheet	(19,316)	(4,748)
Net amounts of liabilities presented in the consolidated balance sheet	(19,316)	(4,748)
Derivatives subject to master netting arrangements [Member]
Derivative [Line Items]
Gross amounts of recognized liabilities in the consolidated balance sheet	21,800	7,161
Gross amounts offset in the consolidated balance sheet	(19,316)	(4,748)
Net amounts of liabilities presented in the consolidated balance sheet	2,484	2,413
Derivatives not subject to master netting arrangements [Member]
Derivative [Line Items]
Gross amounts of recognized liabilities in the consolidated balance sheet	22,102	7,178
Gross amounts offset in the consolidated balance sheet	(19,316)	(4,748)
Net amounts of liabilities presented in the consolidated balance sheet	2,786	2,430
Security sold under agreements to repurchase amount outstanding [Member]
Derivative [Line Items]
Gross amounts of recognized liabilities in the consolidated balance sheet	2,865,722	2,730,130
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	2,865,722	2,730,130
Security sold under agreements to repurchase [Member]
Derivative [Line Items]
Gross amounts of recognized liabilities in the consolidated balance sheet	2,864,032	2,729,027
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	2,864,032	2,729,027
Unamortized commitment fees and issuance costs [Member]
Derivative [Line Items]
Gross amounts of recognized liabilities in the consolidated balance sheet	(1,690)	(1,103)
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	$ (1,690)	$ (1,103)

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Note Payable - Additional Information (Detail) - USD ($)	9 Months Ended
	Sep. 30, 2015	Sep. 14, 2015
Loan and Security Agreement with Citibank, N.A. [Member]
Debt Instrument [Line Items]
Maturity date of debt instrument	Mar. 29, 2016
Loan and Security Agreement with Barclays Bank PLC, [Member]
Debt Instrument [Line Items]
Maturity date of debt instrument	Sep. 13, 2016
Maximum [Member] | Loan and Security Agreement with Barclays Bank PLC, [Member]
Debt Instrument [Line Items]
Aggregate loan amount		$ 150,000,000

XML

Net Loan Servicing Fees

9 Months Ended

Sep. 30, 2015

Text Block [Abstract]

Net Loan Servicing Fees

Note 27—Net Loan Servicing Fees

Net loan servicing fees are summarized below:

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
	(in thousands)
Servicing fees (1)	$	25,500		$	20,300		$	74,016		$	56,988
MSR recapture fee receivable from PFSI		670			—			670			9
Effect of MSRs:
Carried at lower of amortized cost or fair value:
Amortization		(11,333	)		(8,109	)		(30,913	)		(23,170	)
(Provision for) reversal of impairment		(7,845	)		602			(7,142	)		(2,249	)
Gain on sale		4			—			87			—
Carried at fair value—change in fair value		(5,266	)		(1,606	)		(8,776	)		(8,398	)
Gains (losses) on hedging derivatives		19,061			(654	)		13,868			3,532
		(5,379	)		(9,767	)		(32,876	)		(30,285	)
Net loan servicing fees	$	20,791		$	10,533		$	41,810		$	26,712
Average servicing portfolio	$	38,172,371		$	30,701,324		$	36,446,663		$	28,597,033

(1) Includes contractually specified servicing and ancillary fees.

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Net Gain on Investments - Summary of Net Gain on Investments (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Net gain (loss) on investments:
Net gain (loss) on investments	$ 24,958	$ 70,390	$ 51,019	$ 186,109
Nonaffiliates [Member]
Net gain (loss) on investments:
Mortgage-backed securities	3,564	(821)	(1,622)	6,096
Mortgage loans	31,909	81,296	79,163	194,808
Mortgage loans held in a VIE	7,421	(2,578)	(2,856)	24,906
Net derivatives related to CRT Agreements	626	0	626	0
Asset-backed secured financing	(3,941)	696	(719)	(7,258)
Hedging derivatives	(6,777)	(807)	(18,071)	(14,609)
Net gain (loss) on investments	32,802	77,786	56,521	203,943
PennyMac Financial Services, Inc. [Member]
Net gain (loss) on investments:
Net gain (loss) on investments	(7,844)	(7,396)	(5,502)	(17,834)
Excess servicing spread purchased from PFSI	$ (7,844)	$ (7,396)	$ (5,502)	$ (17,834)

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Mortgage Loans Acquired for Sale at Fair Value (Tables)

9 Months Ended

Sep. 30, 2015

Mortgage Loans on Real Estate [Abstract]

Summary of Distribution of Company's 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, 2015				December 31, 2014
Loan type	Fair value		Unpaid principal balance		Fair value		Unpaid principal balance
	(in thousands)
Conventional:
Agency-eligible	$	601,394	$	575,458	$	287,300	$	274,650
Jumbo		69,157		67,544		137,440		134,079
Held for sale to PennyMac Loan Services, LLC—Government insured or guaranteed		373,812		354,529		209,325		198,265
Commercial real estate loan		1,851		1,798		—		—
Mortgage loans repurchased pursuant to representations and warranties		4,082		4,291		3,657		3,634
	$	1,050,296	$	1,003,620	$	637,722	$	610,628
Mortgage loans pledged to secure:
Assets sold under agreements to repurchase	$	903,806			$	609,608
Mortgage loan participation and sale agreements	$	63,162			$	20,862
Federal Home Loan Bank (“FHLB”) advances	$	68,937			$	—

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Assets Sold Under Agreements to Repurchase

9 Months Ended

Sep. 30, 2015

Text Block [Abstract]

Assets Sold Under Agreements to Repurchase

Note 14—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,
	2015			2014			2015			2014
	(dollars in thousands)
During the period:
Weighted-average interest rate (1)		2.30	%		2.13	%		2.27	%		2.18	%
Average balance	$	3,252,341		$	2,501,816		$	3,125,328		$	2,186,135
Total interest expense	$	21,350		$	15,814		$	60,470		$	43,496
Maximum daily amount outstanding	$	4,160,814		$	2,815,572		$	4,612,001		$	2,700,586
At period end:
Amount outstanding	$	2,865,722		$	2,416,686
Unamortized debt issuance costs		(1,690	)		(639	)
	$	2,864,032		$	2,416,047
Weighted-average interest rate		2.22	%		2.17	%
Available borrowing capacity:
Committed	$	510,109		$	578,969
Uncommitted		868,978			894,343
	$	1,379,087		$	1,473,312
Margin deposits placed with counterparties	$	7,230		$	8,210
Fair value of assets securing agreements to repurchase:
Mortgage-backed securities	$	306,638		$	262,378
Mortgage loans acquired for sale at fair value		903,806			609,608
Mortgage loans at fair value		2,390,784			2,273,768
Real estate acquired in settlement of loans		280,045			76,561
	$	3,881,273		$	3,222,315

(1) Excludes the effect of amortization of commitment fees and issuance costs of $2.2 million and $6.7 million for the quarter and nine months ended September 30, 2015 and $2.2 million and $7.4 million for the quarter and nine months ended September 30, 2014, respectively.

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

Remaining Maturity at September 30, 2015	Contractual balance
	(in thousands)
Within 30 days	$	1,521,695
Over 30 to 90 days		413,728
Over 90 days to 180 days		252,357
Over 180 days to 1 year		290,986
Over 1 year to 2 year		386,956
	$	2,865,722
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 fair 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, 2015:

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)
Citibank, N.A.	$	366,115	October 22, 2015	October 22, 2015
Credit Suisse First Boston Mortgage Capital LLC	$	317,292	October 30, 2015	October 30, 2015
JPMorgan Chase & Co.	$	160,224	—	January 26, 2017
Bank of America, N.A.	$	31,157	December 19, 2015	January 29, 2016
Morgan Stanley	$	10,905	November 17, 2015	December 17, 2015

Securities sold under agreements to repurchase

Counterparty	Amount at risk		Maturity
	(in thousands)
Citibank, N.A.	$	517	December 30, 2015
JPMorgan Chase & Co.	$	16,547	October 23, 2015
Daiwa Capital Markets America Inc.	$	8,275	November 6, 2015
Bank of America, N.A.	$	15,181	November 18, 2015

The following is a summary of the tangible net worth and minimum required amounts for the Company and certain of its subsidiaries at September 30, 2015 to comply with the debt covenants contained in the borrowing agreements:

	Tangible net worth at September 30, 2015
Entity	Balance		Minimum required
	(in thousands)
PennyMac Mortgage Investment Trust	$	1,514,430	$	860,000
Operating Partnership	$	1,554,310	$	700,000
PennyMac Holdings, LLC	$	896,693	$	250,000
PennyMac Corp.	$	417,780	$	150,000

XML

Real Estate Acquired in Settlement of Loans under Forward Purchase Agreements - Summary of Activity in REO under Forward Purchase Agreements (Detail) - USD ($) $ in Thousands	3 Months Ended	9 Months Ended
	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Real Estate [Abstract]
Balance at beginning of period	$ 0		$ 9,138
Purchases	0		68
Transfers from mortgage loans under forward purchase agreements at fair value and advances	0	$ 0	9,369
Transfers to REO	0		(12,737)
Valuation adjustments, net	0		(779)
Gain on sale, net	0		306
Results of REO under forward purchase agreements	0		(473)
Proceeds from sales	0		(5,365)
Balance at end of period	$ 0		$ 0

XML

Exchangeable Senior Notes

9 Months Ended

Sep. 30, 2015

Text Block [Abstract]

Exchangeable Senior Notes

Note 19—Exchangeable Senior Notes

PMC issued in a private offering $250 million aggregate principal amount of the Exchangeable Notes due May 1, 2020. The Exchangeable Notes bear interest at a rate of 5.375% per year, payable semiannually. The Exchangeable Notes are exchangeable into common shares of the Company at a rate of 33.6567 common shares per $1,000 principal amount of the Exchangeable Notes as of September 30, 2015, which exchange rate increased from the initial exchange rate of 33.5149. The increase in the calculated exchange rate was the result of cumulative cash dividends exceeding the quarterly dividend threshold amount of $0.57 per share as provided in the related indenture.

Following is financial information relating to the Exchangeable Notes:

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015		2014
	(dollars in thousands)
During the period:
Weighted-average unpaid principal balance	$	250,000		$	250,000		$	250,000	$	250,000
Interest expense (1)	$	3,605		$	3,592		$	10,803	$	10,763
At period end:
Amount outstanding	$	250,000		$	250,000
Unamortized issuance costs		(5,195	)		(6,156	)
	$	244,805		$	243,844

(1) Total interest expense includes amortization of debt issuance costs of $245,000 and $726,000 during the quarter and nine months ended September 30, 2015, respectively, and $232,000 and $685,000 during the quarter and nine months ended September 2014, respectively.

XML

Fair Value - Summary of Financial Statement Items Measured at Fair Value on Recurring Basis (Detail) - USD ($) $ in Thousands	Sep. 30, 2015	Jun. 30, 2015	Dec. 31, 2014	Sep. 30, 2014	Jun. 30, 2014	Dec. 31, 2013
Assets:
Short-term investments	$ 31,518		$ 139,900
Mortgage-backed securities at fair value	315,599		307,363
Mortgage loans acquired for sale at fair value	1,050,296		637,722
Derivative assets:
Total derivative assets before netting	36,698		13,391
Derivative assets, Netting	(19,892)		(2,284)
Derivative assets	16,806		11,107
Mortgage servicing rights at fair value	57,751	$ 57,343	57,358	$ 57,871	$ 46,802	$ 26,452
Liabilities:
Asset-backed secured financing of a variable interest entity at fair value	234,287		165,920
Derivative liabilities:
Total derivative liabilities before netting	22,102		7,178
Derivative liabilities, Netting	(19,316)		(4,748)
Derivative liabilities	2,786		2,430
Net derivatives related to CRT Agreements [Member]
Derivative assets:
Total derivative assets before netting	626		0
Derivative assets, Netting	0		0
Derivative assets	626		0
Derivative liabilities:
Total derivative liabilities before netting	0		0
Interest rate lock commitments [Member]
Derivative assets:
Total derivative assets before netting	9,109		5,678
Derivative assets, Netting	0		0
Derivative assets	9,109		5,678
MBS put options [Member]
Derivative assets:
Total derivative assets before netting	0		374
Derivative assets, Netting	0		0
Derivative assets	0		374
Forward purchase contracts [Member]
Derivative assets:
Total derivative assets before netting	22,985		3,775
Derivative assets, Netting	0		0
Derivative assets	22,985		3,775
Forward sales contracts [Member]
Derivative assets:
Total derivative assets before netting	15		52
Derivative assets, Netting	0		0
Derivative assets	15		52
MBS call options [Member]
Derivative assets:
Total derivative assets before netting	0		0
Derivative assets, Netting	0		0
Derivative assets	0		0
Recurring [Member]
Assets:
Short-term investments	31,518		139,900
Mortgage-backed securities at fair value	315,599		307,363
Mortgage loans acquired for sale at fair value	1,050,296		637,722
Mortgage loans at fair value	2,637,730		2,726,952
Excess servicing spread purchased from PFSI	418,573		191,166
Derivative assets:
Total derivative assets before netting	36,698		13,391
Derivative assets, Netting	(19,892)		(2,284)
Derivative assets	16,806		11,107
Mortgage servicing rights at fair value	57,751		57,358
Total Assets	4,528,273		4,071,568
Liabilities:
Asset-backed secured financing of a variable interest entity at fair value	234,287		165,920
Derivative liabilities:
Total derivative liabilities before netting	22,102		7,178
Derivative liabilities, Netting	(19,316)		(4,748)
Derivative liabilities	2,786		2,430
Total liabilities	237,073		168,350
Recurring [Member] | Net derivatives related to CRT Agreements [Member]
Derivative assets:
Derivative assets	626
Recurring [Member] | Interest rate lock commitments [Member]
Derivative assets:
Derivative assets	9,109		5,678
Derivative liabilities:
Derivative liabilities	302		17
Recurring [Member] | MBS put options [Member]
Derivative assets:
Derivative assets			374
Recurring [Member] | Forward purchase contracts [Member]
Derivative assets:
Derivative assets	22,985		3,775
Derivative liabilities:
Derivative liabilities	6		34
Recurring [Member] | Forward sales contracts [Member]
Derivative assets:
Derivative assets	15		52
Derivative liabilities:
Derivative liabilities	21,794		6,649
Recurring [Member] | MBS call options [Member]
Derivative liabilities:
Derivative liabilities			478
Recurring [Member] | Put options on interest rate futures [Member]
Derivative assets:
Derivative assets	693		193
Recurring [Member] | Call options on interest rate futures [Member]
Derivative assets:
Derivative assets	3,270		3,319
Recurring [Member] | Level 1 [Member]
Assets:
Short-term investments	31,518		139,900
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
Excess servicing spread purchased from PFSI	0		0
Derivative assets:
Total derivative assets before netting	3,963		3,512
Derivative assets, Netting	0		0
Derivative assets	3,963		3,512
Mortgage servicing rights at fair value	0		0
Total Assets	35,481		143,412
Liabilities:
Asset-backed secured financing of a variable interest entity at fair value	0		0
Derivative liabilities:
Total derivative liabilities before netting	0		478
Derivative liabilities, Netting	0		0
Derivative liabilities	0		478
Total liabilities	0		478
Recurring [Member] | Level 1 [Member] | Net derivatives related to CRT Agreements [Member]
Derivative assets:
Derivative assets	0
Recurring [Member] | Level 1 [Member] | Interest rate lock commitments [Member]
Derivative assets:
Derivative assets	0		0
Derivative liabilities:
Derivative liabilities	0		0
Recurring [Member] | Level 1 [Member] | MBS put options [Member]
Derivative assets:
Derivative assets			0
Recurring [Member] | Level 1 [Member] | Forward purchase contracts [Member]
Derivative assets:
Derivative assets	0		0
Derivative liabilities:
Derivative liabilities	0		0
Recurring [Member] | Level 1 [Member] | Forward sales contracts [Member]
Derivative assets:
Derivative assets	0		0
Derivative liabilities:
Derivative liabilities	0		0
Recurring [Member] | Level 1 [Member] | MBS call options [Member]
Derivative liabilities:
Derivative liabilities			478
Recurring [Member] | Level 1 [Member] | Put options on interest rate futures [Member]
Derivative assets:
Derivative assets	693		193
Recurring [Member] | Level 1 [Member] | Call options on interest rate futures [Member]
Derivative assets:
Derivative assets	3,270		3,319
Recurring [Member] | Level 2 [Member]
Assets:
Short-term investments	0		0
Mortgage-backed securities at fair value	315,599		307,363
Mortgage loans acquired for sale at fair value	1,050,296		637,722
Mortgage loans at fair value	477,271		527,369
Excess servicing spread purchased from PFSI	0		0
Derivative assets:
Total derivative assets before netting	23,000		4,201
Derivative assets, Netting	0		0
Derivative assets	23,000		4,201
Mortgage servicing rights at fair value	0		0
Total Assets	1,866,166		1,476,655
Liabilities:
Asset-backed secured financing of a variable interest entity at fair value	234,287		165,920
Derivative liabilities:
Total derivative liabilities before netting	21,800		6,683
Derivative liabilities, Netting	0		0
Derivative liabilities	21,800		6,683
Total liabilities	256,087		172,603
Recurring [Member] | Level 2 [Member] | Net derivatives related to CRT Agreements [Member]
Derivative assets:
Derivative assets	0
Recurring [Member] | Level 2 [Member] | Interest rate lock commitments [Member]
Derivative assets:
Derivative assets	0		0
Derivative liabilities:
Derivative liabilities	0		0
Recurring [Member] | Level 2 [Member] | MBS put options [Member]
Derivative assets:
Derivative assets			374
Recurring [Member] | Level 2 [Member] | Forward purchase contracts [Member]
Derivative assets:
Derivative assets	22,985		3,775
Derivative liabilities:
Derivative liabilities	6		34
Recurring [Member] | Level 2 [Member] | Forward sales contracts [Member]
Derivative assets:
Derivative assets	15		52
Derivative liabilities:
Derivative liabilities	21,794		6,649
Recurring [Member] | Level 2 [Member] | MBS call options [Member]
Derivative liabilities:
Derivative liabilities			0
Recurring [Member] | Level 2 [Member] | Put options on interest rate futures [Member]
Derivative assets:
Derivative assets	0		0
Recurring [Member] | Level 2 [Member] | Call options on interest rate futures [Member]
Derivative assets:
Derivative assets	0		0
Recurring [Member] | Level 3 [Member]
Assets:
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	2,160,459		2,199,583
Excess servicing spread purchased from PFSI	418,573		191,166
Derivative assets:
Total derivative assets before netting	9,735		5,678
Derivative assets, Netting	0		0
Derivative assets	9,735		5,678
Mortgage servicing rights at fair value	57,751		57,358
Total Assets	2,646,518		2,453,785
Liabilities:
Asset-backed secured financing of a variable interest entity at fair value	0		0
Derivative liabilities:
Total derivative liabilities before netting	302		17
Derivative liabilities, Netting	0		0
Derivative liabilities	302		17
Total liabilities	302		17
Recurring [Member] | Level 3 [Member] | Net derivatives related to CRT Agreements [Member]
Derivative assets:
Derivative assets	626
Recurring [Member] | Level 3 [Member] | Interest rate lock commitments [Member]
Derivative assets:
Derivative assets	9,109		5,678
Derivative liabilities:
Derivative liabilities	302		17
Recurring [Member] | Level 3 [Member] | MBS put options [Member]
Derivative assets:
Derivative assets			0
Recurring [Member] | Level 3 [Member] | Forward purchase contracts [Member]
Derivative assets:
Derivative assets	0		0
Derivative liabilities:
Derivative liabilities	0		0
Recurring [Member] | Level 3 [Member] | Forward sales contracts [Member]
Derivative assets:
Derivative assets	0		0
Derivative liabilities:
Derivative liabilities	0		0
Recurring [Member] | Level 3 [Member] | MBS call options [Member]
Derivative liabilities:
Derivative liabilities			0
Recurring [Member] | Level 3 [Member] | Put options on interest rate futures [Member]
Derivative assets:
Derivative assets	0		0
Recurring [Member] | Level 3 [Member] | Call options on interest rate futures [Member]
Derivative assets:
Derivative assets	$ 0		$ 0

XML

Netting of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2015

Text Block [Abstract]

Summary of Offsetting of Derivative Assets

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

	September 30, 2015								December 31, 2014
	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	$	—	$	—		$	—		$	374	$	—		$	374
MBS call options		—		—			—			—		—			—
Forward purchase contracts		22,985		—			22,985			3,775		—			3,775
Forward sale contracts		15		—			15			52		—			52
Put options on interest rate futures		693		—			693			193		—			193
Call options on interest rate futures		3,270		—			3,270			3,319		—			3,319
Treasury futures contracts		—		—			—			—		—			—
Netting		—		(19,892	)		(19,892	)		—		(2,284	)		(2,284	)
		26,963		(19,892	)		7,071			7,713		(2,284	)		5,429
Derivatives not subject to master netting arrangements:
Interest rate lock commitments		9,109		—			9,109			5,678		—			5,678
Net derivatives related to CRT Agreements		626		—			626			—		—			—
	$	36,698	$	(19,892	)	$	16,806		$	13,391	$	(2,284	)	$	11,107

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 qualifying for netting.

	September 30, 2015								December 31, 2014
	Net amount of assets presented in the consolidated balance sheet		Gross amounts not offset in the consolidated balance sheet						Net amount of assets presented in the consolidated balance sheet		Gross amounts not offset in the consolidated balance sheet
			Financial instruments		Cash collateral received		Net amount				Financial instruments		Cash collateral received		Net amount
	(in thousands)
Interest rate lock commitments	$	9,109	$	—	$	—	$	9,109	$	5,678	$	—	$	—	$	5,678
RJ O’Brien & Associates, LLC		3,112		—		—		3,112		3,034		—		—		3,034
Nomura Securities International, Inc		733		—		—		733		—		—		—		—
Fannie Mae Capital Markets		730		—		—		730		—		—		—		—
Jefferies Group, LLC		598		—		—		598		133		—		—		133
Deutsche Bank		572		—		—		572		124		—		—		124
Morgan Stanley Bank, N.A.		531		—		—		531		104		—		—		104
Bank of New York Mellon		403		—		—		403		—		—		—		—
JP Morgan Chase & Co.		313		—		—		313		—		—		—		—
Credit Suisse First Boston Mortgage Capital LLC		188		—		—		188		253		—		—		253
Goldman Sachs		186		—		—		186		—		—		—		—
Royal Bank of Canada		173		—		—		173		—		—		—		—
Daiwa Capital Markets		100		—		—		100		29		—		—		29
Bank of America, N.A.		—		—		—		—		738		—		—		738
Other		58		—		—		58		1,014		—		—		1,014
Total	$	16,806	$	—	$	—	$	16,806	$	11,107	$	—	$	—	$	11,107

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 setoff accounting.

	September 30, 2015									December 31, 2014
	Gross amounts of recognized liabilities in the consolidated balance sheet			Gross amounts offset in the consolidated balance sheet			Net amounts of liabilities presented in the consolidated balance sheet			Gross amounts of recognized liabilities in the consolidated balance sheet			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	$	6		$	—		$	6		$	34		$	—		$	34
Forward sales contracts		21,794			—			21,794			6,649			—			6,649
Treasury futures sales contracts		—			—			—			478			—			478
Netting		—			(19,316	)		(19,316	)		—			(4,748	)		(4,748	)
		21,800			(19,316	)		2,484			7,161			(4,748	)		2,413
Derivatives not subject to master netting arrangements:
Interest rate lock commitments		302			—			302			17			—			17
		22,102			(19,316	)		2,786			7,178			(4,748	)		2,430
Assets sold under agreements to repurchase		2,865,722			—			2,865,722			2,730,130			—			2,730,130
Unamortized commitment fees and issuance cost		(1,690	)		—			(1,690	)		(1,103	)		—			(1,103	)
		2,864,032			—			2,864,032			2,729,027			—			2,729,027
	$	2,886,134		$	(19,316	)	$	2,866,818		$	2,736,205		$	(4,748	)	$	2,731,457

Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty

Derivative Liabilities, Financial Liabilities and Collateral Pledged 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 qualifying 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, 2015										December 31, 2014
				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 (1)			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	$	302		$	—		$	—	$	302	$	17		$	—		$	—	$	17
Morgan Stanley Bank, N.A.		163,104			(163,104	)		—		—		121,975			(121,975	)		—		—
Credit Suisse First Boston Mortgage Capital LLC		861,527			(861,527	)		—		—		966,155			(966,155	)		—		—
Citibank		843,743			(843,743	)		—		—		797,851			(797,663	)		—		188
JPMorgan Chase & Co.		446,348			(446,348	)		—		—		—			—			—		—
Bank of America, N.A.		403,193			(402,917	)		—		276		508,908			(508,908	)		—		—
Daiwa Capital Markets		148,083			(148,083	)		—		—		126,909			(126,909	)		—		—
RBS Securities		—			—			—		—		208,520			(208,520	)		—		—
Other		2,208			—			—		2,208		2,225			—			—		2,225
Unamortized commitment fees and issuance cost		(1,690	)		1,690			—		—		(1,103	)		1,103			—		—
Total	$	2,866,818		$	(2,864,032	)	$	—	$	2,786	$	2,731,457		$	(2,729,027	)	$	—	$	2,430

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Fair Value - Quantitative Summary of Key Assumptions Used in Valuation of MSRs as of Dates Presented, and Effect on Estimated Fair Value from Adverse Changes in Those Inputs (Detail) - USD ($)	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014	Dec. 31, 2014
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Carrying value, Amortized cost	$ 365,344,000	$ 287,977,000	$ 365,344,000	$ 287,977,000	$ 300,422,000
Unpaid principal balance of underlying mortgage loans, Amortized cost			$ 33,834,143,000		$ 28,006,797,000
Weighted-average annual servicing fee rate (in basis points), Amortized cost			0.26%		0.26%
Weighted-average note interest rate, Amortized cost			3.84%		3.80%
Balance at end of period	57,751,000	$ 57,871,000	$ 57,751,000	$ 57,871,000	$ 57,358,000
Unpaid principal balance of underlying mortgage loans, Fair Value	$ 6,061,654,000		$ 6,061,654,000		$ 6,278,676,000
Weighted-average annual servicing fee rate (in basis points), Fair value input	0.25%	0.25%	0.25%	0.25%	0.25%
Weighted-average note interest rate, Fair value			4.77%		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]
Effect on value of percentage adverse change, Amortized cost	$ (5,826,000)		$ (5,826,000)		$ (5,801,000)
Effect on value of percentage adverse change, Fair value input	(813,000)		(813,000)		(937,000)
Pricing spread [Member] | Effect on value of 10% adverse change [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Effect on value of percentage adverse change, Amortized cost	(11,484,000)		(11,484,000)		(11,410,000)
Effect on value of percentage adverse change, Fair value input	(1,602,000)		(1,602,000)		(1,845,000)
Pricing spread [Member] | Effect on value of 20% adverse change [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Effect on value of percentage adverse change, Amortized cost	(22,318,000)		(22,318,000)		(22,086,000)
Effect on value of percentage adverse change, Fair value input	(3,117,000)		(3,117,000)		(3,577,000)
Prepayment speed [Member] | Effect on value of 5% adverse change [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Effect on value of percentage adverse change, Amortized cost	(8,064,000)		(8,064,000)		(6,166,000)
Effect on value of percentage adverse change, Fair value input	(1,751,000)		(1,751,000)		(1,430,000)
Prepayment speed [Member] | Effect on value of 10% adverse change [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Effect on value of percentage adverse change, Amortized cost	(15,826,000)		(15,826,000)		(12,138,000)
Effect on value of percentage adverse change, Fair value input	(3,416,000)		(3,416,000)		(2,803,000)
Prepayment speed [Member] | Effect on value of 20% adverse change [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Effect on value of percentage adverse change, Amortized cost	(30,511,000)		(30,511,000)		(23,532,000)
Effect on value of percentage adverse change, Fair value input	(6,508,000)		(6,508,000)		(5,394,000)
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]
Effect on value of percentage adverse change, Amortized cost	(2,512,000)		(2,512,000)		(1,807,000)
Effect on value of percentage adverse change, Fair value input	(412,000)		(412,000)		(334,000)
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]
Effect on value of percentage adverse change, Amortized cost	(5,024,000)		(5,024,000)		(3,614,000)
Effect on value of percentage adverse change, Fair value input	(824,000)		(824,000)		(668,000)
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]
Effect on value of percentage adverse change, Amortized cost	(10,047,000)		(10,047,000)		(7,228,000)
Effect on value of percentage adverse change, Fair value input	$ (1,648,000)		$ (1,648,000)		$ (1,337,000)
Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized cost, Pricing spread	7.20%		7.20%		6.30%
Amortized cost, Weighted average life (in years)			1 year 3 months 18 days		1 year 9 months 18 days
Amortized cost, Prepayment speed	8.60%		8.60%		7.80%
Amortized cost, Annual per-loan cost of servicing	$ 68,000		$ 68,000		$ 62,000
Estimated fair value inputs, Pricing spread	7.20%		7.20%		8.10%
Estimated fair value inputs, Prepayment speed	14.30%		14.30%		8.00%
Estimated fair value inputs, Annual per-loan cost of servicing	$ 68,000		$ 68,000		$ 62,000
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)			1 year 10 months 24 days		1 year 9 months 18 days
Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized cost, Pricing spread	10.70%		10.70%		17.50%
Amortized cost, Weighted average life (in years)			7 years 4 months 24 days		7 years 2 months 12 days
Amortized cost, Prepayment speed	54.20%		54.20%		47.90%
Amortized cost, Annual per-loan cost of servicing	$ 68,000		$ 68,000		$ 134,000
Estimated fair value inputs, Pricing spread	10.70%		10.70%		16.30%
Estimated fair value inputs, Prepayment speed	38.50%		38.50%		39.60%
Estimated fair value inputs, Annual per-loan cost of servicing	$ 68,000		$ 68,000		$ 134,000
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)			5 years 7 months 6 days		7 years 2 months 12 days
Weighted Average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Amortized cost, Pricing spread	7.20%		7.20%		7.90%
Amortized cost, Weighted average life (in years)			6 years 10 months 24 days		6 years 4 months 24 days
Amortized cost, Prepayment speed	10.20%		10.20%		8.80%
Amortized cost, Annual per-loan cost of servicing	$ 68,000		$ 68,000		$ 62,000
Estimated fair value inputs, Pricing spread	7.20%		7.20%		10.30%
Estimated fair value inputs, Prepayment speed	14.60%		14.60%		11.40%
Estimated fair value inputs, Annual per-loan cost of servicing	$ 68,000		$ 68,000		$ 62,000
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)			5 years 7 months 6 days		6 years 8 months 12 days

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Recently Issued Accounting Pronouncements

9 Months Ended

Sep. 30, 2015

Accounting Changes and Error Corrections [Abstract]

Recently Issued Accounting Pronouncements

Note 34—Recently Issued Accounting Pronouncements

In February 2015, the FASB issued ASU 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis (“ASU 2015-02”). ASU 2015-02 affects reporting entities that are required to evaluate whether they should consolidate certain legal entities. ASU 2015-02 modifies the evaluation of whether limited partnerships and similar legal entities are VIEs or voting interest entities, eliminates the presumption that a general partner should consolidate a limited partnership and affects the consolidation analysis of reporting entities that are involved with VIEs, particularly those that have fee arrangements and related party relationships. ASU 2015-02 is effective for fiscal years, and for interim periods within those fiscal years, beginning after December 15, 2015. Early adoption is permitted. A reporting entity may apply the amendments in ASU 2015-02: (a) using a modified retrospective approach by recording a cumulative-effect adjustment to equity as of the beginning of the fiscal year of adoption; or (b) by applying the amendments retrospectively. The Company is currently assessing the potential effect that the adoption of ASU 2015-02 will have on its consolidated financial statements.

In April 2015, the FASB issued ASU No. 2015-03. The amendments in this ASU require that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. The recognition and measurement guidance for debt issuance costs are not affected by the amendments in this ASU. ASU 2015-03 should be applied on a retrospective basis and is effective for the Company for financial statements issued for fiscal years and interim periods within those fiscal years beginning after December 15, 2015.

The Company adopted ASU 2015-03 during the quarter ended June 30, 2015. As a result of the adoption of ASU 2015-03, the Company, on its September 30, 2015 consolidated balance sheet, reclassified $7.0 million in debt issuance costs from Other assets and allocated such costs in the amount of $1.7 million to Mortgage loans sold under agreements to repurchase; $16,000 to Mortgage loan participation and sale agreement; $82,000 to Notes payable and $5.2 million to Exchangeable senior notes. There were no changes to the Company’s consolidated statements of income or consolidated statements of cash flows as a result of the Company’s adoption of ASU 2015-03.

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Mortgage Loans Acquired for Sale at Fair Value - Additional Information (Detail)	9 Months Ended
	Sep. 30, 2015
Fair Value Disclosures [Abstract]
Sourcing fee on the unpaid principal balance	0.03%

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Consolidated Statements of Changes in Shareholders' Equity (Unaudited) - USD ($) $ in Thousands	Total	Common Stock [Member]	Additional paid-in capital [Member]	Retained earnings [Member]
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			168,033
Share-based compensation, Amount	4,356	$ 2	4,354
Share-based compensation, Shares		235,000
Common share dividends	(132,863)			(132,863)
Issuance of common shares, Amount	$ 82,453	$ 34	82,419
Issuance of common shares, Shares	3,447,022	3,447,000
Share underwriting and offering costs	$ (1,052)		(1,052)
Balance, Amount at Sep. 30, 2014	1,588,041	$ 741	1,470,189	117,111
Balance, Shares at Sep. 30, 2014		74,140,000
Balance, Amount at Dec. 31, 2014	1,578,172	$ 745	1,479,699	97,728
Balance, Shares at Dec. 31, 2014		74,510,000
Net income	74,391			74,391
Share-based compensation, Amount	4,980	$ 3	4,977
Share-based compensation, Shares		302,000
Common share dividends	(127,166)			(127,166)
Issuance of common shares, Amount	8		8
Issuance of common shares, Shares		0
Repurchase of common shares, Amount	$ (15,955)	$ (10)	(15,945)
Repurchase of common shares, Shares	(1,000,000)	(1,020,000)
Balance, Amount at Sep. 30, 2015	$ 1,514,430	$ 738	$ 1,468,739	$ 44,953
Balance, Shares at Sep. 30, 2015		73,792,000

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Loan Sales and Variable Interest Entities - Summary of Credit Risk Transfer Agreements (Detail) - Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] - Credit Risk Transfer Agreement [Member] $ in Thousands	3 Months Ended	9 Months Ended
	Sep. 30, 2015 USD ($)	Sep. 30, 2015 USD ($)
During the period:
UPB of mortgage loans transferred and sold under CRT Agreements	$ 1,660,280	$ 2,400,433
Restricted cash deposited to fund guarantees	59,841	87,891
Gains recognized on net derivatives related to CRT Agreements
Realized	0	0
Resulting from valuation changes	626	626
Gains (losses) recognized on net derivative related to credit risk transactions	626	626
Payments made to settle losses	0	0
At period end:
UPB of mortgage loans subject to guarantee obligation	2,400,433	2,400,433
Delinquency
Current-89 days delinquent	2,400,433	2,400,433
90-or more days delinquent	0	0
UPB of mortgage loans subject to guarantee obligation	2,400,433	2,400,433
Carrying value of CRT Agreements:
Carrying value of CRT Agreements	88,517	88,517
Other Assets [Member]
Carrying value of CRT Agreements:
Restricted cash included in Other assets	87,891	87,891
Derivative Assets [Member]
Carrying value of CRT Agreements:
Net derivative assets included in Derivative assets	$ 626	$ 626

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Transactions with Related Parties

9 Months Ended

Sep. 30, 2015

Related Party Transactions [Abstract]

Transactions with Related Parties

Note 3—Transactions with Related Parties

Correspondent Production Activities

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

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Fulfillment fees earned by PLS	$	17,553	$	15,497	$	45,752	$	36,832
Unpaid principal balance of loans fulfilled by PLS	$	4,073,201	$	3,677,613	$	10,542,411	$	8,588,955
Sourcing fees received from PLS	$	3,236	$	1,384	$	7,084	$	3,401
Unpaid principal balance of loans sold to PLS	$	10,783,882	$	4,609,947	$	23,602,020	$	11,332,898
Purchases of mortgage loans acquired for sale at fair value from PLS	$	2,880	$	2,970	$	13,708	$	4,955
Tax service fee to paid to PLS	$	1,291	$	703	$	3,293	$	1,753
At period end:
Mortgage loans included in mortgage loans acquired for sale pending sale to PLS	$	373,812	$	59,719

Mortgage Loan Servicing Activities

Following is a summary of mortgage loan servicing fees earned by PLS:

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Mortgage loans acquired for sale at fair value:
Base	$	130	$	28	$	198	$	74
Activity-based		153		35		243		112
		283		63		441		186
Mortgage loans at fair value:
Distressed mortgage loans
Base		3,896		4,662		12,053		14,549
Activity-based		2,961		4,076		8,948		16,208
		6,857		8,738		21,001		30,757
Mortgage loans held in VIE
Base		34		17		92		71
Activity-based		—		—		—		—
		34		17		92		71
MSRs:
Base		4,473		3,459		12,783		9,930
Activity-based		89		48		225		152
		4,562		3,507		13,008		10,082
	$	11,736	$	12,325	$	34,542	$	41,096
Average investment in:
Mortgage loans acquired for sale at fair value	$	1,783,011	$	732,287	$	1,189,754	$	530,861
Distressed mortgage loans	$	2,201,533	$	2,122,397	$	2,268,538	$	2,171,724
Mortgage loans held in a VIE	$	481,925	$	537,367	$	504,351	$	534,784
Average mortgage loan servicing portfolio	$	38,172,371	$	30,701,324	$	36,446,663	$	28,597,033

Investing and Financing Activities

Following is a summary of investing and financing activities between the Company and PFSI:

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
	(in thousands)
ESS:
Purchases	$	84,165		$	9,253		$	271,452		$	82,646
Recapture income recognized	$	2,428		$	2,143		$	5,173		$	6,558
Repayments	$	24,717		$	8,786		$	55,800		$	25,280
Interest income	$	8,026		$	3,577		$	17,596		$	9,578
Net gain (loss)	$	(10,272	)	$	(9,539	)	$	(10,675	)	$	(24,392	)
MSR recapture income recognized	$	670		$	—		$	670		$	9
Note payable:
Advances	$	97,474		$	—		$	168,546		$	—
Repayments	$	—		$	—		$	18,546		$	—
Interest expense	$	1,289		$	—		$	1,822		$	—

PLS is a party to a lending facility with a nonaffiliate lender pursuant to which it finances certain of its MSRs and servicing advance receivables. On April 30, 2015, PLS amended and restated the lending facility to increase the maximum loan amount to $407 million, $150 million of which is for the purpose of facilitating its financing of the related ESS by PennyMac Holdings, LLC (“PMH”), a wholly owned subsidiary of the Company.

In connection with the amendment to lending facility, PMH and PLS entered into an underlying loan and security agreement, dated as of April 30, 2015, pursuant to which PMH may borrow up to $150 million from PLS for the purpose of financing its purchase of ESS. The principal amount of the borrowings under the underlying loan and security agreement is based upon a percentage of the market value of the ESS pledged by PMH, subject to the $150 million sublimit described above. Pursuant to the underlying loan and security agreement, PMH granted to PLS a security interest in all of its right, title and interest in, to and under the ESS pledged to secure loans. The portion of the loan amount outstanding under the lending facility between PLS and the nonaffiliate lender and relating to advances for ESS outstanding with PMH under the underlying loan and security agreement was guaranteed in full by the Company.

PMH and PLS have agreed that PMH is required to repay PLS the principal amount of such borrowings plus accrued interest to the date of such repayment, and PLS is required to repay its lender the corresponding amount under the lending facility. Interest accrues under the underlying loan and security agreement at a rate based on the nonaffiliate lender’s cost of funds. PMH was also required to pay PLS a fee for the structuring of the underlying loan and security agreement in an amount equal to the portion of the corresponding fee paid by PLS to the nonaffiliate lender under the lending facility and allocable to the $150 million relating to the ESS financing.

In addition, in connection with its initial public offering of common shares on August 4, 2009 (“IPO”), the Company conditionally agreed to reimburse PCM up to $2.9 million for underwriting fees paid to the IPO underwriters by PCM on the Company’s behalf. During the quarter and nine months ended September 30, 2015, the Company reimbursed PCM $7,000 and $237,000, respectively, compared to $256,000 and $292,000 for the same periods in 2014.

Also in connection with its IPO, the Company agreed to pay the IPO underwriters up to $5.9 million in contingent underwriting fees. During the quarter and nine months ended September 30, 2015, the Company paid $14,000 and $473,000 to the underwriters, respectively, compared to $615,000 and $1.0 million for the same periods in 2014. At September 30, 2015 and December 31, 2014, $459,000 and $1.7 million, respectively, of contingent underwriting fees were included in accounts payable and accrued liabilities.

Other Transactions

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

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Base	$	5,742	$	6,033	$	17,181	$	17,392
Performance incentive		—		3,590		1,343		9,217
Total management fee incurred during the period	$	5,742	$	9,623	$	18,524	$	26,609

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

	Quarter ended September 30,					Nine months ended September 30,
	2015			2014		2015		2014
	(in thousands)
Reimbursement of:
Common overhead incurred by PCM and its affiliates (1)	$	2,694		$	2,912	$	8,125	$	8,181
Expenses incurred on the Company’s behalf		(85	)		122		377		671
	$	2,609		$	3,034	$	8,502	$	8,852
Payments and settlements during the period (2)	$	17,709		$	31,621	$	64,575	$	72,975

(1) For the quarter and nine months ended September 30, 2015, in accordance with the terms of the management agreement, PCM provided the Company discretionary waivers of $900,000 and $1.6 million, respectively, of overhead expenses that otherwise would have been allocable to the Company.

(2) 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, on the one hand, and PCM and PLS, on the other hand.

Amounts due to PCM and PLS are summarized below:

	September 30, 2015		December 31, 2014
	(in thousands)
Management fees	$	5,742	$	8,426
Allocated expenses		5,237		6,582
Fulfillment fees		3,031		506
Servicing fees		2,310		3,457
Conditional reimbursement		900		1,136
Unsettled purchases of ESS		—		3,836
	$	17,220	$	23,943

Amounts due from PCM and its affiliates totaled $9.1 million and $6.6 million at September 30, 2015 and December 31, 2014, respectively. At September 30, 2015 and December 31, 2015, the balance represents payments receivable relating to cash flows from the Company’s investment in ESS and amounts receivable relating to unsettled ESS and MSR recaptures.

PFSI, through a controlled subsidiary, held 75,000 of the Company’s common shares at both September 30, 2015 and December 31, 2014.

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Mortgage Loan Participation and Sale Agreement (Tables)

9 Months Ended

Sep. 30, 2015

Text Block [Abstract]

Summary of Mortgage Loan Participation and Sale Agreements

The mortgage loan participation and sale agreements are summarized below:

	Quarter ended September 30, 2015			Nine months ended September 30, 2015
	(dollars in thousands)
During the period:
Weighted-average interest rate (1)		1.44	%		1.43	%
Average balance	$	48,832		$	50,933
Total interest expense	$	226		$	699
Maximum daily amount outstanding	$	120,374		$	148,032
At period end:
Amount outstanding	$	61,093
Unamortized debt issuance costs		(16	)
	$	61,078
Weighted-average interest rate		1.44	%
Mortgage loans pledged to secure mortgage loan participation and sale agreement	$	63,162

(1) Excludes the effect of amortization of commitment fees of $47,000 and $146,000 for the quarter and nine months ended September 30, 2015.

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Transactions with Related Parties - Summary of Base Management and Performance Incentive Fees Payable (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014
Related Party Transaction [Line Items]
Total management fee incurred during the period	$ 5,742	$ 9,623	$ 18,524	$ 26,609
PNMAC Capital Management LLC [Member]
Related Party Transaction [Line Items]
Total management fee incurred during the period	5,742	9,623	18,524	26,609
PNMAC Capital Management LLC [Member] | Base [Member]
Related Party Transaction [Line Items]
Total management fee incurred during the period	5,742	6,033	17,181	17,392
PNMAC Capital Management LLC [Member] | Performance incentive [Member]
Related Party Transaction [Line Items]
Total management fee incurred during the period	$ 0	$ 3,590	$ 1,343	$ 9,217

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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	Sep. 30, 2015	Dec. 31, 2014
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans acquired for sale at fair value	$ 1,050,296	$ 637,722
Mortgage loan acquired at unpaid principal balance	1,003,620	610,628
Mortgage loans pledged to secure assets sold under agreements to repurchase	903,806	609,608
Agency-eligible [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans acquired for sale at fair value	601,394	287,300
Mortgage loan acquired at unpaid principal balance	575,458	274,650
Jumbo [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans acquired for sale at fair value	69,157	137,440
Mortgage loan acquired at unpaid principal balance	67,544	134,079
Held for sale to PennyMac Loan Services, LLC - Government-insured or guaranteed [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans acquired for sale at fair value	373,812	209,325
Mortgage loan acquired at unpaid principal balance	354,529	198,265
Commercial real estate loan [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans acquired for sale at fair value	1,851	0
Mortgage loan acquired at unpaid principal balance	1,798	0
Mortgage loans repurchased pursuant to representations and warranties [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans acquired for sale at fair value	4,082	3,657
Mortgage loan acquired at unpaid principal balance	4,291	3,634
Mortgage loans acquired for sale [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans pledged to secure assets sold under agreements to repurchase	903,806	609,608
Mortgage loans pledged to secure mortgage loan participation and sale agreements	63,162	20,862
Mortgage loans pledged to secure Federal Home Loan Bank ("FHLB") advances	$ 68,937	$ 0

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Net Loan Servicing Fees (Tables)

9 Months Ended

Sep. 30, 2015

Text Block [Abstract]

Summary of Net Loan Servicing Fees

Net loan servicing fees are summarized below:

	Quarter ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
	(in thousands)
Servicing fees (1)	$	25,500		$	20,300		$	74,016		$	56,988
MSR recapture fee receivable from PFSI		670			—			670			9
Effect of MSRs:
Carried at lower of amortized cost or fair value:
Amortization		(11,333	)		(8,109	)		(30,913	)		(23,170	)
(Provision for) reversal of impairment		(7,845	)		602			(7,142	)		(2,249	)
Gain on sale		4			—			87			—
Carried at fair value—change in fair value		(5,266	)		(1,606	)		(8,776	)		(8,398	)
Gains (losses) on hedging derivatives		19,061			(654	)		13,868			3,532
		(5,379	)		(9,767	)		(32,876	)		(30,285	)
Net loan servicing fees	$	20,791		$	10,533		$	41,810		$	26,712
Average servicing portfolio	$	38,172,371		$	30,701,324		$	36,446,663		$	28,597,033

(1) Includes contractually specified servicing and ancillary fees.

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Borrowings under Forward Purchase Agreements

9 Months Ended

Sep. 30, 2015

Text Block [Abstract]

Borrowings under Forward Purchase Agreements

Note 20—Borrowings under Forward Purchase Agreements

There were no borrowings under forward purchase agreements during the quarter and nine months ended September 30, 2015. Following is a summary of financial information relating to borrowings under forward purchase agreements:

	Quarter ended September 30, 2014		Nine months ended September 30, 2014
	(dollars in thousands)
During the period:
Weighted-average effective interest rate		—		2.84	%
Weighted-average balance	$	—	$	109,708
Interest expense	$	—	$	2,364
Maximum daily amount outstanding	$	—	$	226,847
At period end:
Balance	$	—
Interest rate		—
Fair value of underlying loans and REO	$	—

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Mortgage Servicing Rights - Summary of MSRs Carried at Lower of Amortized Cost or Fair Value (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2015	Sep. 30, 2014	Sep. 30, 2015	Sep. 30, 2014	Dec. 31, 2014
Servicing Asset at Amortized Cost, Balance [Roll Forward]
Balance at beginning of period	$ 344,405	$ 274,110	$ 308,137	$ 266,697
MSRs resulting from loan sales	47,140	26,802	103,281	49,276
Amortization	(11,333)	(8,109)	(30,913)	(23,170)
Application of valuation allowance to write down MSRs with other-than temporary impairment	0	0	0	0
Sales	(12)	0	(305)	0
Balance at end of period	380,200	292,803	380,200	292,803
Balance at beginning of period	(7,011)	(5,428)	(7,714)	(2,577)
(Additions) reversals	(7,845)	602	(7,142)	(2,249)
Application of valuation allowance to write down MSRs with other-than temporary impairment	0	0	0	0
Balance at end of period	(14,856)	(4,826)	(14,856)	(4,826)
MSRs, net	365,344	287,977	365,344	287,977	$ 300,422
Fair value at beginning of period	362,908	289,226	322,230	289,737
Fair value at end of period	386,539	312,196	386,539	312,196
Mortgage servicing rights [Member]
Servicing Asset at Amortized Cost, Balance [Roll Forward]
Carrying value pledged to secure note payable	$ 365,344	$ 0	$ 365,344	$ 0

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Note Payable - Summary of Financial Information Relating to Note Payable (Detail) - USD ($)	3 Months Ended	9 Months Ended
	Sep. 30, 2015	Sep. 30, 2015	Dec. 31, 2014
During the period:
Weighted-average interest rate	4.25%	4.24%
Average balance	$ 195,030,000	$ 85,907,000
Total interest expense	2,375,000	3,369,000
Maximum daily amount outstanding	198,191,000	198,191,000
At period end:
Amount outstanding	$ 192,332,000	192,332,000	$ 0
Weighted-average interest rate	4.39%
Mortgage servicing rights pledged to secure notes payable	$ 423,095,000	$ 423,095,000

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Mortgage Loan Participation and Sale Agreement - Summary of Mortgage Loan Participation and Sale Agreements (Parenthetical) (Detail) - USD ($) $ in Thousands	3 Months Ended	9 Months Ended
	Sep. 30, 2015	Sep. 30, 2015
Participating Mortgage Loans [Line Items]
Amortization of commitment fee	$ 562,000	$ 915,000
Mortgage Loan Participation and Sale Agreement [Member]
Participating Mortgage Loans [Line Items]
Amortization of commitment fee	$ 47,000	$ 146,000

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Organization and Basis of Presentation - Summary of Reclassifications of Previously Presented Balances (Detail) - USD ($) $ in Thousands	Sep. 30, 2015	Dec. 31, 2014	Sep. 30, 2014
ASSETS
Other	$ 162,722	$ 59,155
Total assets	5,592,231	4,897,258	$ 4,604,813
LIABILITIES
Assets sold under agreements to repurchase	2,864,032	2,729,027	2,416,047
Mortgage loan participation and sale agreement	61,078	20,222
Exchangeable senior notes	244,805	244,079	$ 243,844
Total liabilities	4,077,801	3,319,086
Total liabilities and shareholders' equity	$ 5,592,231	4,897,258
Accounting Standards Update ASU 2015-03 [Member]
ASSETS
Other		59,155
Total assets		4,897,258
LIABILITIES
Assets sold under agreements to repurchase		2,729,027
Mortgage loan participation and sale agreement		20,222
Exchangeable senior notes		244,079
Total liabilities		3,319,086
Total liabilities and shareholders' equity		4,897,258
As previously reported [Member] | Accounting Standards Update ASU 2015-03 [Member]
ASSETS
Other		66,193
Total assets		4,904,296
LIABILITIES
Assets sold under agreements to repurchase		2,730,130
Mortgage loan participation and sale agreement		20,236
Exchangeable senior notes		250,000
Total liabilities		3,326,124
Total liabilities and shareholders' equity		4,904,296
Reclassification [Member] | Accounting Standards Update ASU 2015-03 [Member]
ASSETS
Other		(7,038)
Total assets		(7,038)
LIABILITIES
Assets sold under agreements to repurchase		(1,103)
Mortgage loan participation and sale agreement		(14)
Exchangeable senior notes		(5,921)
Total liabilities		(7,038)
Total liabilities and shareholders' equity		$ (7,038)

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Segments and Related Information

9 Months Ended

Sep. 30, 2015

Segment Reporting [Abstract]

Segments and Related Information

Note 31—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 fair 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, 2015	Correspondent production			Investment activities			Intersegment elimination & other		Total
	(in thousands)
Net investment income:
Interest income	$	13,748		$	47,690		$	—	$	61,438
Interest expense		(6,370	)		(31,390	)		—		(37,760	)
		7,378			16,300			—		23,678
Net gain on mortgage loans acquired for sale		13,884			—			—		13,884
Net gain on investments		—			24,958			—		24,958
Net loan servicing fees		—			20,791					20,791
Other income (loss)		9,154			(1,691	)		—		7,463
		30,416			60,358			—		90,774
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.		18,367			16,664			—		35,031
Other		1,876			8,760			—		10,636
		20,243			25,424			—		45,667
Pre-tax income	$	10,173		$	34,934		$	—	$	45,107
Total assets at period end	$	1,073,070		$	4,519,161		$	—	$	5,592,231

Quarter ended September 30, 2014	Correspondent production			Investment activities			Intersegment elimination & other		Total
	(in thousands)
Net investment income:
Interest income	$	7,727		$	33,509		$	—	$	41,236
Interest expense		(3,660	)		(18,360	)		—		(22,020	)
		4,067			15,149			—		19,216
Net gain on mortgage loans acquired for sale		9,509			—			—		9,509
Net gain on investments		—			70,390			—		70,390
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

Nine months ended September 30, 2015	Correspondent production			Investment activities			Intersegment elimination & other		Total
	(in thousands)
Net investment income:
Interest income	$	29,858		$	117,598		$	—	$	147,456
Interest expense		(14,953	)		(78,292	)		—		(93,245	)
		14,905			39,306			—		54,211
Net gain on mortgage loans acquired for sale		35,219			—			—		35,219
Net gain on investments		—			51,019			—		51,019
Net loan servicing fees		—			41,810					41,810
Other income (loss)		21,857			(5,920	)		—		15,937
		71,981			126,215			—		198,196
Expenses:
Loan fulfillment, servicing and management fees payable to PennyMac Financial Services, Inc.		47,313			51,505			—		98,818
Other		4,803			28,200			—		33,003
		52,116			79,705			—		131,821
Pre-tax income	$	19,865		$	46,510		$	—	$	66,375
Total assets at period end	$	1,073,070		$	4,519,161		$	—	$	5,592,231

Nine months ended September 30, 2014	Correspondent production			Investment activities			Intersegment elimination & other			Total
	(in thousands)
Net investment income:
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 gain on mortgage loans acquired for sale		29,702			—			—			29,702
Net gain on investments		—			186,109			—			186,109
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

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Mortgage Servicing Rights

9 Months Ended

Sep. 30, 2015

Text Block [Abstract]

Mortgage Servicing Rights

Note 13—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,
	2015			2014			2015			2014
	(in thousands)
Balance at beginning of period	$	57,343		$	46,802		$	57,358		$	26,452
MSRs resulting from mortgage loan sales		5,674			12,812			9,169			39,954
Changes in fair value:
Due to changes in valuation inputs or assumptions used in valuation model (1)		(3,418	)		(106	)		(3,525	)		(4,974	)
Other changes in fair value (2)		(1,848	)		(1,500	)		(5,251	)		(3,424	)
		(5,266	)		(1,606	)		(8,776	)		(8,398	)
Sales		—			(137	)		—			(137	)
Balance at end of period	$	57,751		$	57,871		$	57,751		$	57,871
MSRs pledged to secure note payable at end of period	$	57,751		$	—

(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,
	2015			2014			2015			2014
	(in thousands)
Amortized Cost:
Balance at beginning of period	$	344,405		$	274,110		$	308,137		$	266,697
MSRs resulting from loan sales		47,140			26,802			103,281			49,276
Amortization		(11,333	)		(8,109	)		(30,913	)		(23,170	)
Application of valuation allowance to write down MSRs with other-than temporary impairment		—			—			—			—
Sales		(12	)		—			(305	)		—
Balance at end of period		380,200			292,803			380,200			292,803
Valuation Allowance:
Balance at beginning of period		(7,011	)		(5,428	)		(7,714	)		(2,577	)
(Additions) reversals		(7,845	)		602			(7,142	)		(2,249	)
Application of valuation allowance to write down MSRs with other-than temporary impairment		—			—			—			—
Balance at end of period		(14,856	)		(4,826	)		(14,856	)		(4,826	)
MSRs, net	$	365,344		$	287,977		$	365,344		$	287,977
Fair value at beginning of period	$	362,908		$	289,226		$	322,230		$	289,737
Fair value at end of period	$	386,539		$	312,196
Carrying value of MSRs pledged to secure note payable	$	365,344		$	—

The following table summarizes the Company’s estimate of future amortization of its existing MSRs carried at amortized cost. This estimate was developed with the inputs used in the September 30, 2015 valuation of MSRs. The inputs 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.

Quarter ended September 30, 2015	Estimated MSR amortization
	(in thousands)
2015	$	49,227
2016		42,898
2017		37,642
2018		33,216
2019		29,421
Thereafter		187,796
Total	$	380,200

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

	Quarter ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
	(in thousands)
Contractually-specified servicing fees	$	25,500	$	19,345	$	74,016	$	54,396

XML

Fair Value - Quantitative Summary of Key Inputs Used in Valuation of Mortgage Loans at Fair Value (Detail) - Mortgage loans at fair value [Member]	9 Months Ended	12 Months Ended
	Sep. 30, 2015	Dec. 31, 2014
Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Discount rate	2.50%	2.30%
Twelve-month projected housing price index change	2.00%	4.00%
Prepayment speed	0.10%	0.00%
Total prepayment speed	3.60%	0.00%
Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Discount rate	15.00%	15.00%
Twelve-month projected housing price index change	4.30%	5.30%
Prepayment speed	4.60%	6.50%
Total prepayment speed	27.30%	27.90%
Weighted Average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Discount rate	6.90%	7.70%
Twelve-month projected housing price index change	3.90%	4.80%
Prepayment speed	3.60%	3.10%
Total prepayment speed	20.50%	21.60%