10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

Form 10-Q

(Mark One)

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

For the quarterly period ended March 31, 2018

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.)
3043 Townsgate Road, Westlake Village, California	91361
(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   ☒     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   ☒     No   ☐

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

Large accelerated filer	☒	Accelerated filer	☐
Non-accelerated filer	☐   (Do not check if a smaller reporting company)	Smaller reporting company	☐
		Emerging growth company	☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

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

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 May 4, 2018
Common Shares of Beneficial Interest, $0.01 par value	60,882,954

PENNYMAC MORTGAGE INVESTMENT TRUST

FORM 10-Q

March 31, 2018

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 Operations	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	56
	Our Company	56
	Results of Operations	60
	Net Investment Income	60
	Expenses	72
	Balance Sheet Analysis	75
	Asset Acquisitions	76
	Investment Portfolio Composition	77
	Cash Flows	83
	Liquidity and Capital Resources	84
	Off-Balance Sheet Arrangements and Aggregate Contractual Obligations	86
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	88
Item 4.	Controls and Procedures	90
PART II. OTHER INFORMATION		91
Item 1.	Legal Proceedings	91
Item 1A.	Risk Factors	91
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	91
Item 3.	Defaults Upon Senior Securities	91
Item 4.	Mine Safety Disclosures	91
Item 5.	Other Information	91
Item 6.	Exhibits	92

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, 2017, filed with the Securities and Exchange Commission (“SEC”) on March 1, 2018.

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;

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

• 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 mortgage 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;

1

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

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

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

• the performance, financial condition and liquidity of borrowers;

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

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

• our indemnification and repurchase obligations in connection with mortgage loans we purchase and later sell or securitize;

• 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;

• the performance of mortgage loans underlying mortgage-backed securities (“MBS”) in which we retain credit risk;

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

• increased prepayments of the mortgages and other loans underlying our 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 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”) or the Veterans Administration (the “VA”), 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 Consumer Financial Protection Bureau (“CFPB”) and its issued and future rules and the enforcement thereof;

• changes in government support of homeownership;

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

• limitations imposed on our business and our ability to satisfy complex rules for us to qualify as a real estate investment trust (“REIT”) for U.S. federal income tax purposes and qualify for an exclusion from the Investment Company Act of 1940 (the “Investment Company Act”) 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;

2

• 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;

• our failure to deal appropriately with issues that may give rise to reputational risk; 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)

	March 31,			December 31,
	2018			2017
	(in thousands, except share information)
ASSETS
Cash	$	102,167		$	77,647
Short-term investments		71,044			18,398
Mortgage-backed securities at fair value pledged to creditors		1,436,456			989,461
Mortgage loans acquired for sale at fair value (includes $1,097,266 and $1,249,277    pledged to creditors, respectively)		1,115,534			1,269,515
Mortgage loans at fair value (includes $770,911 and $1,081,893 pledged to creditors,    respectively)		779,489			1,089,473
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value    pledged to secure assets sold to PennyMac Financial Services, Inc. under agreements to repurchase		236,002			236,534
Derivative assets (includes $24,423 and $26,058 pledged to creditors, respectively)		122,518			113,881
Real estate acquired in settlement of loans (includes $105,484 and $124,532    pledged to creditors, respectively)		141,506			162,865
Real estate held for investment (includes $31,899 and $31,128 pledged to creditors, respectively)		45,790			44,224
Mortgage servicing rights (includes $957,013 and $91,459 at fair value;    $941,686 and $831,892 pledged to creditors)		957,013			844,781
Servicing advances		63,352			77,158
Deposits securing credit risk transfer agreements (includes $392,453 and $400,778    pledged to creditors, respectively)		622,330			588,867
Due from PennyMac Financial Services, Inc.		313			4,154
Other		96,972			87,975
Total assets	$	5,790,486		$	5,604,933
LIABILITIES
Assets sold under agreements to repurchase	$	3,408,283		$	3,180,886
Mortgage loan participation purchase and sale agreements		—			44,488
Asset-backed financing of a variable interest entity at fair value		296,982			307,419
Exchangeable senior notes		247,471			247,186
Assets sold to PennyMac Financial Services, Inc. under agreements to repurchase		142,938			144,128
Interest-only security payable at fair value		7,796			7,070
Derivative liabilities		3,636			1,306
Accounts payable and accrued liabilities		63,196			64,751
Due to PennyMac Financial Services, Inc.		27,356			27,119
Income taxes payable		42,321			27,317
Liability for losses under representations and warranties		8,249			8,678
Total liabilities		4,248,228			4,060,348
Commitments and contingencies — Note 18
SHAREHOLDERS’ EQUITY
Preferred shares of beneficial interest, $0.01 par value per share, authorized 100,000,000 shares,    issued and outstanding 12,400,000 shares, liquidation preference $310,000,000		299,707			299,707
Common shares of beneficial interest—authorized, 500,000,000 common shares of $0.01    par value; issued and outstanding, 60,882,954 and 61,334,087 common shares, respectively		609			613
Additional paid-in capital		1,281,115			1,290,931
Accumulated deficit		(39,173	)		(46,666	)
Total shareholders’ equity		1,542,258			1,544,585
Total liabilities and shareholders’ equity	$	5,790,486		$	5,604,933

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

4

PENNYMAC MORTGAGE INVESTMENT TRUST AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS (UNAUDITED)

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):

	March 31,		December 31,
	2018		2017
	(in thousands)
ASSETS
Mortgage loans at fair value	$	311,102	$	321,040
Derivative assets		103,995		98,640
Deposits securing credit risk transfer agreements		622,330		588,867
Other—interest receivable		893		904
	$	1,038,320	$	1,009,451
LIABILITIES
Asset-backed financing at fair value	$	296,982	$	307,419
Interest-only security payable at fair value		7,796		7,070
Accounts payable and accrued liabilities—interest payable		893		904
	$	305,671	$	315,393

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 March 31,
	2018			2017
	(in thousands, except per share amounts)
Net investment income
Net gain on mortgage loans acquired for sale:
From nonaffiliates	$	4,986		$	16,624
From PennyMac Financial Services, Inc.		2,641			2,401
		7,627			19,025
Mortgage loan origination fees		7,037			8,290
Net gain (loss) on investments:
From nonaffiliates		(7,733	)		18,091
From PennyMac Financial Services, Inc.		7,751			(1,370	)
		18			16,721
Net mortgage loan servicing fees:
From nonaffiliates		55,560			11,460
From PennyMac Financial Services, Inc.		595			292
		56,155			11,752
Interest income:
From nonaffiliates		37,046			43,453
From PennyMac Financial Services, Inc.		3,934			4,647
		40,980			48,100
Interest expense:
To nonaffiliates		32,840			35,374
To PennyMac Financial Services, Inc.		1,976			1,805
		34,816			37,179
Net interest income		6,164			10,921
Results of real estate acquired in settlement of loans		(3,226	)		(4,246	)
Other		1,898			2,011
Net investment income		75,673			64,474
Expenses
Earned by PennyMac Financial Services, Inc.:
Mortgage loan fulfillment fees		11,944			16,570
Mortgage loan servicing fees		11,019			10,486
Management fees		5,696			5,008
Mortgage loan collection and liquidation		2,229			354
Real estate held for investment		1,438			1,088
Professional services		1,319			1,453
Compensation		1,268			1,892
Mortgage loan origination		272			1,512
Other		2,650			3,503
Total expenses		37,835			41,866
Income before provision for (benefit from) income taxes		37,838			22,608
Provision for (benefit from) income taxes		9,652			(6,129	)
Net income		28,186			28,737
Dividends on preferred shares		6,234			571
Net income attributable to common shareholders	$	21,952		$	28,166
Earnings per common share
Basic	$	0.36		$	0.42
Diluted	$	0.35		$	0.40
Weighted-average common shares outstanding
Basic		60,761			66,719
Diluted		69,875			75,186
Dividends declared per common share	$	0.47		$	0.47

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)

	Preferred shares					Common shares
	Number					Number						Additional
	of					of			Par			paid-in			Accumulated
	shares		Amount			shares			value			capital			deficit			Total
	(in thousands, except per share amounts)
Balance at December 31, 2016		—	$	—			66,697		$	667		$	1,377,171		$	(26,724	)	$	1,351,114
Net income		—		—			—			—			—			28,737			28,737
Share-based compensation		—		—			153			1			1,526			—			1,527
Issuance of preferred shares		4,600		115,000			—			—			—			—			115,000
Issuance costs relating to preferred shares		—		(3,828	)		—			—			—			—			(3,828	)
Common share dividends ($0.47 per share)		—		—			—			—			—			(31,653	)		(31,653	)
Repurchase of common shares		—		—			(139	)		(1	)		(2,306	)		—			(2,307	)
Balance at March 31, 2017		4,600	$	111,172			66,711		$	667		$	1,376,391		$	(29,640	)	$	1,458,590
Balance at December 31, 2017		12,400	$	299,707			61,334		$	613		$	1,290,931		$	(46,666	)	$	1,544,585
Cumulative effect of a change in accounting    principle - Adoption of fair value    accounting for mortgage servicing rights		—		—			—			—			—			14,361			14,361
Balance at January 1, 2018		12,400		299,707			61,334			613			1,290,931			(32,305	)		1,558,946
Net income		—		—			—			—			—			28,186			28,186
Share-based compensation		—		—			220			2			897			—			899
Dividends
Common shares ($0.47 per share)		—		—			—			—			—			(28,818	)		(28,818	)
Preferred shares		—		—			—			—			—			(6,236	)		(6,236	)
Repurchase of common shares		—		—			(671	)		(6	)		(10,713	)		—			(10,719	)
Balance at March 31, 2018		12,400	$	299,707			60,883		$	609		$	1,281,115		$	(39,173	)	$	1,542,258

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)

	Quarter ended March 31,
	2018			2017
	(in thousands)
Cash flows from operating activities
Net income	$	28,186		$	28,737
Adjustments to reconcile net income to net cash provided by operating    activities:
Net gain on mortgage loans acquired for sale at fair value		(7,627	)		(19,025	)
Net gain on investments		(18	)		(16,721	)
Change in fair value, amortization and impairment of mortgage servicing rights		(5,125	)		27,046
Accrual of unearned discounts and amortization of premiums on mortgage-backed    securities, mortgage loans at fair value, and asset-backed secured financing of a VIE		507			1,406
Capitalization of interest, advances and fees on mortgage loans at fair value		(2,180	)		(9,903	)
Accrual of interest on excess servicing spread purchased from PennyMac Financial    Services, Inc.		(3,934	)		(4,647	)
Amortization of debt issuance costs and premiums, net		236			3,596
Results of real estate acquired in settlement of loans		3,226			4,246
Share-based compensation expense		899			1,527
Purchase of mortgage loans acquired for sale at fair value from nonaffiliates		(13,524,468	)		(14,474,654	)
Purchase of mortgage loans acquired for sale at fair value from PennyMac Financial    Services, Inc.		(781,326	)		(21,530	)
Repurchase of mortgage loans subject to representation and warranties		(2,830	)		(4,111	)
Sale and repayment of mortgage loans acquired for sale at fair value to nonaffiliates		5,200,584			4,858,845
Sale of mortgage loans acquired for sale to PennyMac Financial Services, Inc.		9,212,188			10,016,788
Decrease in servicing advances		17,204			6,187
Decrease (increase) in due from PennyMac Financial Services, Inc.		3,767			(3,995	)
(Increase) decrease in other assets		(25,462	)		30,948
Decrease in accounts payable and accrued liabilities		(1,229	)		(27,536	)
Increase in due to PennyMac Financial Services, Inc.		237			4,340
Increase (decrease) in income taxes payable		9,652			(6,161	)
Net cash provided by operating activities		122,487			395,383
Cash flows from investing activities
Net (increase) decrease in short-term investments		(52,646	)		102,205
Purchase of mortgage-backed securities at fair value		(500,573	)		(251,872	)
Sale and repayment of mortgage-backed securities at fair value		30,741			26,123
Sale and repayment of mortgage loans at fair value		276,467			127,556
Repayment of excess servicing spread by PennyMac Financial Services, Inc.		12,291			14,632
Net settlement of derivative financial instruments		(2,329	)		(28	)
Sale of real estate acquired in settlement of loans		32,437			63,224
Purchase of mortgage servicing rights		—			(62	)
Deposit of cash securing credit risk transfer agreements		(41,789	)		(15,793	)
Distribution from credit risk transfer agreements		27,655			12,305
Increase in margin deposits		(9,823	)		(36,267	)
Net cash (used in) provided by investing activities		(227,569	)		42,023

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)

	Quarter ended March 31,
	2018			2017
	(in thousands)
Cash flows from financing activities
Sale of assets under agreements to repurchase		17,446,171			17,770,687
Repurchase of assets sold under agreements to repurchase		(17,218,539	)		(18,054,705	)
Issuance of mortgage loan participation certificates		1,208,189			1,559,494
Repayment of mortgage loan participation certificates		(1,252,708	)		(1,512,435	)
Repayments of assets sold to PennyMac Financial Services, Inc. under    agreement to repurchase		(3,483	)		(175,000	)
Repayment of asset-backed financing of a variable interest entity at fair value		(3,915	)		(13,944	)
Advances under assets sold to to PennyMac Financial Services, Inc. under    agreement to repurchase		2,293			—
Payment of debt issuance costs		(2,306	)		(3,140	)
Issuance of preferred shares		—			115,000
Payment of issuance costs related to preferred shares		—			(3,828	)
Repurchase of common shares		(10,719	)		(2,307	)
Payment of dividends to preferred shareholders		(6,236	)		—
Payment of dividends to common shareholders		(29,145	)		(31,655	)
Net cash provided by (used in) financing activities		129,602			(351,833	)
Net increase in cash and restricted cash		24,520			85,573
Cash and restricted cash at beginning of quarter		77,647			34,476
Cash and restricted cash at end of quarter	$	102,167		$	120,049
Cash	$	102,167		$	120,049
Restricted cash		—			—
Total cash and restricted cash shown in the statement of cash flows	$	102,167		$	120,049

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

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-related assets.

The Company operates in four segments: correspondent production, credit sensitive strategies, interest rate sensitive strategies and corporate:

• 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”), both indirect controlled 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 credit sensitive strategies segment represents the Company’s investments in distressed mortgage loans, real estate acquired in settlement of mortgage loans (“REO”), real estate held for investment, credit risk transfer agreements (“CRT Agreements”), non-Agency subordinated bonds and small balance commercial real estate mortgage loans.

• The interest rate sensitive strategies segment represents the Company’s investments in mortgage servicing rights (“MSRs”), excess servicing spread (“ESS”), Agency and senior non-Agency MBS and the related interest rate hedging activities.  

• The corporate segment includes certain interest income, management fee and corporate expense amounts.

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 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, 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.

Note 2—Basis of Presentation and Accounting Changes

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, 2017.

The accompanying unaudited consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, results of operations, 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

Mortgage Servicing Rights

Effective January 1, 2018, the Company has elected to change the accounting for the classes of MSRs it accounted for using the amortization method through December 31, 2017, to the fair value method as allowed in the Transfers and Servicing topic of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”). The Manager determined that a single accounting treatment across all MSRs is consistent with lender valuation under its financing arrangements and simplifies hedging activities. As the result of this change, the Company recorded an adjustment to increase its investment in MSRs by $19.7 million, an increase in its liability for income taxes payable of $5.3 million and in increase in shareholders’ equity of $14.4 million.

Revenue

As disclosed in Note 33 – Recently Issued Accounting Pronouncements to the consolidated financial statements included in the Company’s Annual Report of form 10-K for the fiscal year ended December 31, 2017, the Manager has concluded that the Company’s revenues are not subject to ASU 2014-09 as they are financial instruments or other contractual rights and obligations accounted for under the Receivables, Investments and Debt and Equity Securities, Transfers and Servicing, Financial Instruments and Derivatives and Hedging topics of the FASB’s ASC.

Cash Flows

During the quarter ended March 31, 2018, the Company adopted FASB Accounting Standards Update 2016-18, Statement of Cash Flows (Topic 230) – Restricted Cash (“ASU 2016-18”). ASU 2016-18 requires that a statement of cash flows explain the change during the reporting period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statement of cash flows. Accordingly, the Company retrospectively changed the presentation of its statements of cash flows to conform to the requirements of ASU 2016-18. The adoption of ASU 2016-18 had no effect on previously reported statements of cash flows.

Note 3—Concentration of Risks

As discussed in Note 1 — Organization above, PMT’s operations and investing activities are centered in residential mortgage-related assets, including distressed mortgage loans and CRT Agreements.

Due to the nature of the Company’s investments in distressed mortgage loans, PMT is exposed, to a greater extent than traditional mortgage investors, to the risks associated with loan performance and resolution, including 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 that fluctuations in the residential real estate market may affect the performance of its investments. Factors influencing these risks include, but are not limited to:

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

• PCM’s ability to identify and PLS’ ability to execute optimal resolutions of distressed 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 inputs that properly anticipate, future outcomes;

• the level of government support for resolution of distressed mortgage loans 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.

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As detailed in Note 5 —Loan Sales and Variable Interest Entities, the Company invests in CRT Agreements whereby it sells pools of mortgage loans into Fannie Mae-guaranteed securitizations while retaining a portion of the credit risk underlying such mortgage loans (“Recourse Obligations”) as part of the retention of an interest-only (“IO”) ownership interest in such mortgage loans. The Company’s retention of credit risk subjects it to risks associated with delinquency and foreclosure similar to the risks associated with owning the underlying mortgage loans, and exposes the Company to risk of loss greater than the risks associated with selling the mortgage loans to Fannie Mae without the retention of such credit risk. Further, the risks associated with delinquency and foreclosure may in some instances be greater than the risks associated with owning the underlying mortgage loans because the structure of certain of the CRT Agreements provides that the Company may be required to realize losses in the event of delinquency or foreclosure even where there is ultimately no loss realized with respect to the underlying loan (e.g., as a result of a borrower’s re-performance). In addition to the risks specific to credit, the Company is exposed to market risk and, as a result of prevailing market conditions or the economy generally, may be required to recognize losses associated with adverse changes to the fair value of the CRT Agreements.

Most of the distressed mortgage loans and REO has been acquired by the Company in prior years from or through one or more subsidiaries of JPMorgan Chase & Co., Citigroup Inc., and Bank of America Corporation, as presented in the following summary:

	March 31, 2018		December 31, 2017
	(in thousands)
JPMorgan Chase & Co.
Mortgage loans at fair value	$	185,224	$	315,437
REO		59,178		66,294
		244,402		381,731
Citigroup Inc.
Mortgage loans at fair value		181,334		280,488
REO		21,091		26,702
		202,425		307,190
Bank of America Corporation
Mortgage loans at fair value		86,478		143,969
REO		26,050		27,970
		112,528		171,939
	$	559,355	$	860,860
Total carrying value of distressed mortgage loans at fair value and REO	$	609,893	$	931,298

Note 4—Transactions with Related Parties

Operating Activities

Correspondent Production Activities

The Company is provided fulfillment and other services by PLS under an amended and restated mortgage banking services agreement.

Pursuant to the terms of the agreement, the monthly fulfillment fee is an amount equal to (a) no greater than the product of (i) 0.35% and (ii) the aggregate initial unpaid principal balance (the “Initial UPB”) of all mortgage loans purchased in such month, plus (b) in the case of all mortgage loans other than mortgage loans sold to or securitized through Fannie Mae or Freddie Mac, no greater than the product of (i) 0.50% and (ii) the aggregate Initial UPB of all such mortgage loans sold and securitized in such month; provided however, that no fulfillment fee shall be due or payable to PLS with respect to any mortgage loans underwritten to Ginnie Mae guidelines.

The Company does not hold the Ginnie Mae approval required to issue securities guaranteed by Ginnie Mae MBS and act as a servicer. Accordingly, under the agreement, PLS currently purchases loans salable in accordance with the Ginnie Mae Mortgage-Backed Securities Guide “as is” and without recourse of any kind from the Company at cost less any administrative fees paid by the correspondent to the Company plus accrued interest and a sourcing fee ranging from two to three and one-half basis points, generally based on the average number of calendar days loans are held by the Company prior to purchase by PLS. The discretionary reductions and volume reimbursements described above are no longer in effect.

In consideration for the mortgage banking services provided by PLS with respect to the Company’s acquisition of mortgage loans under PLS’s early purchase program, PLS is entitled to fees accruing (i) at a rate equal to $1,500 per annum per early purchase facility, and (ii) in the amount of $35 for each mortgage loan that the Company acquires.

12

The mortgage banking services agreement expires on September 12, 2020, subject to automatic renewal for additional 18-month periods, unless terminated earlier in accordance with the terms of the agreement.

The Company purchases newly originated loans from PLS under a mortgage loan participation purchase and sale agreement and a flow commercial mortgage loan purchase agreement. Historically, the Company has used the mortgage loan participation purchase and sale agreement for the purpose of purchasing from PLS prime jumbo residential mortgage loans. Beginning in the quarter ended September 30, 2017, the Company also purchases non-government insured or guaranteed mortgage loans from PLS under the mortgage loan participation purchase and sale agreement. The Company uses the flow commercial mortgage loan purchase agreement for the purpose of purchasing from PLS small balance commercial mortgage loans, including multifamily mortgage loans, originated as part of PLS’s commercial lending activities.

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

	Quarter ended March 31,
	2018		2017
	(in thousands)
Purchases of mortgage loans acquired for sale from PLS	$	781,326	$	21,530
Mortgage loans fulfillment fees earned by PLS	$	11,944	$	16,570
UPB of mortgage loans fulfilled by PLS	$	4,225,631	$	4,631,906
Sourcing fees received from PLS included in    Net gain on mortgage loans acquired for sale	$	2,641	$	2,871
UPB of mortgage loans sold to PLS	$	8,847,873	$	9,574,717
Early purchase program fees paid to PLS included    in Mortgage loan servicing fees	$	—	$	5
Tax service fee paid to PLS included in Other expense	$	1,208	$	1,379

	March 31, 2018		December 31, 2017
	(in thousands)
Mortgage loans included in Mortgage loans acquired    for sale at fair value pending sale to PLS	$	259,673	$	279,571

Mortgage Loan Servicing Activities

The Company, through its Operating Partnership, has an amended and restated mortgage loan servicing agreement with PLS dated as of September 12, 2016. The servicing agreement provides for servicing fees earned by PLS that are based on a percentage of the mortgage loan’s unpaid principal balance or fixed per loan monthly amounts based on the delinquency, bankruptcy and/or foreclosure status of the serviced mortgage loan or the REO. PLS is also entitled to market-based fees and charges including boarding and deboarding fees, liquidation and disposition, assumption, modification and origination fees and late charges relating to mortgage loans it services for the Company.

• The base servicing fee rates for distressed whole mortgage loans range from $30 per month for current loans up to $85 per month for loans where the borrower has declared bankruptcy. The base servicing fee rate for REO is $75 per month.

• The base servicing fee rate for REO is $75 per month. To the extent that the Company rents its REO under an REO rental program, the Company pays PLS an REO rental fee of $30 per month per REO, an REO property lease renewal fee of $100 per lease renewal, and a property management fee in an amount equal to PLS’ 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 PLS provides property management services directly. PLS is also entitled to retain any tenant paid application fees and late rent fees and seek reimbursement for certain third party vendor fees.

• The base servicing fees for non-distressed mortgage loans subserviced by PLS on the Company’s 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 the Company’s behalf are $7.50 per month for fixed-rate loans and $8.50 per month for adjustable-rate mortgage loans.

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• To the extent that these non-distressed mortgage loans become delinquent, PLS is entitled to an additional servicing fee per mortgage loan ranging from $10 to $55 per month and based on the delinquency, bankruptcy and foreclosure status of the mortgage loan or $75 per month if the underlying mortgaged property becomes REO. PLS is also entitled to customary ancillary income and certain market-based fees and charges, including boarding and deboarding fees, liquidation and disposition fees, assumption, modification and origination fees.

• PLS 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 because the Company has limited employees and infrastructure. For these services, PLS received a supplemental fee of $25 per month for each distressed whole loan. PLS is entitled to reimbursement for all customary, good faith reasonable and necessary out-of-pocket expenses incurred in performance of its servicing obligations.

• PLS is also entitled to certain activity-based fees for distressed whole mortgage loans that are charged based on the achievement of certain events. These fees range from $750 for a streamline modification to $1,750 for a liquidation and $500 for a deed-in-lieu of foreclosure. PLS is not entitled to earn more than one liquidation fee, reperformance fee or modification fee per mortgage loan in any 18-month period.

• PLS, on behalf of the Company, is entitled to retain any incentive payments made to it and to which it is entitled under the U.S. Department of Treasury’s Home Affordable Modification Plan (“HAMP”); provided, however, that with respect to any such incentive payments paid to PLS under HAMP in connection with a mortgage loan modification for which the Company previously paid PLS a modification fee, PLS shall reimburse the Company an amount equal to the incentive payments.

The term of the servicing agreement expires on September 12, 2020, subject to automatic renewal for additional 18-month periods, unless terminated earlier in accordance with the terms of the servicing agreement.

Pursuant to the terms of an amended and restated MSR recapture agreement, if PLS refinances mortgage loans for which the Company previously held the MSRs, PLS is generally required to transfer and convey to one of the Company’s wholly-owned subsidiaries cash in an amount equal to 30% of the fair market value of the MSRs related to all the loans so originated. The MSR recapture agreement expires, unless terminated earlier in accordance with the agreement, on September 12, 2020, subject to automatic renewal for additional 18-month periods.

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Following is a summary of mortgage loan servicing fees earned by PLS and MSR recapture income earned from PLS:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Mortgage loans servicing fees:
Mortgage loans acquired for sale at fair value:
Base	$	56	$	65
Activity-based		122		143
		178		208
Mortgage loans at fair value:
Distressed mortgage loans:
Base		1,005		1,958
Activity-based		2,080		2,390
		3,085		4,348
Mortgage loans held in VIE:
Base		34		31
Activity-based		—		—
		34		31
MSRs:
Base		7,615		5,806
Activity-based		107		93
		7,722		5,899
	$	11,019	$	10,486
Average investment in:
Mortgage loans acquired for sale at fair value	$	1,046,289	$	1,099,406
Mortgage loans at fair value:
Distressed mortgage loans	$	738,333	$	1,327,421
Mortgage loans held in a VIE	$	314,717	$	361,110
Average MSR portfolio	$	73,694,438	$	57,927,056
MSR recapture income recognized included in Net    mortgage loan servicing fees - from PennyMac Financial Service, Inc.	$	595	$	292

Management Fees

Under a management agreement, the Company pays PCM management fees as follows:

• A base management fee that is calculated quarterly and is equal to the sum of (i) 1.5% per year of average shareholders’ equity up to $2 billion, (ii) 1.375% per year of average shareholders’ equity in excess of $2 billion and up to $5 billion, and (iii) 1.25% per year of average shareholders’ equity in excess of $5 billion.

• A performance incentive fee that 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.”

The performance incentive fee is calculated quarterly and 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.

For the purpose of determining the amount of the performance incentive fee:

“Net income” is defined as net income or loss attributable to common shares of beneficial interest computed in accordance with GAAP and certain other non-cash charges determined after discussions between PCM and the Company’s independent trustees and after approval by a majority of the Company’s independent trustees.

“Equity” is the weighted average of the issue price per common share of all of the Company’s public offerings, multiplied by the weighted average number of common shares outstanding (including restricted share units) in the rolling four-quarter period.

15

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 PCM to earn a performance incentive fee are adjusted cumulatively based on the performance of PMT’s 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 base management fee and the performance incentive fee are both payable quarterly in arrears. The performance incentive fee may be paid in cash or a combination of cash and the Company’s common shares (subject to a limit of no more than 50% paid in common shares), at the Company’s option.

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

	Quarter ended March 31,
	2018		2017
	(in thousands)
Base management	$	5,696	$	5,008
Performance incentive		—		—
	$	5,696	$	5,008

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

Expense Reimbursement and Amounts Payable to and Receivable from PCM

Under the management agreement, PCM is entitled to reimbursement of its organizational and operating expenses, including third-party expenses, incurred on the Company’s behalf, it being understood that PCM and its affiliates shall allocate a portion of their personnel’s time to provide certain legal, tax and investor relations services for the direct benefit of the Company. With respect to the allocation of PCM’s and its affiliates’ personnel, from and after September 12, 2016, PCM shall be reimbursed $120,000 per fiscal quarter, such amount to be reviewed annually and to not preclude reimbursement for any other services performed by PCM or its affiliates.

The Company is required to pay PCM and its affiliates a pro rata portion of rent, telephone, utilities, office furniture, equipment, machinery and other office, internal and overhead expenses of PCM and its affiliates required for the Company’s and its subsidiaries’ operations. These expenses are allocated based on the ratio of the Company’s and its subsidiaries’ proportion of gross assets compared to all remaining gross assets managed by PCM as calculated at each fiscal quarter end.

Following is a summary of the Company’s reimbursements to PCM and its affiliates for expenses:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Reimbursement of:
Common overhead incurred by PCM and its affiliates	$	1,121	$	1,434
Expenses incurred on the Company’s behalf, net		573		255
	$	1,694	$	1,689
Payments and settlements during the quarter (1)	$	7,658	$	24,393

(1) Payments and settlements include payments and netting settlements made pursuant to master netting agreements between the Company and PFSI for operating, investment and financing activities itemized in this Note.

16

Investing Activities

Spread Acquisition and MSR Servicing Agreements

On December 19, 2016, the Company, through a wholly-owned subsidiary, PennyMac Holdings, LLC (“PMH”), amended and restated a master spread acquisition and MSR servicing agreement with PLS (the “Spread Acquisition Agreement”), pursuant to which the Company may purchase from PLS, from time to time, the right to receive participation certificates representing beneficial ownership in ESS arising from Ginnie Mae MSRs acquired by PLS, in which case PLS generally would be required to service or subservice the related mortgage loans for Ginnie Mae. The primary purpose of the amendment and restatement was to facilitate the continued financing of the ESS owned by the Company in connection with the parties’ participation in the GNMA MSR Facility (as defined below).

To the extent PLS refinances any of the mortgage loans relating to the ESS the Company has acquired, the Spread Acquisition Agreement also contains recapture provisions requiring that PLS transfer to the Company, at no cost, the ESS relating to a certain percentage of the unpaid principal balance of the newly originated mortgage loans. However, under the 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, PLS 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 Spread Acquisition Agreement contains provisions that require PLS 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, PLS may, at its option, wire cash to the Company in an amount equal to such fair market value in lieu of transferring such ESS.

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

	Quarter ended March 31,
	2018		2017
	(in thousands)
ESS:
Received pursuant to a recapture agreement	$	904	$	1,573
Repayments and sales	$	12,291	$	14,632
Interest income	$	3,934	$	4,647
Net gain (loss) included in Net gain (loss) on investments:
Valuation changes	$	6,921	$	(2,773	)
Recapture income		830		1,403
	$	7,751	$	(1,370	)

Financing Activities

PFSI held 75,000 of the Company’s common shares at both March 31, 2018 and December 31, 2017.

Repurchase Agreement with PLS

On December 19, 2016, the Company, through PMH, entered into a master repurchase agreement with PLS (the “PMH Repurchase Agreement”), pursuant to which PMH may borrow from PLS for the purpose of financing PMH’s participation certificates representing beneficial ownership in ESS acquired from PLS under the Spread Acquisition Agreement. PLS then re-pledges such participation certificates to PNMAC GMSR ISSUER TRUST (the “Issuer Trust”) under a master repurchase agreement by and among PLS, the Issuer Trust and Private National Mortgage Acceptance Company, LLC, as guarantor (the “PC Repurchase Agreement”). The Issuer Trust was formed for the purpose of allowing PLS to finance MSRs and ESS relating to such MSRs (the “GNMA MSR Facility”).

In connection with the GNMA MSR Facility, PLS pledges and/or sells to the Issuer Trust participation certificates representing beneficial interests in MSRs and ESS pursuant to the terms of the PC Repurchase Agreement. In return, the Issuer Trust (a) has issued to PLS, pursuant to the terms of an indenture, the Series 2016-MSRVF1 Variable Funding Note, dated December 19, 2016, known as the “PNMAC GMSR ISSUER TRUST MSR Collateralized Notes, Series 2016-MSRVF1” (the “VFN”), and (b) may, from time to time pursuant to the terms of any supplemental indenture, issue to institutional investors additional term notes (“Term Notes”), in each case secured on a pari passu basis by the participation certificates relating to the MSRs and ESS. The maximum principal balance of the VFN is $1 billion.

17

The principal amount paid by PLS for the participation certificates under the PMH Repurchase Agreement is based upon a percentage of the market value of the underlying ESS. Upon PMH’s repurchase of the participation certificates, PMH is required to repay PLS the principal amount relating thereto plus accrued interest (at a rate reflective of the current market and consistent with the weighted average note rate of the VFN and any outstanding Term Notes) to the date of such repurchase. PLS is then required to repay the Issuer Trust the corresponding amount under the PC Repurchase Agreement.

Conditional Reimbursement of Initial Public Offering (“IPO”) Underwriting Fees

In connection with its 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 (the “Conditional Reimbursement”). Also in connection with its IPO, the Company agreed to pay the IPO underwriters up to $5.9 million in contingent underwriting fees. There were no reimbursements during the quarters ended March 31, 2018, and March 31, 2017.

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

	Quarter ended March 31,
	2018		2017
	(in thousands)
Interest expense	$	1,976	$	1,805

	March 31, 2018		December 31, 2017
	(in thousands)
Assets sold to PFSI under agreement to repurchase	$	142,938	$	144,128
Conditional Reimbursement payable to PFSI included in Accounts payable    and accrued liabilities	$	870	$	870

Amounts Receivable from and Payable to PFSI

Amounts receivable from and payable to PFSI are summarized below:

	March 31, 2018		December 31, 2017
	(in thousands)
Due from PFSI:
MSR recapture receivable	$	207	$	282
Other		106		3,872
	$	313	$	4,154
Due to PFSI:
Allocated expenses and expenses paid by PFSI on PMT’s behalf	$	8,806	$	11,542
Management fees		5,696		5,901
Mortgage loan servicing fees		5,562		6,583
Fulfillment fees		4,471		346
Correspondent production fees		1,825		1,735
Conditional Reimbursement		870		870
Interest on Assets sold to PFSI under agreement to repurchase		126		142
	$	27,356	$	27,119

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Note 5—Loan Sales and Variable Interest Entities

The Company is a variable interest holder in various special purpose entities that relate to its mortgage loan transfer and financing activities. These entities are classified as VIEs for accounting purposes. The Company has distinguished 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 of mortgage loans that are accounted for as sales where the Company maintains continuing involvement with the mortgage loans:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Cash flows:
Proceeds from sales	$	5,200,584	$	4,858,845
Mortgage loan servicing fees received (1)	$	48,732	$	37,281

(1) Net of guarantee fees

The following table summarizes unpaid principal balance (“UPB”) information for mortgage loans that are accounted for as sales for the dates presented:

	March 31, 2018		December 31, 2017
	(in thousands)
UPB of mortgage loans outstanding	$	74,783,511	$	71,639,351
Delinquent mortgage loans:
30-89 days delinquent	$	360,518	$	532,673
90 or more days delinquent:
Not in foreclosure	$	288,653	$	280,786
In foreclosure	$	31,989	$	25,258
Bankruptcy	$	56,032	$	52,202
Custodial funds managed by the Company (1)	$	1,005,744	$	879,321

(1) Custodial funds include borrower and investor custodial cash accounts relating to mortgage loans serviced under the servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the mortgage loans’ investors, which are included in Interest income in the Company’s consolidated statements of income.

Consolidated VIEs

Credit Risk Transfer Agreements

The Company, through PennyMac Corp (“PMC”), entered into CRT Agreements with Fannie Mae, pursuant to which PMC, through subsidiary trust entities, sells pools of mortgage loans into Fannie Mae-guaranteed securitizations while retaining the Recourse Obligations as part of the retention of an interest-only ownership interest in such mortgage loans.  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. Transfers of mortgage loans subject to CRT Agreements receive sale accounting treatment. The Deposits securing CRT Agreements represent the Company’s maximum contractual exposure to claims under its Recourse Obligations and is the sole source of settlement of losses under the CRT Agreements. Gains and losses on derivatives related to CRT Agreements are included in Net gain (loss) on investments in the consolidated statements of income. 

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Following is a summary of the CRT Agreements:

	Quarter ended March 31,
	2018			2017
	(in thousands)
UPB of mortgage loans sold under CRT Agreements	$	3,210,478		$	1,834,295
Deposits securing CRT Agreements	$	41,789		$	15,793
Increase in commitments to fund Deposits securing CRT Agreements    resulting from sale of mortgage loans under CRT Agreements	$	70,486		$	48,150
Interest earned on Deposits securing CRT Agreements	$	2,031		$	408
Gains recognized on CRT Agreements included in Net gain (loss) on investments
Realized	$	19,329		$	10,288
Resulting from valuation changes		5,355			10,019
		24,684			20,307
Change in fair value of interest-only security payable at fair value		(2,133	)		(1,720	)
	$	22,551		$	18,587
Payments made to settle losses	$	828		$	149

	March 31, 2018		December 31, 2017
	(in thousands)
UPB of mortgage loans subject to credit guarantee obligations	$	29,726,369	$	26,845,392
Delinquency status (in UPB):
Current	$	29,456,524	$	26,540,953
30—89 days delinquent	$	130,583	$	179,144
90—180 days delinquent	$	90,418	$	101,114
180 or more days delinquent	$	26,343	$	5,146
Foreclosure	$	8,335	$	5,463
Bankruptcy	$	14,166	$	13,572
Carrying value of CRT Agreements:
Derivative assets	$	103,995	$	98,640
Deposits securing CRT agreements	$	622,330	$	588,867
Interest-only security payable at fair value	$	7,796	$	7,070
CRT Agreement assets pledged to secure assets sold    under agreements to repurchase:
Deposits securing CRT Agreements	$	392,453	$	400,778
Derivative assets	$	24,423	$	26,058
Commitments to fund Deposits securing credit risk transfer agreements	$	552,957	$	482,471

Jumbo Mortgage Loan Financing

On September 30, 2013, the Company completed a securitization transaction in which PMT Loan Trust 2013-J1, a VIE, issued $537.0 million in UPB of certificates backed by fixed-rate prime jumbo mortgage loans, at a 3.9% weighted yield. The fair value of the certificates retained by the Company was $14.1 million as of March 31, 2018. The Company includes the balance of certificates issued to nonaffiliates in Asset backed financing of a variable interest entity at fair value.

20

Note 6—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.

The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are:

• Level 1—Quoted prices in active markets for identical assets or liabilities.

• Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the Company. These may include quoted prices for similar assets or liabilities, interest rates, prepayment speeds, credit risk and other inputs.

• Level 3—Prices determined using significant unobservable inputs. In situations where significant observable inputs are unavailable, unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing assets and liabilities, and are based on the best information available in the circumstances.

As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” fair value assets and liabilities, the Manager is required to make judgments regarding these items’ fair values. Different persons in possession of the same facts may reasonably arrive at different conclusions as to the inputs to be applied in valuing these assets and liabilities and to their fair values. Likewise, due to the general illiquidity of some of these assets and liabilities, subsequent transactions may be at values significantly different from those reported.

Fair Value Accounting Elections

The Manager identified all of the Company’s non-cash financial assets and MSRs to be accounted for at fair value. The Manager has elected to account for these assets 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 asset-backed financing of a VIE and interest only security payable at fair value 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 assets at fair value collateralizing these financings. For other borrowings, 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 facility, thereby matching the debt issuance cost to the periods benefiting from the availability of the debt. Before January 1, 2018, originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5% were accounted for using the amortization method. Beginning January 1, 2018, the Company elected to account for all MSRs at fair value prospectively.

21

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:

	March 31, 2018
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	71,044	$	—	$	—	$	71,044
Mortgage-backed securities at fair value		—		1,436,456		—		1,436,456
Mortgage loans acquired for sale at fair value		—		1,107,844		7,690		1,115,534
Mortgage loans at fair value		—		311,102		468,387		779,489
Excess servicing spread purchased from PFSI		—		—		236,002		236,002
Derivative assets:
Interest rate lock commitments		—		—		3,220		3,220
CRT Agreements		—		—		103,995		103,995
Repurchase agreement derivatives		—		—		5,892		5,892
Forward purchase contracts				11,400		—		11,400
Forward sale contracts		—		6		—		6
MBS put options		—		4,086		—		4,086
Call options on interest rate futures		492		—		—		492
Put options on interest rate futures		367		—		—		367
Total derivative assets before netting		859		15,492		113,107		129,458
Netting		—		—		—		(6,940	)
Total derivative assets after netting		859		15,492		113,107		122,518
Mortgage servicing rights at fair value		—		—		957,013		957,013
	$	71,903	$	2,870,894	$	1,782,199	$	4,718,056
Liabilities:
Asset-backed financing of a VIE at fair value	$	—	$	296,982	$	—	$	296,982
Interest-only security payable at fair value		—		—		7,796		7,796
Derivative liabilities:
Interest rate lock commitments		—		—		511		511
Forward purchase contracts		—		1		—		1
Forward sales contracts		—		8,345		—		8,345
Total derivative liabilities before netting		—		8,346		511		8,857
Netting		—		—		—		(5,221	)
Total derivative liabilities after netting		—		8,346		511		3,636
	$	—	$	305,328	$	8,307	$	308,414

22

	December 31, 2017
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	18,398	$	—	$	—	$	18,398
Mortgage-backed securities at fair value		—		989,461		—		989,461
Mortgage loans acquired for sale at fair value		—		1,261,380		8,135		1,269,515
Mortgage loans at fair value		—		321,040		768,433		1,089,473
Excess servicing spread purchased from PFSI		—		—		236,534		236,534
Derivative assets:
Interest rate lock commitments		—		—		4,859		4,859
CRT Agreements		—		—		98,640		98,640
Repurchase agreement derivatives		—		—		3,748		3,748
Forward purchase contracts		—		4,343		—		4,343
Forward sale contracts		—		387		—		387
MBS put options		—		3,170		—		3,170
Put options on interest rate futures		656		—		—		656
Total derivative assets before netting		656		7,900		107,247		115,803
Netting		—		—		—		(1,922	)
Total derivative assets after netting		656		7,900		107,247		113,881
Mortgage servicing rights at fair value		—		—		91,459		91,459
	$	19,054	$	2,579,781	$	1,211,808	$	3,808,721
Liabilities:
Asset-backed financing of a VIE at fair value	$	—	$	307,419	$	—	$	307,419
Interest-only security payable at fair value		—		—		7,070		7,070
Derivative liabilities:
Interest rate lock commitments		—		—		227		227
Forward purchase contracts		—		248		—		248
Forward sales contracts		—		2,830		—		2,830
Total derivative liabilities before netting		—		3,078		227		3,305
Netting		—		—		—		(1,999	)
Total derivative liabilities after netting		—		3,078		227		1,306
	$	—	$	310,497	$	7,297	$	315,795

23

The following is a summary of changes in items measured at fair value on a recurring basis using Level 3 inputs that are significant to the estimation of the fair values of the assets and liabilities at either the beginning or end of the years presented:

	Quarter ended March 31, 2018
	Mortgage loans acquired for sale at fair value			Mortgage loans at fair value			Excess servicing spread			Interest rate lock commitments (1)			CRT Agreements			Repurchase agreement derivatives			Mortgage servicing rights		Total
	(in thousands)
Assets:
Balance, December 31, 2017	$	8,135		$	768,433		$	236,534		$	4,632		$	98,640		$	3,748		$	91,459	$	1,211,581
Cumulative effect of a change in    accounting principle — Adoption of fair    value accounting for mortgage servicing    rights		—			—			—			—			—			—			773,035		773,035
Balance, January 1, 2018		8,135			768,433			236,534			4,632			98,640			3,748			864,494		1,984,616
Purchases and issuances		2,831			—			—			4,609			—			2,164			—		9,604
Repayments and sales		(3,539	)		(272,513	)		(12,291	)		—			(19,329	)		(8	)		—		(307,680	)
Capitalization of interest		—			2,180			3,934			—			—			—			—		6,114
Capitalization of advances		—			1,677			—			—			—			—			—		1,677
ESS received pursuant to a recapture    agreement with PFSI		—			—			904			—			—			—			—		904
Servicing received as proceeds from sales    of mortgage loans		—			—			—			—			—			—			66,546		66,546
Changes in fair value included in income    arising from:
Changes in instrument-specific credit    risk		—			2,681			—			—			—			—			—		2,681
Other factors		103			(12,632	)		6,921			(19,467	)		24,684			(12	)		25,973		25,570
		103			(9,951	)		6,921			(19,467	)		24,684			(12	)		25,973		28,251
Transfers of mortgage loans to REO and    real estate held for investment		—			(21,439	)		—			—			—			—			—		(21,439	)
Transfers of mortgage loans acquired for    sale at fair value from "Level 2" to    "Level 3" (2)		160			—			—			—			—			—			—		160
Transfers of interest rate lock    commitments to mortgage loans    acquired for sale		—			—			—			12,935			—			—			—		12,935
Balance, March 31, 2018	$	7,690		$	468,387		$	236,002		$	2,709		$	103,995		$	5,892		$	957,013	$	1,781,688
Changes in fair value recognized during    the quarter relating to assets still held at    March 31, 2018	$	(14	)	$	(9,040	)	$	6,921		$	2,709		$	5,355		$	77		$	25,973	$	31,981

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

(2) During the quarter ended March 31, 2018, the Manager identified certain “Level 2” fair value mortgage loans that were not salable into the prime mortgage market and therefore transferred them to “Level 3”.

24

	Quarter ended March 31, 2018
	Interest-only
	security payable
	(in thousands)
Liabilities:
Balance, December 31, 2017	$	7,070
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		—
Other factors		726
		726
Balance, March 31, 2018	$	7,796
Changes in fair value recognized during the quarter relating to liability outstanding at    March 31, 2018	$	726

	Quarter ended March 31, 2017
	Mortgage			Excess			Interest						Mortgage
	loans			servicing			rate lock			CRT			servicing
	at fair value			spread			commitments (1)			Agreements			rights			Total
	(in thousands)
Assets:
Balance, December 31, 2016	$	1,354,572		$	288,669		$	3,777		$	15,610		$	64,136		$	1,726,764
Purchases and issuances		—			—			17,762			—			62			17,824
Repayments and sales		(113,576	)		(14,632	)		—			(10,288	)		—			(138,496	)
Capitalization of interest		9,903			4,647			—			—			—			14,550
Capitalization of advances		6,349			—			—			—			—			6,349
ESS received pursuant to a recapture agreement    with PFSI		—			1,573			—			—			—			1,573
Servicing received as proceeds from sales of    mortgage loans		—			—			—			—			7,478			7,478
Changes in fair value included in income arising    from:
Changes in instrument-specific credit risk		4,970			—			—			—			—			4,970
Other factors		(1,754	)		(2,773	)		11,171			20,307			(1,993	)		24,958
		3,216			(2,773	)		11,171			20,307			(1,993	)		29,928
Transfers of mortgage loans to REO and real estate    held for investment		(30,911	)		—			—			—			—			(30,911	)
Transfers of interest rate lock commitments to    mortgage loans acquired for sale		—			—			(23,989	)		—			—			(23,989	)
Balance, March 31, 2017	$	1,229,553		$	277,484		$	8,721		$	25,629		$	69,683		$	1,611,070
Changes in fair value recognized during the quarter    relating to assets still held at March 31, 2017	$	485		$	(2,773	)	$	8,721		$	10,019		$	(1,993	)	$	14,459

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

	Quarter ended March 31, 2017
	Interest-only
	security payable
	(in thousands)
Liabilities:
Balance, December 31, 2016	$	4,114
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		—
Other factors		487
		487
Balance, March 31, 2017	$	4,601
Changes in fair value recognized during the quarter relating to liability outstanding at    March 31, 2017	$	487

25

The Company had transfers among the fair value levels arising from transfers of IRLCs to mortgage loans held for sale at fair value upon purchase of the respective mortgage loans.

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 held in a consolidated VIE, and distressed mortgage loans at fair value): 

	March 31, 2018							December 31, 2017
	Fair value		Principal amount due upon maturity		Difference			Fair value		Principal amount due upon maturity		Difference
	(in thousands)
Mortgage loans acquired for sale at fair value:
Current through 89 days delinquent:	$	1,114,282	$	1,084,121	$	30,161		$	1,268,121	$	1,221,125	$	46,996
90 or more days delinquent:
Not in foreclosure		606		725		(119	)		950		1,120		(170	)
In foreclosure		646		683		(37	)		444		496		(52	)
		1,252		1,408		(156	)		1,394		1,616		(222	)
	$	1,115,534	$	1,085,529	$	30,005		$	1,269,515	$	1,222,741	$	46,774
Mortgage loans at fair value:
Mortgage loans held in a consolidated VIE:
Current through 89 days delinquent:	$	311,102	$	312,730	$	(1,628	)	$	321,040	$	316,684	$	4,356
90 or more days delinquent:
Not in foreclosure		—		—		—			—		—		—
In foreclosure		—		—		—			—		—		—
		—		—		—			—		—		—
		311,102		312,730		(1,628	)		321,040		316,684		4,356
Distressed mortgage loans at fair value:
Current through 89 days delinquent:		263,263		334,185		(70,922	)		414,785		519,009		(104,224	)
90 or more days delinquent:
Not in foreclosure		97,971		155,224		(57,253	)		166,749		257,038		(90,289	)
In foreclosure		107,153		156,812		(49,659	)		186,899		267,911		(81,012	)
		205,124		312,036		(106,912	)		353,648		524,949		(171,301	)
		468,387		646,221		(177,834	)		768,433		1,043,958		(275,525	)
	$	779,489	$	958,951	$	(179,462	)	$	1,089,473	$	1,360,642	$	(271,169	)

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 March 31, 2018
	Net gain on						Net
	mortgage						mortgage
	loans			Net gain			loan		Net
	acquired			(loss) on			servicing		interest
	for sale			investments			fees		income		Total
	(in thousands)
Assets:
Short-term investments	$	—		$	—		$	—	$	—	$	—
Mortgage-backed securities at fair value		—			(22,397	)		—		440		(21,957	)
Mortgage loans acquired for sale at fair value		(23,678	)		—			—		—		(23,678	)
Mortgage loans at fair value		—			(15,530	)		—		1,774		(13,756	)
ESS at fair value		—			6,921			—		3,934		10,855
MSRs at fair value		—			—			25,973		—		25,973
	$	(23,678	)	$	(31,006	)	$	25,973	$	6,148	$	(22,563	)
Liabilities:
Interest-only security payable	$	—		$	726		$	—	$	—	$	726
Asset-backed financing of a VIE at fair value		—			6,183			—		339		6,522
	$	—		$	6,909		$	—	$	339	$	7,248

26

	Quarter ended March 31, 2017
	Net gain on					Net
	mortgage					mortgage
	loans		Net gain			loan			Net
	acquired		on			servicing			interest
	for sale		investments			fees			income			Total
	(in thousands)
Assets:
Short-term investments	$	—	$	—		$	—		$	—		$	—
Mortgage-backed securities at fair value		—		140			—			(1,318	)		(1,178	)
Mortgage loans acquired for sale at fair value		14,158		—			—			—			14,158
Mortgage loans at fair value		—		3,532			—			10,201			13,733
ESS at fair value		—		(2,773	)		—			4,647			1,874
MSRs at fair value		—		—			(1,993	)		—			(1,993	)
	$	14,158	$	899		$	(1,993	)	$	13,530		$	26,594
Liabilities:
Interest-only security payable	$	—	$	(487	)	$	—		$	—		$	(487	)
Asset-backed financing of a VIE at fair value		—		(24	)		—			(387	)		(411	)
	$	—	$	(511	)	$	—		$	(387	)	$	(898	)

Financial Statement Items Measured at Fair Value on a Nonrecurring Basis

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

	March 31, 2018
	Level 1		Level 2		Level 3		Total
	(in thousands)
Real estate acquired in settlement of loans	$	—	$	—	$	57,675	$	57,675
	$	—	$	—	$	57,675	$	57,675

	December 31, 2017
	Level 1		Level 2		Level 3		Total
	(in thousands)
Real estate acquired in settlement of loans	$	—	$	—	$	71,380	$	71,380
MSRs at lower of amortized cost or fair value		—		—		312,995		312,995
	$	—	$	—	$	384,375	$	384,375

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

	Quarter ended March 31,
	2018			2017
	(in thousands)
Real estate asset acquired in settlement of loans	$	(4,769	)	$	(7,060	)
MSRs at lower of amortized cost or fair value		—			1,504
	$	(4,769	)	$	(5,556	)

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. 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 REO acquisition in the case of acquisition in settlement of a mortgage 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 fair 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.

27

Mortgage Servicing Rights at Lower of Amortized Cost or Fair Value

Before the Company adopted fair value accounting for all of its existing classes of MSRs on January 1, 2018, the Company evaluated 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 stratified 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 were grouped into pools with 50 basis point interest rate ranges for fixed-rate mortgage loans with interest rates between 3.0% and 4.5% and a single pool for mortgage loans with interest rates below 3.0%. MSRs relating to adjustable rate mortgage loans with initial interest rates of 4.5% or less were evaluated in a single pool. If the fair value of MSRs in any of the interest rate pools was below the amortized cost of the MSRs, those MSRs were impaired.

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

Before the adoption of fair value accounting for all MSRs, the Manager periodically reviewed the various impairment strata to determine whether the fair value of the impaired MSRs in a given stratum was likely to recover. When the Manager deemed recovery of fair 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 was charged to the valuation allowance.

Fair Value of Financial Instruments Carried at Amortized Cost

Certain of the Company’s borrowings are carried at amortized cost. The Company’s Assets sold under agreements to repurchase, Mortgage loan participation purchase and sale agreements, Exchangeable senior notes and Assets sold to PennyMac Financial Services, Inc. under agreements to repurchase are classified as “Level 3” fair value liabilities due to the Company’s reliance on unobservable inputs to estimate these instruments’ fair values.

The Manager has concluded that the fair values of Assets sold under agreements to repurchase, Mortgage loan participation purchase and sale agreements and Assets sold to PennyMac Financial Services, Inc. under agreements to repurchase approximate the agreements’ carrying values due to the borrowing agreements’ short terms and variable interest rates. The fair value of the Exchangeable senior notes at March 31, 2018 and December 31, 2017 was $249.5 million and $244.9 million, respectively. The fair value of the Exchangeable senior notes is estimated using a broker indication of fair value.

Valuation Techniques and Inputs

Most of the Company’s assets, its Asset-backed financing of a VIE, Interest-only security payable and Derivative liabilities are carried at fair value with changes in fair value recognized in current period income. A substantial portion of these items are “Level 3” fair value assets and liabilities which require the use of unobservable inputs that are significant to the estimation of the fair values of the assets and liabilities. Unobservable inputs reflect the Manager’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” fair value assets and liabilities, the Manager has assigned responsibility for estimating fair value of these assets and liabilities 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” fair value assets and liabilities other than IRLCs and maintaining its valuation policies and procedures.

With respect to the Company’s non-IRLC “Level 3” fair value assets and liabilities, the FAV group reports to the Manager’s valuation committee, which oversees and approves the valuations. The FAV group monitors the models used for valuation of the Company’s non-IRLC “Level 3” fair value assets and liabilities, including the models’ performance versus actual results, and reports those results to the Manager’s valuation committee. The Manager’s valuation committee includes PFSI’s executive chairman, chief executive, chief financial, chief risk and deputy chief financial officers.

The FAV group is responsible for reporting to the Manager’s valuation committee on the changes in the valuation of the non-IRLC “Level 3” fair value assets and liabilities, 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.

The fair value of the Company’s IRLCs is developed by the Manager’s Capital Markets Risk Management staff and is reviewed by the Manager’s Capital Markets Operations group.

28

The following is a description of the techniques and inputs used in estimating the fair values of “Level 2” and “Level 3” fair value assets and liabilities:

Mortgage-Backed Securities

The Company categorizes its current holdings of MBS as “Level 2” fair value assets. Fair value of these MBS is established based on quoted market prices for the Company’s MBS or similar securities. Changes in the fair value of MBS are included in Net gain (loss) on investments in the consolidated statements of income.

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 most 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” fair value assets. The fair values of mortgage loans acquired for sale at fair value are established using their quoted market or contracted price or market price equivalent. For the mortgage loans at fair value held in a VIE, the quoted 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.

• Mortgage loans that are not saleable into active markets, comprised primarily of distressed mortgage loans, are categorized as “Level 3” fair value assets 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, discount rates and forecasts of future interest rates, home prices, prepayment speeds, default speeds, loss severities or contracted selling price when applicable.

The valuation process for “Level 3” fair value mortgage loans 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 inputs such as interest rates, home prices, and delinquency status to assess the reasonableness of changes in the mortgage loan valuation.

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 mortgage loan’s delinquency status and performance 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 mortgage loans’ fair value measurement. Increases in home price projections are generally accompanied by an increase in voluntary prepayment speeds. Changes in the fair value of mortgage loans at fair value are included in Net gain (loss) on investments in the consolidated statements of income.

Following is a quantitative summary of key inputs used in the valuation of mortgage loans at fair value (excluding loans held in a VIE):

Key inputs	March 31, 2018	December 31, 2017
Discount rate
Range	3.2% – 15.0%	2.9% – 15.0%
Weighted average	6.7%	6.9%
Twelve-month projected housing price index change
Range	2.2% – 3.3%	3.6% – 4.6%
Weighted average	3.1%	4.4%
Prepayment speed (1)
Range	3.1% – 6.6%	3.2% – 11.0%
Weighted average	4.2%	4.2%
Total prepayment speed (2)
Range	10.6% – 22.8%	10.8% – 23.8%
Weighted average	16.2%	16.5%

(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 PFSI

The Company categorizes ESS as a “Level 3” fair value asset. 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 pricing spread (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.

Changes in the fair value of ESS are included in Net gain (loss) on investments in the consolidated statements of income.

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

Key inputs	March 31, 2018		December 31, 2017
UPB of underlying mortgage loans (in thousands)	$	26,236,839	$	27,217,199
Average servicing fee rate (in basis points)		34		34
Average ESS rate (in basis points)		19		19
Pricing spread (1)
Range	3.6% - 4.1%		3.8% - 4.3%
Weighted average	3.9%		4.1%
Annual total prepayment speed (2)
Range	8.0% - 52.4%		8.4% - 41.4%
Weighted average	9.9%		10.8%
Life (in years)
Range	1.1 - 7.8		1.4 - 7.7
Weighted average		6.8		6.5

(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

Interest Rate Lock Commitments

The Company categorizes IRLCs as “Level 3” fair value assets and liabilities. 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 loan and the probability that the mortgage loan will be purchased under the commitment (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 fair value, but also increase the pull-through rate for the mortgage loan principal and interest payment cash flow component that has decreased in fair value. Changes in fair value of IRLCs are included in Net gain on mortgage loans acquired for sale in the consolidated statements of income.

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

Key inputs	March 31, 2018		December 31, 2017
Pull-through rate
Range	57.5% – 100%		58.0% - 100%
Weighted average	88.0%		90.3%
MSR value expressed as
Servicing fee multiple
Range	2.6 - 5.9		2.1 - 5.8
Weighted average		4.7		4.9
Percentage of UPB
Range	0.0% – 2.6%		0.0% - 2.4%
Weighted average	1.2%		1.3%

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CRT Agreements

The fair value of CRT Agreements is established based on whether the aggregation period has been completed and the CRT Agreements have been securitized. For securitized CRT Agreements, fair value is based on indications of fair value provided to the Company by nonaffiliated brokers for the certificates representing the beneficial deposits securing the CRT Agreements, the Recourse Obligation and the IO ownership interest in these items. Fair value of the CRT derivative is derived by deducting the balance of the Deposits securing CRT Agreements from the indication of fair value provided by the nonaffiliated brokers. For CRT Agreements that have not been securitized, fair value is estimated using a discounted cash flow analysis. The Company classifies these derivatives as “Level 3” fair value assets. The significant unobservable inputs into the valuation of these derivatives are the discount rate and voluntary and involuntary prepayment rates of the underlying mortgage loans. Changes in fair value of CRT Agreements are included in Net gain (loss) on investments.

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

Key inputs	March 31, 2018	December 31, 2017
Discount rate
Range	5.6% – 6.6%	5.1% – 6.2%
Weighted average	6.1%	5.6%
Voluntary Prepayment speed (1)
Range	8.6% – 10.4%	12.1% – 15.0%
Weighted average	9.1%	13.0%
Involuntary prepayment speed (2)
Range	0.3% – 0.3%	0.3% – 0.3%
Weighted average	0.3%	0.3%

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

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

Repurchase Agreement Derivatives

The Company has a master repurchase agreement that includes incentives for financing mortgage loans approved for satisfying certain consumer relief characteristics. These incentives are classified as embedded derivatives for financial reporting purposes and are accounted for separate from the related repurchase agreements. The Company classifies these derivatives as “Level 3” fair value assets. The significant unobservable input into the valuation of these derivative assets is the Company’s ratio of derivative value to outstanding receivable due to the time value of money and the expected approval rate of the mortgage loans financed under the master repurchase agreement. The ratio included in the Company’s fair value estimate was 97% at both March 31, 2018, and December 31, 2017.

Hedging Derivatives

Fair values of derivative financial instruments based on exchange traded market prices are categorized by the Company as “Level 1” fair value assets and liabilities; fair values of derivative financial instruments based on observable interest rates, volatilities and prices in the MBS market are categorized by the Company as “Level 2” fair value assets and liabilities. Changes in the fair value of hedging derivatives are included in Net gain on mortgage loans acquired for sale, Net gain (loss) on investments, or Net mortgage loan servicing fees, as applicable, in the consolidated statements of income.

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” fair value asset. 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. The Manager’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 fair value. Changes in the fair value of REO are included in Results of real estate acquired in settlement of loans in the consolidated statements of income.

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Mortgage Servicing Rights

MSRs are categorized as “Level 3” fair value assets. 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 the applicable pricing spread, prepayment and default rates of the underlying mortgage loans, 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. Recognized changes in the fair value of MSRs are included in Net mortgage loan servicing fees in the consolidated statements of income.

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 expected life of the underlying mortgage loans, thereby reducing the cash flows expected to accrue to the MSRs. Reductions in the fair value of MSRs affect income primarily through change in fair value and change in impairment. Through December 31, 2017, the Company accounted for certain of its MSRs using the amortization method. Beginning January 1, 2018, the Company accounts for all MSRs at fair value prospectively.

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

	Quarter ended March 31,
	2018			2017
	Fair value			Amortized cost		Fair value
	(MSR recognized and UPB of underlying mortgage loan amounts in thousands)
MSR recognized	$		66,546	$	51,210	$	7,478
Key inputs
UPB of underlying mortgage loans	$		5,114,741	$	4,092,267	$	660,586
Weighted-average annual servicing fee rate    (in basis points)		26		25		25
Pricing spread (1)
Range		7.4% – 12.6%		7.6% – 12.6%		7.6% – 7.6%
Weighted average		7.5%		7.6%		7.6%
Annual total prepayment speed (2)
Range		3.2% – 22.8%		3.2% – 28.7%		7.9% – 20.7%
Weighted average		8.1%		7.5%		10.9%
Life (in years)
Range		3.5 - 11.9		2.7 – 11.9		4.0 – 8.5
Weighted average		8.4			8.3		7.2
Annual per-loan cost of servicing
Range		$79 - $79		$79 – $79		$79 – $79
Weighted average		$79		$79		$79

(1) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs.

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

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Following is a quantitative summary of key inputs used in the valuation of MSRs as of the dates presented, and the effect on the fair value from adverse changes in those inputs: 

	March 31, 2018			December 31, 2017
	Fair value			Amortized cost		Fair value
	(Carrying value, UPB of underlying mortgage loans and effect on fair value amounts in thousands)
Carrying value	$		957,013	$	753,322	$	91,459
Key inputs:
UPB of underlying mortgage loans	$		75,261,574	$	63,853,606	$	8,273,696
Weighted-average annual servicing fee rate    (in basis points)		25			25		25
Weighted-average note interest rate		4.0%		3.9%		4.7%
Pricing spread (1)
Range		7.4% – 13.1%		7.6% – 13.1%		7.6% – 12.6%
Weighted average		7.4%		7.6%		7.6%
Effect on fair value of (2):
5% adverse change		$(14,450)		$(11,848)		$(1,347)
10% adverse change		$(28,487)		$(23,352)		$(2,655)
20% adverse change		$(55,385)		$(45,379)		$(5,162)
Prepayment speed (3)
Range		6.5% – 27.2%		7.1% – 27.1%		7.3% – 20.9%
Weighted average		8.0%		8.4%		11.1%
Life (in years)
Range		2.9 - 8.3		2.9 - 8.0		3.1 - 6.8
Weighted average			7.9		7.6		6.8
Effect on fair value of (2):
5% adverse change		$(13,939)		$(12,267)		$(1,954)
10% adverse change		$(27,417)		$(24,120)		$(3,827)
20% adverse change		$(53,083)		$(46,668)		$(7,352)
Annual per-loan cost of servicing
Range		$77 - $79		$78 – $79		$77 – $79
Weighted average		$79		$79		$79
Effect on fair value of (2):
5% adverse change		$(6,962)		$(5,721)		$(744)
10% adverse change		$(13,925)		$(11,441)		$(1,488)
20% adverse change		$(27,849)		$(22,883)		$(2,976)

(1) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs.

(2) For MSRs carried at fair value, an adverse change in one of the above-mentioned key inputs is expected to result in a recognized reduction in fair value which will be recorded in income. For MSRs carried at lower of amortized cost or fair value, an adverse change in one of the above-mentioned key inputs may have resulted in recognition of MSR impairment. The extent of the recognized MSR impairment depended on the relationship of fair value to the carrying value of such MSRs.

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

The preceding sensitivity analyses are limited in that they were performed as of a particular point in time; only account for the estimated effect of 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 events, 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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Note 7—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:

Loan type	March 31, 2018		December 31, 2017
	(in thousands)
Conventional:
Agency-eligible	$	837,994	$	971,910
Held for sale to PLS — Government insured or guaranteed		259,673		279,571
Commercial real estate		10,177		9,898
Repurchased pursuant to representations and warranties		7,690		8,136
	$	1,115,534	$	1,269,515
Mortgage loans pledged to secure:
Assets sold under agreements to repurchase	$	1,097,266	$	1,201,992
Mortgage loan participation purchase and sale agreements		—		47,285
	$	1,097,266	$	1,249,277

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 sellers to PLS, which is a Ginnie Mae-approved issuer, and earns a sourcing fee ranging from two to three and one-half basis points, generally based on the average number of calendar days that mortgage loans are held prior to purchase by PLS.

Note 8—Mortgage Loans at Fair Value

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

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

	March 31, 2018				December 31, 2017
Loan type	Fair value		Unpaid principal balance		Fair value		Unpaid principal balance
	(in thousands)
Distressed mortgage loans:
Nonperforming mortgage loans	$	205,124	$	312,036	$	353,648	$	524,949
Performing mortgage loans:
Interest rate step-up		137,451		181,412		189,724		242,335
Fixed interest rate		102,605		128,737		186,929		236,840
Adjustable-rate/hybrid		23,207		24,036		38,132		39,834
		263,263		334,185		414,785		519,009
		468,387		646,221		768,433		1,043,958
Fixed interest rate jumbo mortgage loans held in a VIE		311,102		312,730		321,040		316,684
	$	779,489	$	958,951	$	1,089,473	$	1,360,642
Mortgage loans at fair value pledged to secure:
Assets sold under agreements to repurchase	$	459,809			$	760,853
Asset-backed financing of a VIE at fair value		311,102				321,040
	$	770,911			$	1,081,893

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Following is a summary of certain concentrations of credit risk in the portfolio of distressed mortgage loans at fair value:

Concentration	March 31, 2018	December 31, 2017
	(percentages are of fair value)
Portion of mortgage loans originated between 2005 and 2007	73%	73%
Mortgage loans with unpaid-principal balance-to-current    -property-value in excess of 100%	38%	38%
States contributing 5% or more of mortgage loans	New York California New Jersey Florida Massachusetts	New York California New Jersey Florida Massachusetts

Note 9—Derivative Activities

The Company holds and issues derivative financial instruments in connection with its operating activities. Derivative financial instruments are created as a result of certain of the Company’s operations and the Company also enters into derivative transactions as part of its interest rate risk management activities.

Derivative financial instruments created as a result of the Company’s operations include:

• IRLCs that are created when the Company commits to purchase mortgage loans acquired for sale;

• CRT Agreements whereby the Company retains a Recourse Obligation relating to certain mortgage loans it sells into Fannie Mae guaranteed securitizations and an IO ownership interest in such mortgage loans; and

• Derivatives that are embedded in a master repurchase agreement that provides for the Company to receive interest expense offsets if it finances mortgage loans approved as satisfying certain consumer credit relief characteristics under the master repurchase agreement.

The Company engages in interest rate risk management activities in an effort to reduce the variability of earnings caused by the effects of changes in interest rates on the fair value of certain of its assets and liabilities. The Company is exposed to price risk relative to the IRLCs it issues to correspondent sellers and to the mortgage loans it purchases as a result of issuing the IRLCs. The Company bears price risk from the time an IRLC is issued to a correspondent seller until the time the purchased mortgage loan is sold. The Company is exposed to loss if market mortgage interest rates increase, because market interest rate increases generally cause the fair value of the IRLC or mortgage loan acquired for sale to decrease. The Company is exposed to losses related to its investment in MSRs if market mortgage interest rates decrease, because market interest rate decreases generally encourage mortgage refinancing activity, which reduces the expected life of the mortgage loans underlying the MSRs, causing the fair value of MSRs to decrease.

To manage the price risk resulting from interest rate risk, the Company uses derivative financial instruments 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, inventory of mortgage loans acquired for sale, mortgage loans held in a VIE, IRLCs and MSRs.

The Company records all derivative financial instruments at fair value and records changes in fair value in current period income.

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Derivative Notional Amounts and Fair Value of Derivatives

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

	March 31, 2018								December 31, 2017
			Fair value								Fair value
	Notional		Derivative			Derivative			Notional		Derivative			Derivative
Instrument	amount		assets			liabilities			amount		assets			liabilities
	(in thousands)
Derivatives not designated as hedging    instruments:
Not subject to master netting arrangements:
Interest rate lock commitments		1,067,009	$	3,220		$	511			1,250,803	$	4,859		$	227
CRT Agreements		29,726,369		103,995			—			26,845,392		98,640			—
Repurchase agreement derivatives				5,892			—					3,748			—
Subject to master netting agreements─used     for hedging purposes:
Forward purchase contracts		2,510,700		11,400			1			1,996,235		4,343			248
Forward sale contracts		2,297,802		6			8,345			2,565,271		387			2,830
MBS put options		1,750,000		4,086			—			2,375,000		3,170			—
Call options on interest rate futures		150,000		492			—			—		—			—
Put options on interest rate futures		275,000		367			—			550,000		656			—
Swap futures		—		—			—			275,000		—			—
Bond futures		450,000		—			—			—		—			—
Eurodollar future contracts		847,664		—			—			937,000		—			—
Total derivative instruments before netting				129,458			8,857					115,803			3,305
Netting				(6,940	)		(5,221	)				(1,922	)		(1,999	)
			$	122,518		$	3,636				$	113,881		$	1,306
Margin deposits (received from) placed with    derivatives counterparties included in Other    assets (Accounts payable and accrued liabilities)			$	(1,718	)						$	76
Derivative assets pledged to secure assets sold     under agreements to repurchase			$	24,423							$	26,058

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

		Quarter ended March 31, 2018
		Amount,							Amount,
		beginning				Dispositions/			end
Instrument		of quarter		Additions		expirations			of quarter
	(in thousands)
Forward purchase contracts			1,996,235		19,833,104		(19,318,639	)		2,510,700
Forward sales contracts			2,565,271		24,410,334		(24,677,803	)		2,297,802
MBS put options			2,375,000		4,125,000		(4,750,000	)		1,750,000
Call options on interest rate futures			—		150,000		—			150,000
Put options on interest rate futures			550,000		3,325,000		(3,600,000	)		275,000
Swap futures			275,000		—		(275,000	)		—
Bond futures			—		450,000		—			450,000
Eurodollar future sale contracts			937,000		114,597		(203,933	)		847,664

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	Quarter ended March 31, 2017
	Amount,							Amount,
	beginning				Dispositions/			end
Instrument	of quarter		Additions		expirations			of quarter
	(in thousands)
Forward purchase contracts		4,840,707		18,906,029		(19,631,577	)		4,115,159
Forward sales contracts		6,148,242		24,225,103		(24,699,931	)		5,673,414
MBS put options		925,000		1,400,000		(1,375,000	)		950,000
MBS call options		750,000		—		(750,000	)		—
Call options on interest rate futures		200,000		62,500		—			262,500
Put options on interest rate futures		550,000		1,750,000		(1,800,000	)		500,000
Swap futures		150,000		300,000		(300,000	)		150,000
Eurodollar future sale contracts		1,351,000		101,000		(212,000	)		1,240,000
Treasury future buy contracts		—		49,300		(49,300	)		—
Treasury future sale contracts		—		49,300		(49,300	)		—

Netting of Financial Instruments

The Company has elected to net derivative asset and liability positions, and cash collateral placed with or received from 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, CRT Agreement derivatives and repurchase agreement derivatives. As of March 31, 2018 and December 31, 2017, 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:

	March 31, 2018								December 31, 2017
	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)
Derivative assets:
Not subject to master netting arrangements:
Interest rate lock commitments	$	3,220	$	—		$	3,220		$	4,859	$	—		$	4,859
CRT Agreement derivatives		103,995		—			103,995			98,640		—			98,640
Repurchase agreement derivatives		5,892		—			5,892			3,748		—			3,748
		113,107		—			113,107			107,247		—			107,247
Subject to master netting arrangements:
Forward purchase contracts		11,400		—			11,400			4,343		—			4,343
Forward sale contracts		6		—			6			387		—			387
MBS put options		4,086		—			4,086			3,170		—			3,170
Call options on interest rate futures		492		—			492			—		—			—
Put options on interest rate futures		367		—			367			656		—			656
Netting		—		(6,940	)		(6,940	)		—		(1,922	)		(1,922	)
		16,351		(6,940	)		9,411			8,556		(1,922	)		6,634
	$	129,458	$	(6,940	)	$	122,518		$	115,803	$	(1,922	)	$	113,881

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Derivative Assets, Financial Instruments 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 setoff accounting:

	March 31, 2018								December 31, 2017
	Net amount of assets presented in the		Gross amounts not offset in the consolidated balance sheet						Net amount of assets presented in the		Gross amounts not offset in the consolidated balance sheet
	consolidated balance sheet		Financial instruments		Cash collateral received		Net amount		consolidated balance sheet		Financial instruments		Cash collateral received		Net amount
	(in thousands)
CRT Agreements	$	103,995	$	—	$	—	$	103,995	$	98,640	$	—	$	—	$	98,640
Interest rate lock commitments		3,220		—		—		3,220		4,859		—		—		4,859
J.P. Morgan Securities LLC		6,294		—		—		6,294		2,020		—		—		2,020
Deutsche Bank Securities LLC		5,892		—		—		5,892		3,748		—		—		3,748
Federal National Mortgage Association		1,073		—		—		1,073		1,606		—		—		1,606
RJ O’Brien & Associates, LLC		859		—		—		859		656		—		—		656
Barclays Capital Inc.		324		—		—		324		—		—		—		—
Credit Suisse Securities (USA) LLC		227		—		—		227		809		—		—		809
Mitsubishi UFJ Sec		155		—		—		155		193		—		—		193
RBC Capital Markets, L.P.		151		—		—		151		—		—		—		—
KGS Alpha Capital Markets LP		131		—		—		131		—		—		—		—
PNC Capital Markets LLC		100		—		—		100		—		—		—		—
Wells Fargo Securities, LLC		90		—		—		90		146		—		—		146
Morgan Stanley & Co. LLC		—		—		—		—		457		—		—		457
Citigroup Global Markets Inc.		—		—		—		—		429		—		—		429
Jefferies & Company, Inc.		—		—		—		—		160		—		—		160
Other		7		—		—		7		158		—		—		158
	$	122,518	$	—	$	—	$	122,518	$	113,881	$	—	$	—	$	113,881

38

Offsetting of Derivative Liabilities and Financial Liabilities

Following is a summary of net derivative liabilities and assets sold under agreements to repurchase. Assets sold under agreements to repurchase do not qualify for setoff accounting.

	March 31, 2018									December 31, 2017
	Gross amounts of recognized liabilities			Gross amounts offset in the consolidated balance sheet			Net amounts of liabilities presented in the consolidated balance sheet			Gross amounts of recognized liabilities			Gross amounts offset in the consolidated balance sheet			Net amounts of liabilities presented in the consolidated balance sheet
	(in thousands)
Derivative liabilities:
Not subject to master netting arrangements:
Interest rate lock commitments	$	511		$	—		$	511		$	227		$	—		$	227
		511			—			511			227			—			227
Subject to master netting arrangements:
Forward purchase contracts		1			—			1			248			—			248
Forward sales contracts		8,345			—			8,345			2,830			—			2,830
Netting		—			(5,221	)		(5,221	)		—			(1,999	)		(1,999	)
		8,346			(5,221	)		3,125			3,078			(1,999	)		1,079
		8,857			(5,221	)		3,636			3,305			(1,999	)		1,306
Assets sold under agreements to repurchase:
UPB		3,409,440			—			3,409,440			3,182,504			—			3,182,504
Unamortized debt issuance costs		(1,157	)		—			(1,157	)		(1,618	)		—			(1,618	)
		3,408,283			—			3,408,283			3,180,886			—			3,180,886
	$	3,417,140		$	(5,221	)	$	3,411,919		$	3,184,191		$	(1,999	)	$	3,182,192

39

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 setoff accounting. All assets sold under agreements to repurchase represent sufficient collateral or exceed the liability amount recorded on the consolidated balance sheet.

	March 31, 2018										December 31, 2017
	Net amount of liabilities presented in the			Gross amounts not offset in the consolidated balance sheet							Net amount of liabilities presented in the			Gross amounts not offset in the consolidated balance sheet
	consolidated balance sheet			Financial instruments			Cash collateral pledged		Net amount		consolidated balance sheet			Financial instruments			Cash collateral pledged		Net amount
	(in thousands)
Interest rate lock commitments	$	511		$	—		$	—	$	511	$	227		$	—		$	—	$	227
Bank of America, N.A.		1,110,861			(1,109,449	)		—		1,412		839,057			(838,771	)		—		286
Credit Suisse Securities (USA) LLC		917,667			(917,667	)		—		—		845,567			(845,567	)		—		—
J.P. Morgan Securities LLC		274,748			(274,748	)		—		—		373,186			(373,186	)		—		—
Deutsche Bank Securities LLC		266,238			(266,238	)		—		—		374,526			(374,526	)		—		—
Daiwa Capital Markets		264,386			(264,077	)		—		309		153,833			(153,730	)		—		103
Morgan Stanley & Co. LLC		231,591			(231,227	)		—		364		164,530			(164,530	)		—		—
Citigroup Global Markets Inc.		159,593			(159,593	)		—		—		235,541			(235,319	)		—		222
RBC Capital Markets, L.P.		93,872			(93,872	)		—		—		92,014			(91,805	)		—		209
Wells Fargo Securities, LLC		49,216			(49,216	)		—		—		50,360			(50,360	)		—		—
BNP Paribas		43,612			(43,353	)		—		259		45,411			(45,411	)		—		—
Goldman Sachs		549			—			—		549		164			—			—		164
Barclays Capital Inc.		—			—			—		—		9,374			(9,299	)		—		75
Other		232			—			—		232		20			—			—		20
Unamortized debt issuance costs		(1,157	)		1,157			—		—		(1,618	)		1,618			—		—
	$	3,411,919		$	(3,408,283	)	$	—	$	3,636	$	3,182,192		$	(3,180,886	)	$	—	$	1,306

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

		Quarter ended March 31,
Derivative activity	Income statement line	2018			2017
		(in thousands)
Interest rate lock commitments	Net gain on mortgage loans     acquired for sale	$	(14,858	)	$	28,933
Hedged item:
Interest rate lock commitments and     mortgage loans acquired for sale	Net gain on mortgage loans     acquired for sale	$	32,810		$	(3,592	)
Mortgage servicing rights	Net mortgage loan servicing fees	$	(20,848	)	$	(8,698	)
Fixed-rate assets and LIBOR- indexed     repurchase agreements	Net gain (loss) on investments	$	1,460		$	(4,144	)
CRT agreements	Net gain (loss) on investments	$	24,684		$	20,307
Repurchase agreement derivatives	Interest expense	$	(12	)	$	—

40

Note 10—Real Estate Acquired in Settlement of Loans

Following is a summary of financial information relating to REO:

	Quarter ended March 31,
	2018			2017
	(in thousands)
Balance at beginning of quarter	$	162,865		$	274,069
Transfers from mortgage loans at fair value and advances		16,363			24,876
Transfer of real estate acquired in settlement of    mortgage loans to real estate held for investment		(2,059	)		(6,644	)
Results of REO:
Valuation adjustments, net		(5,359	)		(8,175	)
Gain on sale, net		2,133			3,929
		(3,226	)		(4,246	)
Proceeds from sales		(32,437	)		(63,224	)
Balance at end of quarter	$	141,506		$	224,831
	March 31, 2018			December 31, 2017
	(in thousands)
REO pledged to secure assets sold under agreements to repurchase	$	67,720		$	76,037
REO held in a consolidated subsidiary whose stock    is pledged to secure financings of such properties		37,764			48,495
	$	105,484		$	124,532

Note 11—Mortgage Servicing Rights

Carried at Fair Value:

Following is a summary of MSRs carried at fair value: 

	Quarter ended March 31,
	2018			2017
	(in thousands)
Balance at beginning of quarter	$	91,459		$	64,136
Transfer of mortgage servicing rights from mortgage servicing    rights carried at lower of amortized cost or fair value pursuant    to a change in accounting principle		773,035			—
Balance after reclassification		864,494			64,136
Purchases		—			62
MSRs resulting from mortgage loan sales		66,546			7,478
Changes in fair value:
Due to changes in valuation inputs used in valuation model (1)		52,611			32
Other changes in fair value (2)		(26,638	)		(2,025	)
		25,973			(1,993	)
Balance at end of quarter	$	957,013		$	69,683
	March 31, 2018			December 31, 2017
	(in thousands)
MSRs carried at fair value pledged to secure:
Assets sold under agreements to repurchase	$	745,965		$	66,813
Notes payable		195,721			23,471
	$	941,686		$	90,284

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

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

41

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 March 31,
	2018			2017
	(in thousands)
Amortized Cost:
Balance at beginning of quarter	$	772,870		$	606,103
Transfer of mortgage servicing right to mortgage servicing rights    carried at fair value pursuant to a change in accounting principle		(772,870	)		—
Balance after reclassification		—			606,103
MSRs resulting from mortgage loan sales		—			51,210
Amortization		—			(17,858	)
Balance at end of quarter		—			639,455
Valuation Allowance:
Balance at beginning of quarter		(19,548	)		(13,672	)
Reduction resulting from change in accounting principle		19,548			—
Balance after reclassification		—			(13,672	)
Reversal of impairment valuation allowance		—			1,504
Balance at end of quarter		—			(12,168	)
MSRs, net	$	—		$	627,287
Fair value at beginning of quarter				$	626,334
Fair value at end of quarter				$	662,584
				December 31, 2017
				(in thousands)
MSRs carried at lower of cost or fair value pledged to secure:
Assets sold under agreements to repurchase				$	584,762
Notes payable					156,846
				$	741,608

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

	Quarter ended March 31,
	2018		2017
	(in thousands)
Contractually-specified servicing fees	$	48,732	$	37,281
Ancillary and other fees:
Late charges		214		187
Other		1,489		1,037
	$	50,435	$	38,505

Note 12—Assets Sold Under Agreements to Repurchase

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

	Quarter ended March 31,
	2018			2017
	(dollars in thousands)
Weighted-average interest rate (1)		3.20	%		2.57	%
Average balance	$	3,077,914		$	3,267,864
Total interest expense	$	24,507		$	22,182
Maximum daily amount outstanding	$	3,655,250		$	4,330,825

(1) Excludes the effect of amortization of net issuance premiums of $169,000 for the quarter ended March 31, 2018 and net debt issuance costs of $2.3 million for the quarter ended March 31, 2017.

42

	March 31, 2018			December 31, 2017
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	3,409,440		$	3,182,504
Unamortized debt issuance costs and premiums, net		(1,157	)		(1,618	)
	$	3,408,283		$	3,180,886
Weighted-average interest rate		2.80	%		2.77	%
Available borrowing capacity:
Committed	$	767,553		$	749,650
Uncommitted		1,673,718			2,030,607
	$	2,441,271		$	2,780,257
Margin deposits placed with counterparties included in Other assets	$	40,114		$	28,154
Assets securing agreements to repurchase:
Mortgage-backed securities	$	1,436,456		$	989,461
Mortgage loans acquired for sale at fair value	$	1,097,266		$	1,201,992
Mortgage loans at fair value	$	459,809		$	760,853
CRT Agreements:
Deposits securing CRT agreements	$	392,453		$	400,778
Derivative assets	$	24,423		$	26,058
Real estate acquired in settlement of loans	$	105,484		$	124,532
Real estate held for investment	$	31,899		$	31,128
MSRs	$	745,965		$	651,575

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

Remaining maturity at March 31, 2018	Contractual balance
	(in thousands)
Within 30 days	$	1,373,877
Over 30 to 90 days		1,177,854
Over 90 days to 180 days		231,227
Over 180 days to 1 year		441,442
Over one year to two years		185,040
	$	3,409,440
Weighted average maturity (in months)		3.8

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

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 pledged asset and counterparty below as of March 31, 2018:

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

Counterparty	Amountat risk		Weighted-average maturity	Facility maturity
	(in thousands)
Credit Suisse First Boston Mortgage Capital LLC	$	468,728	June 18, 2018	April 27, 2018
Bank of America, N.A.	$	10,624	April 14, 2018	May 25, 2018
Citibank, N.A.	$	60,502	April 22, 2018	May 1, 2018
JPMorgan Chase & Co.	$	36,428	March 14, 2019	March 14, 2019
JPMorgan Chase & Co.	$	3,420	May 18, 2018	October 12, 2018
Morgan Stanley	$	11,132	June 17, 2018	August 24, 2018
Deutsche Bank	$	13,282	June 20, 2018	September 30, 2018

43

Securities sold under agreements to repurchase

Counterparty	Amount at risk		Weighted average maturity
	(in thousands)
Bank of America, N.A.	$	46,492	May 2, 2018
JPMorgan Chase & Co.	$	8,745	April 8, 2018
Daiwa Capital Markets America Inc.	$	18,151	April 20, 2018
Royal Bank of Canada	$	7,640	April 16, 2018
Wells Fargo, N.A.	$	2,670	April 12, 2018

CRT Agreements sold under agreements to repurchase

Counterparty	Amount at risk		Weighted average maturity
	(in thousands)
Credit Suisse First Boston Mortgage Capital LLC	$	51,226	April 16, 2018
Bank of America, N.A.	$	27,592	April 16, 2018
BNP Paribas Corporate & Institutional Banking	$	18,160	April 9, 2018

Note 13—Mortgage Loan Participation Purchase and Sale Agreements

Certain borrowing facilities secured by mortgage loans acquired for sale are in the form of mortgage loan participation purchase and sale agreements. 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 a lender pending the securitization of such mortgage loans and the sale of the resulting security. The commitment between the Company and a nonaffiliate 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. The holdback amount 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.

Mortgage loan participation purchase and sale agreements are summarized below:

	Quarter ended March 31,
	2018			2017
	(dollars in thousands)
Weighted-average interest rate (1)		2.49	%		2.08	%
Average balance	$	45,561		$	64,498
Total interest expense	$	314		$	366
Maximum daily amount outstanding	$	77,407		$	97,404

(1) Excludes the effect of amortization of debt issuance costs of $31,000 for the quarter ended March 31, 2017. There was no amortization of debt issuance costs during the quarter ended March 31, 2018.

	March 31, 2018		December 31, 2017
	(dollars inthousands)
Carrying value:
Amount outstanding	$	—	$	44,550
Unamortized debt issuance costs		—		(62	)
	$	—	$	44,488
Weighted-average interest rate		—		2.82	%
Mortgage loans acquired for sale pledged to secure    mortgage loan participation purchase and sale agreements	$	—	$	47,285

44

Note 14—Notes Payable

On March 24, 2017, the Company, through PMC and PMH, entered into a second Amended and Restated Loan and Security Agreement with Citibank, N.A., pursuant to which PMC and PMH finance certain MSRs (inclusive of any related excess servicing spread and/or junior excess strips arising therefrom and that may be transferred from PMC to PMH from time to time) relating to mortgage loans pooled into Fannie Mae securities (collectively, the “Fannie MSRs”) in an aggregate loan amount not to exceed $400 million, all of which is committed. The note was redeemed and terminated in December 2017.

On March 24, 2017, the Company, through PMC and PMH, entered into a Loan and Security Agreement with Barclays Bank PLC (“Barclays”), pursuant to which PMC and PMH may finance certain mortgage servicing rights (inclusive of any related excess servicing spread arising therefrom and that may be transferred from PMC to PMH from time to time) relating to mortgage loans pooled into Freddie Mac securities (collectively, the “Freddie MSRs”), in an aggregate loan amount not to exceed $170 million, all of which is committed. The note matured and was repaid on February 1, 2018.

On February 1, 2018, the Company, through PMC and PMH, entered into a Loan and Security Agreement with Credit Suisse First Boston Mortgage Capital LLC (“Credit Suisse”), pursuant to which PMC and PMH may finance certain mortgage servicing rights (inclusive of any related excess servicing spread arising therefrom and that may be transferred from PMC to PMH from time to time) relating to mortgage loans pooled into Freddie Mac securities (collectively, the “Freddie MSRs”), in an aggregate loan amount not to exceed $175 million, all of which is committed. The note matures on February 1, 2020.

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

	Quarter ended March 31,
	2018		2017
	(dollarsin thousands)
Weighted-average interest rate (1)		—		5.13	%
Average balance	$	—	$	260,384
Total interest expense	$	—	$	4,305
Maximum daily amount outstanding	$	—	$	275,106

(1) Excludes the effect of amortization of debt issuance costs of $998,000 for the quarter ended March 31, 2018.

	March 31, 2018		December 31, 2017
	(dollars in thousands)
Carrying value:
Amount outstanding	$	—	$	—
Unamortized debt issuance costs		—		—
	$	—	$	—
Weighted-average interest rate		—		—
MSRs pledged to secure notes payable	$	195,721	$	180,317

Note 15—Asset-Backed Financing of a Variable Interest Entity at Fair Value

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

	Quarter ended March 31,
	2018			2017
	(dollars in thousands)
Weighted-average fair value	$	297,682		$	347,854
Total interest expense	$	2,296		$	3,409
Weighted-average effective interest rate		3.54	%		3.48	%

	March 31, 2018			December 31, 2017
	(dollars in thousands)
Fair value	$	296,982		$	307,419
UPB	$	312,730		$	316,684
Weighted-average interest rate		3.51	%		3.51	%

The asset-backed financing of a VIE 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.

45

Note 16—Exchangeable Senior Notes

PMC issued in a private offering $250 million aggregate principal amount of exchangeable senior notes (“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 33.8667 common shares per $1,000 principal amount of the Exchangeable Notes as of March 31, 2018, which is an increase over the initial exchange rate of 33.5149. The increase in the calculated exchange rate was the result of quarterly cash dividends exceeding the quarterly dividend threshold amount of $0.57 per share in prior reporting periods, as provided in the related indenture.

Following is financial information relating to the Exchangeable Notes:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Weighted-average UPB	$	250,000	$	250,000
Total interest expense	$	3,644	$	3,627

	March 31, 2018			December 31, 2017
	(in thousands)
Carrying value:
UPB	$	250,000		$	250,000
Unamortized debt issuance costs		(2,529	)		(2,814	)
	$	247,471		$	247,186

Note 17—Liability for Losses Under Representations and Warranties

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

	Quarter ended March 31,
	2018			2017
	(in thousands)
Balance, beginning of quarter	$	8,678		$	15,350
Provision for losses:
Pursuant to mortgage loan sales		572			673
Reduction in liability due to change in estimate		(1,042	)		(4,576	)
Recoveries, net		41			—
Balance, end of quarter	$	8,249		$	11,447
UPB of mortgage loans subject to representations and    warranties at end of quarter	$	74,554,838		$	58,797,849

Note 18—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 March 31, 2018, the Company was not involved in any such proceedings, claims or legal actions that in the Manager’s view would reasonably be likely to have a material adverse effect on the Company.

Commitments

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

	March 31, 2018
	(in thousands)
Commitments to purchase mortgage loans acquired for sale	$	1,067,009
Commitments to fund Deposits securing CRT agreements (1)	$	552,957

(1) Certain deposits of cash collateral on CRT Agreements are made upon the first to occur of fulfillment of the aggregation obligation or the lapse of the aggregation period.

46

Note 19—Shareholders’ Equity

Preferred Shares of Beneficial Interest

Preferred shares of beneficial interest are summarized below:

Series	Description (1)	Number of shares		Liquidation preference		Issuance discount		Carrying value
		(in thousands)
A	8.125% fixed-to-floating rate cumulative redeemable preferred,    issued March 2017		4,600	$	115,000	$	3,828	$	111,172
B	8.00% fixed-to-floating rate cumulative redeemable preferred,    issued July 2017		7,800		195,000		6,465		188,535
			12,400	$	310,000	$	10,293	$	299,707

(1) Par value is $0.01 per share for both series.

During March 2017, the Company issued 4.6 million of its 8.125% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Shares of Beneficial Interest, $0.01 par value per share (the “Series A Preferred Shares”). From, and including, the date of original issuance to, but not including, March 15, 2024, the Company pays cumulative dividends on the Series A Preferred Shares at a fixed rate of 8.125% per annum based on the $25.00 per share liquidation preference. From, and including, March 15, 2024 and thereafter, the Company will pay cumulative dividends on the Series A Preferred Shares at a floating rate equal to three-month LIBOR as calculated on each applicable dividend determination date plus a spread of 5.831% per annum based on the $25.00 per share liquidation preference. The Company paid dividends of $0.51 per Series A Preferred Share during the quarter ended March 31, 2018.

The Series A Preferred Shares will not be redeemable before March 15, 2024, except in connection with the Company’s qualification as a REIT for U.S. federal income tax purposes or upon the occurrence of a change of control of the Company as described in the prospectus supplement filed with the SEC on March 6, 2017. On or after March 15, 2024 or within 120 days of the occurrence of a change in control, the Company may, at its option, redeem any or all of the Series A Preferred Shares at $25.00 per share plus any accumulated and unpaid dividends thereon to, but not including, the redemption date.

During July 2017, the Company issued 7.8 million of its 8.00% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Shares of Beneficial Interest, $0.01 par value per share (the “Series B Preferred Shares” and, together with the Series A Preferred Shares, the “Preferred Shares”). From, and including, the date of original issuance to, but not including, June 15, 2024, the Company pays cumulative dividends on the Series B Preferred Shares at a fixed rate of 8.00% per annum based on the $25.00 per share liquidation preference. From, and including, June 15, 2024 and thereafter, the Company will pay cumulative dividends on the Series B Preferred Shares at a floating rate equal to three-month LIBOR as calculated on each applicable dividend determination date plus a spread of 5.99% per annum based on the $25.00 per share liquidation preference. The Company paid dividends of $0.50 per Series B Preferred Share for the quarter ended March 31, 2018.

The Series B Preferred Shares will not be redeemable before June 15, 2024, except in connection with the Company’s qualification as a REIT for U.S. federal income tax purposes and except as described below upon the occurrence of a change of control. On or after June 15, 2024, or 120 days after the first date on which such change of control occurred, the Company may, at its option, redeem any or all of the Series B Preferred Shares at $25.00 per share plus any accumulated and unpaid dividends thereon to, but not including, the redemption date.

The Company pays quarterly cumulative dividends on its Preferred Shares on the 15^th day of each March, June, September and December, provided that if any dividend payment date is not a business day, then the dividend that would otherwise be payable on that dividend payment date may be paid on the following business day. The Preferred Shares have no stated maturity, are not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless redeemed or repurchased by the Company or converted into common shares in connection with a change of control by the holders of the Preferred Shares.

Common Share Repurchases

During August 2015, the Company’s board of trustees authorized a common share repurchase program. Under the program, as amended, the Company may repurchase up to $300 million of its outstanding common shares.

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The following table summarizes the Company’s share repurchase activity:

	Quarter ended March 31,
	2018		2017		Cumulative total (1)
	(in thousands)
Common shares repurchased		671		139		14,731
Cost of common shares repurchased	$	10,719	$	2,307	$	216,625

(1) Amounts represent the share repurchase program total from its inception in August 2015 through March 31, 2018.

The repurchased common shares were canceled upon settlement of the repurchase transactions and returned to the authorized but unissued common share pool.

Conditional Reimbursement of IPO Underwriting Costs

As more fully described in Note 4—Transactions with Related Parties, on February 1, 2013, the Company entered into a Reimbursement Agreement, by and among the Company, the Operating Partnership and the Manager. The Reimbursement Agreement provides that, to the extent the Company is required to pay the Manager performance incentive fees under the management agreement, the Company will reimburse the Manager for underwriting costs it paid on the IPO offering date at a rate of $10 in reimbursement for every $100 of performance incentive fees earned. The 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. No reimbursements were made during the quarters ended March 31, 2018, and March 31, 2017.

The Reimbursement Agreement also provides for the payment to the IPO underwriters of the amount that the Company agreed to pay to them at the time of the IPO if the Company satisfied certain performance measures over a specified period of time. As the Manager earns performance incentive fees under the 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. No payments were made during the quarters ended March 31, 2018, and March 31, 2017. The Reimbursement Agreement expires on February 1, 2019.

Note 20—Net Gain on Mortgage Loans Acquired for Sale

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

	Quarter ended March 31,
	2018			2017
	(in thousands)
From non-affiliates:
Cash loss:
Mortgage loans	$	(95,767	)	$	(55,907	)
Hedging activities		33,746			16,258
		(62,021	)		(39,649	)
Non cash gain:
Receipt of MSRs in mortgage loan sale transactions		66,546			58,688
Provision for losses relating to representations and warranties provided in mortgage    loan sales:
Pursuant to mortgage loans sales		(572	)		(673	)
Reduction in liability due to change in estimate		1,042			4,576
Change in fair value of financial instruments held at end of quarter:
IRLCs		(1,924	)		4,945
Mortgage loans		2,851			8,587
Hedging derivatives		(936	)		(19,850	)
		(9	)		(6,318	)
Total from non-affiliates		4,986			16,624
From PFSI—cash gain		2,641			2,401
	$	7,627		$	19,025

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Note 21—Net Gain (Loss) on Investments

Net gain (loss) on investments is summarized below:

	Quarter ended March 31,
	2018			2017
	(in thousands)
From non-affiliates:
Mortgage-backed securities	$	(22,397	)	$	140
Distressed mortgage loans at fair value		(9,951	)		3,216
Mortgage loans held in a VIE at fair value		(5,579	)		316
CRT Agreements		22,551			18,587
Asset-backed financing of a VIE at fair value		6,183			(24	)
Hedging derivatives		1,460			(4,144	)
		(7,733	)		18,091
From PFSI—ESS		7,751			(1,370	)
	$	18		$	16,721

Note 22—Net Mortgage Loan Servicing Fees

Net mortgage loan servicing fees are summarized below:

	Quarter ended March 31,
	2018			2017
	(in thousands)
From non-affiliates:
Servicing fees (1)	$	48,732		$	37,281
Ancillary and other fees		1,703			1,224
Effect of MSRs:
Carried at fair value—change in fair value		25,973			(1,993	)
Carried at lower of amortized cost or fair value:
Amortization		—			(17,858	)
Additions to impairment valuation allowance		—			1,504
Losses on hedging derivatives, net		(20,848	)		(8,698	)
		5,125			(27,045	)
		55,560			11,460
From PFSI—MSR recapture income		595			292
Net mortgage loan servicing fees	$	56,155		$	11,752
Average servicing portfolio	$	73,694,438		$	57,927,056

(1) Includes contractually specified servicing fees, net of Agency guarantee fees.

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Note 23—Net Interest Income

Net interest income is summarized below:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Interest income:
From nonaffiliates:
Short-term investments	$	73	$	281
Mortgage-backed securities		8,791		6,772
Mortgage loans acquired for sale at fair value		11,332		11,502
Mortgage loans at fair value:
Distressed		7,899		19,651
Held in a VIE		2,603		3,729
Placement fees relating to custodial funds		4,215		1,071
Deposits securing CRT Agreements		2,031		408
Other		102		39
		37,046		43,453
From PFSI—ESS		3,934		4,647
		40,980		48,100
Interest expense:
To nonaffiliates:
Assets sold under agreements to repurchase (1)		24,507		22,182
Mortgage loan participation purchase and sale agreements		314		366
Notes payable		—		4,305
Asset-backed financings of VIEs at fair value		2,296		3,409
Exchangeable Notes		3,644		3,627
Interest shortfall on repayments of mortgage loans serviced for    Agency securitizations		1,594		1,062
Interest on mortgage loan impound deposits		485		423
		32,840		35,374
To PFSI—Assets sold under agreement to repurchase		1,976		1,805
		34,816		37,179
Net interest income	$	6,164	$	10,921

(1) In 2017, the Company entered into a master repurchase agreement that provides the Company with incentives to finance mortgage loans approved for satisfying certain consumer relief characteristics as provided in the agreement. During the quarter ended March 31, 2018, the Company included $2.4 million of such incentives as a reduction of Interest expense. The master repurchase agreement has an initial term of six months, renewable for three additional six-month terms at the option of the lender and was renewed for six months on April 18, 2018. There can be no assurance whether the lender will further renew this agreement upon its maturity.

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Note 24—Share-Based Compensation Plans

As of March 31, 2018 and December 31, 2017, the Company had one share-based compensation plan. The following table summarizes the Company’s share-based compensation activity:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Grants:
Restricted share units		129		134
Performance share units		116		126
Total share units granted		245		260
Grant date fair value:
Restricted share units granted	$	2,300	$	2,281
Performance share units granted		1,542		1,722
Total fair value of share units granted	$	3,842	$	4,003
Vestings:
Restricted share units		192		153
Performance share units		28		—
Total share units vested		220		153
Forfeitures:
Restricted share units		—		—
Performance share units		—		—
Total share units forfeited		—		—
Compensation expense relating to share-based grants	$	899	$	1,527

Note 25—Other Expenses

Other expenses are summarized below:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Common overhead allocation from PFSI	$	1,001	$	1,434
Technology		378		318
Insurance		305		338
Other		966		1,413
	$	2,650	$	3,503

Note 26—Income Taxes

The Company’s effective tax rate was 25.5% and (27.1)% for the quarters ended March 31, 2018 and 2017, respectively. The Company’s taxable REIT subsidiary (“TRS”) recognized a tax expense of $9.4 million on income of $34.6 million while the Company’s reported consolidated pretax income was $37.8 million for the quarter ended March 31, 2018. For the same periods in 2017, the Company’s TRS recognized tax benefit of $6.6 million on a loss of $14.8 million while the Company’s reported consolidated pretax income was $22.6 million. The relative values between the tax benefit or expense at the TRS and the Company’s consolidated pretax income drive the fluctuation in the effective tax rate. The primary difference between the Company’s effective tax rate and the statutory tax rate is due to nontaxable REIT income resulting from the dividends paid deduction.

In general, cash dividends declared by the Company will be considered ordinary income to the shareholders for income tax purposes. Some portion of the dividends may be characterized as capital gain distributions or a return of capital. For tax years beginning after December 31, 2017, the 2017 Tax Cuts and Jobs Act (the “Tax Act”) (subject to certain limitations) provides a 20% deduction from taxable income for ordinary REIT dividends.

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Note 27—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 available to common shareholders, 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 Notes, by the weighted-average common shares outstanding, assuming all dilutive securities were issued.

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

	Quarter ended March 31,
	2018			2017
	(in thousands except per share amounts)
Net income	$	28,186		$	28,737
Dividends on preferred shares		(6,234	)		(571	)
Effect of participating securities—share-based compensation awards		(202	)		(298	)
Net income attributable to common shareholders	$	21,750		$	27,868
Net income attributable to common shareholders	$	21,750		$	27,868
Interest on Exchangeable Notes, net of income taxes		2,655			2,186
Diluted net income attributable to common shareholders	$	24,405		$	30,054
Weighted-average basic shares outstanding		60,761			66,719
Dilutive securities:
Shares issuable under share-based compensation plan		647			—
Shares issuable pursuant to exchange of the Exchangeable Notes		8,467			8,467
Diluted weighted-average number of shares outstanding		69,875			75,186
Basic earnings per share	$	0.36		$	0.42
Diluted earnings per share	$	0.35		$	0.40

Calculation of diluted earnings per share requires certain potentially dilutive shares to be excluded based on whether the inclusion of such shares in the diluted earnings per share calculation would be antidilutive. The following table summarizes the potentially dilutive shares excluded from the diluted earnings per share calculation, as inclusion of such shares would have been antidilutive:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Shares issuable under share-based compensation plan		—		661

Note 28—Segments

The correspondent production segment includes 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. The Credit sensitive investment strategies segment includes investments in distressed mortgage loans, REO, CRT Agreements, non-Agency subordinated bonds and small balance commercial real estate mortgage loans. The Interest rate sensitive strategies segment includes investments in MSRs, ESS, Agency and senior non-Agency MBS and the related interest rate hedging activities. The corporate segment includes certain interest income, management fee and corporate expense amounts.

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Financial highlights by operating segment are summarized below:

Quarter ended March 31, 2018	Correspondent production			Credit sensitive strategies			Interest rate sensitive strategies			Corporate			Total
	(in thousands)
Net investment income:
Net gain on mortgage loans acquired for sale	$	7,599		$	28		$	—		$	—		$	7,627
Net gain (loss) on investments		—			12,414			(12,396	)		—			18
Net mortgage loan servicing fees		—			7			56,148			—			56,155
Net interest income:
Interest income		11,169			10,208			19,428			175			40,980
Interest expense		(6,798	)		(10,664	)		(17,354	)		—			(34,816	)
		4,371			(456	)		2,074			175			6,164
Other income (loss)		7,073			(1,389	)		—			25			5,709
		19,043			10,604			45,826			200			75,673
Expenses:
Mortgage loan fulfillment and servicing fees    payable to PFSI		11,944			3,085			7,934			—			22,963
Management fees		—			—			—			5,696			5,696
Other		469			3,913			108			4,686			9,176
		12,413			6,998			8,042			10,382			37,835
Pre-tax income (loss)	$	6,630		$	3,606		$	37,784		$	(10,182	)	$	37,838
Total assets at end of quarter	$	1,141,457		$	1,485,492		$	2,989,692		$	173,845		$	5,790,486

Quarter ended March 31, 2017	Correspondent production			Credit sensitive strategies			Interest rate sensitive strategies			Corporate			Total
	(in thousands)
Net investment income:
Net gain on mortgage loans acquired for sale	$	19,011		$	14		$	—		$	—		$	19,025
Net gain (loss) on investments		—			21,994			(5,273	)		—			16,721
Net mortgage loan servicing fees		—			14			11,738			—			11,752
Net interest income:
Interest income		11,357			20,321			16,102			320			48,100
Interest expense		(7,901	)		(14,272	)		(15,006	)		—			(37,179	)
		3,456			6,049			1,096			320			10,921
Other income (loss)		8,317			(2,268	)		—			6			6,055
		30,784			25,803			7,561			326			64,474
Expenses:
Mortgage loan fulfillment and servicing fees    payable to PFSI		16,575			4,348			6,133			—			27,056
Management fees		—			—			—			5,008			5,008
Other		1,737			2,028			684			5,353			9,802
		18,312			6,376			6,817			10,361			41,866
Pre-tax income (loss)	$	12,472		$	19,427		$	744		$	(10,035	)	$	22,608
Total assets at end of quarter	$	1,292,513		$	2,137,531		$	2,432,419		$	140,483		$	6,002,946

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Note 29—Supplemental Cash Flow Information

	Quarter ended March 31,
	2018		2017
	(in thousands)
Income tax payments, net of refunds	$	—	$	31
Interest payments	$	32,112	$	35,838
Cumulative effect on accumulated deficit of conversion to fair value    accounting	$	19,713	$	—
Non-cash investing activities:
Capitalization of servicing advances pursuant to mortgage loan    modifications	$	1,677	$	6,349
Receipt of excess servicing spread pursuant to recapture agreement    with PennyMac Financial Services, Inc.	$	904	$	1,573
Transfer of mortgage loans and advances to real estate    acquired in settlement of loans	$	16,363	$	24,876
Transfer of real estate acquired in settlement of mortgage    loans to real estate held for investment	$	2,059	$	6,644
Receipt of mortgage servicing rights as proceeds from sales of    mortgage loans	$	66,546	$	58,688
Non-cash financing activities:
Recognition of financing premium arising from repurchase    agreement derivatives	$	2,164	$	—
Dividends declared, not paid	$	28,818	$	31,652

Note 30—Regulatory Capital and Liquidity Requirements

PMC is a seller/servicer for Fannie Mae and Freddie Mac. The Company is required to comply with the following minimum capital and liquidity eligibility requirements to remain in good standing with each Agency:

• A minimum net worth of $2.5 million plus 25 basis points of UPB for all 1-4 unit residential mortgage loans serviced;

• A tangible net worth/total assets ratio greater than or equal to 6%; and

• Liquidity equal to or exceeding 3.5 basis points multiplied by the aggregate UPB of all mortgages secured by 1-4 unit residential properties serviced for Freddie Mac and Fannie Mae (“Agency Mortgage Servicing”) plus 200 basis points multiplied by the sum of nonperforming (90 or more days delinquent) Agency Mortgage Servicing that exceeds 6% of Agency Mortgage Servicing.

Such Agencies’ capital and liquidity amounts and requirements, the calculations of which are defined by each entity, are summarized below:

	March 31, 2018
	Net Worth (1)				Tangible Net Worth / Total Assets Ratio (1)						Liquidity (1)
Fannie Mae and Freddie Mac	Actual		Required		Actual			Required			Actual		Required
	(in thousands)										(in thousands)
March 31, 2018	$	527,072	$	190,654		14	%		6	%	$	72,381	$	26,342
December 31, 2017	$	487,535	$	182,818		12	%		6	%	$	73,252	$	25,245

(1) Calculated in accordance with the Agencies’ requirements.

Noncompliance with the Agencies’ capital and liquidity requirements can result in the Agencies taking various remedial actions up to and including removing the Company’s ability to sell loans to and service loans on behalf of the Agencies.

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Note 31—Subsequent Events

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

• On April 17, 2018, the Company, through PMC and POP (collectively, the “Sellers”), entered into a master repurchase agreement, by and among Royal Bank of Canada (“RBC”), on the one hand, and the Sellers, on the other hand (the “RBC Repurchase Agreement”), pursuant to which Sellers may sell to, and later repurchase from, RBC newly originated mortgage loans in an aggregate principal amount of up to $100 million.

• On April 17, 2018, the Company, through PMC, also entered into an amendment (the “Amendment”) to that certain master repurchase agreement, dated as of August 18, 2017, by and among Deutsche Bank AG, Cayman Islands Branch (“Deutsche Bank”), on the one hand, and PMC, on the other hand (the “DB Repurchase Agreement”), pursuant to which PMC may sell to, and later repurchase from, Deutsche Bank certain residential mortgage loans. The primary purpose of the Amendment was to increase the maximum aggregate principal amount provided for under the DB Repurchase Agreement from $500 million to $750 million.

• On April 25, 2018,  the Company, through its indirect subsidiary, PMT ISSUER TRUST—FMSR (“FMSR Issuer Trust”), issued an aggregate principal amount of $450 million in secured term notes (the “2018-FT1 Notes”) to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended.  The 2018-FT1 Notes bear interest at a rate equal to one-month LIBOR plus 2.35% per annum, payable each month beginning in May 2018, on the 25th day of such month or, if such 25th day is not a business day, the next business day. The 2018-FT1 Notes will mature on April 25, 2023 or, if extended pursuant to the terms of the related term note indenture supplement, April 25, 2025 (unless earlier redeemed in accordance with their terms). The 2018-FT1 Notes have been assigned an investment grade rating of BBB- by Kroll Bond Rating Agency and will rank pari passu with the Series 2017-VF1 Notes dated December 20, 2017 (the “FMSR VFN”) issued by FMSR Issuer Trust to PMC and, in turn, pledged by PMC to Credit Suisse under an agreement to repurchase. The 2018-FT1 Notes and the FMSR VFN are secured by certain participation certificates relating to Fannie Mae MSRs and excess servicing spread relating to such MSRs.

• All agreements to repurchase assets that matured between March 31, 2018 and the date of this Report were extended or renewed.

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

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. Our investment focus is on mortgage-related assets that we create through our correspondent production activities, including mortgage servicing rights (“MSRs”) and credit risk transfer agreements (“CRT Agreements”). We have pursued this objective largely by acquiring, pooling and selling newly originated prime credit quality residential mortgage loans (“correspondent production”) and retaining the MSRs relating to such mortgage loans and investing in CRT Agreements relating to mortgage loan sales. We also invest in mortgage-backed securities (“MBS”), excess servicing spread (“ESS”) on MSRs acquired by PennyMac Loan Services, LLC (“PLS”), and commercial real estate loans that finance multifamily and other commercial real estate. We have also historically invested in distressed mortgage assets (mortgage loans and real estate acquired in settlement of mortgage loans), which are no longer our primary focus for new investments.

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

Correspondent Production

Our correspondent production activities serve as the source of our investments in MSRs and CRT Agreements, and are summarized below:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Sales of mortgage loans acquired for sale:
To nonaffiliates	$	5,200,584	$	4,858,845
To PennyMac Financial Services, Inc.		9,212,188		10,016,788
	$	14,412,772	$	14,875,633
Net gain on mortgage loans acquired for sale	$	7,627	$	19,025
Sourcing fees received from PLS included in Net gain on    mortgage loans acquired for sale	$	2,641	$	2,871
Investment activities driven by correspondent production:
Receipt of MSRs as proceeds from sales of mortgage loans	$	66,546	$	58,688
Deposits of cash securing CRT Agreements	$	41,789	$	15,793
Increase in commitments to fund Deposits securing CRT    Agreements resulting from sale of mortgage loans under    CRT Agreements	$	70,486	$	48,150

To the extent that we purchase mortgage loans that are insured by the U.S. Department of Housing and Urban Development (“HUD”) through the Federal Housing Administration (the “FHA”), or insured or guaranteed by the Veterans Administration (the

56

“VA”) or U.S. Department of Agriculture (“USDA”), we and PLS have agreed that PLS will fulfill and purchase such mortgage loans, as PLS is a Ginnie Mae-approved issuer and we are not. This arrangement has enabled us to compete with other correspondent aggregators that purchase both government and conventional mortgage loans. We receive a sourcing fee from PLS ranging from two to three and one-half basis points, generally based on the average number of calendar days that mortgage loans are held by us prior to purchase by PLS, on the unpaid principal balance (“UPB”) of each mortgage loan that we sell to PLS.

To the extent that we transfer correspondent production loans into private label securitizations, we retain a portion of the securities created in the securitization transaction. Our private label securitization is accounted for as a financing arrangement. Sales of securities included in the securitization are treated as issuances of debt.

Credit Sensitive Investments

CRT Agreements

We believe that CRT Agreements are a long-term investment that can produce attractive risk-adjusted returns through our own mortgage production while aligning with Fannie Mae’s strategic goal to attract private capital investment in credit risk of the government–sponsored entities. We believe there is significant potential for investment in front-end credit risk transfer and MSRs that result from our correspondent production activities as we redeploy capital from the liquidation of distressed mortgage loans. During the quarter ended March 31, 2018, we made investments in CRT Agreements totaling $41.8 million, and held CRT-related investments (composed of deposits securing CRT Agreements and derivative assets) totaling $726.3 million at March 31, 2018.

Distressed Mortgage Assets

We have invested in distressed mortgage loans through direct acquisitions of mortgage loan portfolios from institutions such as banks and mortgage companies. We seek to maximize the fair 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 timely acquisition and/or liquidation of the property securing the mortgage loan through the use, in part, of short sales and deed-in-lieu-of-foreclosure programs.

We may elect to hold certain real estate acquired in settlement of loans (“REO”) as income-producing properties for extended periods as a means of maximizing our returns on such properties.  In addition to individual loan and property resolutions, we consider bulk sale opportunities from our existing distressed portfolio investments. During the quarter ended March 31, 2018, we did not acquire distressed mortgage loans. During the quarter ended March 31, 2018, we received proceeds from liquidation, payoffs, paydowns and sales from our portfolio of distressed mortgage loans and REO totaling $305.0 million, including bulk sales totaling $258.2 million in fair value of distressed mortgage loans.

Commercial-Real Estate Mortgage Loans

During the quarter ended March 31, 2018, we acquired $7.3 million at fair value of multifamily mortgage loans. At March 31, 2018, we held $10.2 million at fair value of such mortgage loans and other commercial real estate loans.

Interest Rate Sensitive Investments

Our interest rate sensitive investments include:

• Mortgage servicing rights. During the quarter ended March 31, 2018, we received $66.5 million of MSRs as proceeds from sales of mortgage loans acquired for sale. We held $957.0 million of MSRs at fair value at March 31, 2018.

• REIT-eligible mortgage-backed or mortgage-related securities. During the quarter ended March 31, 2018, we purchased MBS at fair value totaling $500.6 million. We held MBS with fair values totaling $1.4 billion at March 31, 2018.

• ESS relating to MSRs held by PFSI. During the quarter ended March 31, 2018, we did not purchase any ESS from PFSI. However, pursuant to a recapture agreement with PLS, we received ESS with fair value totaling $904,000. We held ESS with a fair value totaling $236.0 million at March 31, 2018.

57

Capital Structure

Our board of trustees has authorized a repurchase program under which we may repurchase up to $300 million of our outstanding common shares. During the quarter ended March 31, 2018, we repurchased approximately 671,000 common shares at a cost of $10.7 million. We have repurchased a cumulative total of 14.7 million common shares at a cost of $216.6 million under the program. The repurchased common shares were canceled upon settlement of the repurchase transactions and returned to the authorized but unissued share pool.

We believe that we qualify to be taxed as a REIT and as such will not be subject to federal income tax on that portion of our income that is distributed to shareholders as long as we meet applicable REIT 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.

Non-Cash Income

Net investment income includes non-cash items, including fair value adjustments, recognition of the fair value of assets created and liabilities incurred in mortgage loan sale transactions and the capitalization and amortization of certain assets and liabilities. Because we have elected, or are required by generally accepted accounting principles, to record our financial assets (comprised of MBS, mortgage loans acquired for sale at fair value, mortgage loans at fair value and ESS), our MSRs, our derivatives, our asset-backed financing and interest-only security payable at fair value, a substantial portion of the income or loss we record with respect to such assets and liabilities results from non-cash changes in fair value.

The amounts of non-cash income (loss) items included in net investment income are as follows:

	Quarter ended March 31,
	2018			2017
	(dollars in thousands)
Net gain on mortgage loans acquired for sale:
Receipt of MSRs in mortgage loan sale transactions	$	66,546		$	58,688
Provision for losses relating to representations and warranties    provided in mortgage loan sales:
Pursuant to mortgage loans sales		(572	)		(673	)
Reduction in liability due to change in estimate		1,042			4,576
Change in fair value during the quarter of financial instruments    held at quarter end:
IRLCs		(1,924	)		4,945
Mortgage loans acquired for sale		2,851			8,587
Hedging derivatives		(936	)		(19,850	)
		67,007			56,273
Net gain (loss) on investments:
Mortgage-backed securities		(22,397	)		140
Mortgage loans:
at fair value		(9,271	)		3,216
at fair value held in a variable interest entity		(5,579	)		316
ESS		6,921			(1,370	)
CRT Agreements		5,355			10,019
Interest-only security payable at fair value		(2,133	)		(487	)
Asset-backed financing of a VIE		6,183			(24	)
		(20,921	)		11,810
Net mortgage loan servicing fees—MSR valuation adjustments		52,611			1,536
Net interest income—Capitalization of interest pursuant to mortgage loan modifications		2,180			9,903
	$	100,877		$	79,522
Net investment income	$	75,673		$	64,474
Non-cash items as a percentage of net investment income		133	%		123	%

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Cash is generated when mortgage loan investments are paid down, paid off or sold, when payments of principal and interest occur on such mortgage loans or when 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 mortgage loan sales transactions. We receive cash related to MSRs in the form of mortgage loan servicing fees and we pay cash relating to our provision for representations and warranties when we repurchase mortgage loans or settle loss claims from investors. Cash flows relating to hedging instruments are generally produced when the instruments mature or when we effectively cancel the transactions through an offsetting trade. Cash is generated with respect to CRT Agreements through a portion of both the interest payments collected on mortgage loans in the CRT Agreements’ reference pools and the deposits securing the agreements that are released as principal on such mortgage loans is repaid.

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

	Quarter ended March 31,
	2018								2017
	Proceeds		Accumulated gains (losses) (1)			Net gain on liquidation (2)			Proceeds		Accumulated gains (losses) (1)			Net gain on liquidation (2)
	(in thousands)
Mortgage loans	$	14,508	$	1,586		$	300		$	25,376	$	2,980		$	387
REO		32,437		(3,821	)		1,772			63,201		(4,175	)		4,979
		46,945		(2,235	)		2,072			88,577		(1,195	)		5,366
Distressed mortgage loan sales		258,206		14,531			(980	)		73,536		9,573			45
	$	305,151	$	12,296		$	1,092		$	162,113	$	8,378		$	5,411

(1) Represents valuation gains and losses recognized during the period we held the respective asset, including expected gains or losses upon sale of assets subject to contract of sale, but excludes the gain or loss recorded upon sale or repayment of the respective asset.

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

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 mortgage loan at acquisition and on our success in working with the borrower to resolve the distress in the mortgage loan. Accumulated gains include the amount of accumulated valuation gains and losses recognized throughout the holding period and, in the case of REO, include estimated direct transaction costs to be 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 for individual assets.

The primary expenses incurred at a loan level in managing our portfolio of distressed assets are servicing and activity fees. From the time of acquisition of the distressed assets through their deboarding dates, we incurred servicing and activity fees of $13.3 million and $6.4 million for assets liquidated during the quarters ended March 31, 2018 and 2017, respectively.

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Results of Operations

The following is a summary of our key performance measures:

	Quarter ended March 31,
	2018			2017
	(in thousands, except per share amounts)
Net investment income	$	75,673		$	64,474
Expenses		37,835			41,866
Provision for (benefit from) income taxes		9,652			(6,129	)
Net income		28,186			28,737
Dividends on preferred shares		6,234			571
Net income attributable to common shareholders	$	21,952		$	28,166
Pre-tax income (loss) by segment:
Correspondent production	$	6,630		$	12,472
Credit sensitive strategies		3,606			19,427
Interest rate sensitive strategies		37,784			744
Corporate		(10,182	)		(10,035	)
	$	37,838		$	22,608
Annualized return on average common shareholders’ equity		7.0	%		8.3	%
Earnings per common share:
Basic	$	0.36		$	0.42
Diluted	$	0.35		$	0.40
Dividends per common share declared & paid	$	0.47		$	0.47
Per common share closing prices:
During the quarter:
High	$	18.03		$	17.75
Low	$	15.57		$	16.37
At quarter end	$	18.03		$	17.75

	March 31, 2018		December 31, 2017
Total assets (in thousands)	$	5,790,486	$	5,604,933
Book value per common share	$	20.24	$	20.13

During the quarter ended March 31, 2018, we recorded net income of $28.2 million, or $0.35 per diluted share. Our net income for the quarter ended March 31, 2018 reflects net mortgage loan servicing fees of $56.2 million, supplemented by net gain on mortgage loans acquired for sale of $7.6 million, mortgage loan origination fees of $7.0 million, net interest income of $6.2 million and net gain on investments of $18,000.

During the quarter ended March 31, 2017, we recorded net income of $28.7 million, or $0.40 per diluted share. Our net income for the quarter ended March 31, 2017 reflects net gain on mortgage loans acquired for sale of $19.0 million, supplemented by net gain on investments of $16.7 million and net interest income of $10.9 million.

Our net income during the quarter ended March 31, 2018, was comparable to the same period in 2017, however the effect of increasing interest rates shifted the sources of our earnings towards our investment in MSRs and away from correspondent production. Rising interest rates also reflected negatively on our investment in MBS, and the fair value of our portfolio of distressed mortgage loans was negatively affected by recent observations of market activities for comparable assets.  

Net Investment Income

During the quarter ended March 31, 2018, we recorded net investment income of $75.7 million, comprised primarily of $56.2 million of net loan servicing fees, $7.6 million of net gain on mortgage loans acquired for sale, $7.0 million of mortgage loan origination fees and $6.2 million of net interest income, partially offset by $3.2 million of losses from results of REO.

During the quarter ended March 31, 2017, we recorded net investment income of $64.5 million, comprised primarily of $19.0 million of net gain on mortgage loans acquired for sale, $16.7 million net gain on investments, $11.8 million of net loan servicing fees, $10.9 million of net interest income, and $8.3 million of mortgage loan origination fees, partially offset by $4.2 million of losses from results of REO.

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Net Gain on Mortgage Loans Acquired for Sale

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

	Quarter ended March 31,
	2018			2017
	(in thousands)
From non-affiliates:
Cash loss:
Mortgage loans	$	(95,767	)	$	(55,907	)
Hedging activities		33,746			16,258
		(62,021	)		(39,649	)
Non-cash gain:
Receipt of MSRs in mortgage loan sale transactions		66,546			58,688
Provision for losses relating to representations and warranties provided in    mortgage loan sales:
Pursuant to mortgage loan sales		(572	)		(673	)
Reduction in liability due to change in estimate		1,042			4,576
Change in fair value during the quarter of financial instruments held at quarter end:
IRLCs		(1,924	)		4,945
Mortgage loans		2,851			8,587
Hedging derivatives		(936	)		(19,850	)
		(9	)		(6,318	)
Total from non-affiliates		4,986			16,624
From PFSI─cash gain		2,641			2,401
	$	7,627		$	19,025
Interest rate lock commitments issued:
Loans acquired for sale to nonaffiliates	$	4,404,895		$	5,184,350
Loans acquired for sale to PFSI		9,162,260			9,291,920
	$	13,567,155		$	14,476,270
Purchases of mortgage loans acquired for sale to nonaffiliates:
At fair value	$	5,106,242		$	4,758,654
UPB	$	4,985,348		$	4,631,906
	March 31, 2018			December 31, 2017
	(in thousands)
Fair value of mortgage loans acquired for sale held at quarter end:
Conventional mortgage loans	$	837,994		$	971,910
Government-insured or guaranteed mortgage loans acquired for sale to PFSI		259,673			279,571
Commercial mortgage loans		10,177			9,898
Mortgage loans repurchased pursuant to representations and warranties		7,690			8,136
	$	1,115,534		$	1,269,515

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 mortgage loan sales transactions.

The decrease in gain on mortgage loans acquired for sale during the quarter ended March 31, 2018, as compared to the same period in 2017, reflects the generally rising interest rates in the mortgage market, which has a negative influence on demand for mortgage lending. Reduced demand negatively influences profit margins by causing increased price competition in the mortgage marketplace.

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. Our agreements with the purchasers include representations and warranties related to the mortgage loans we sell. The representations and warranties require adherence to purchaser and insurer origination and underwriting guidelines, including but not limited to the validity of the lien securing the mortgage loan, property eligibility, borrower credit, income and asset requirements, and compliance with applicable federal, state and local law.

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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 sellers 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 seller.

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

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

	Quarter ended March 31,
	2018			2017
	(UPB-in thousands)
Indemnification activity:
Mortgage loans indemnified by PMT at beginning of quarter	$	5,926		$	4,856
New indemnifications		—			2,069
Less:
Indemnified mortgage loans repaid or refinanced		555			—
Mortgage loans indemnified by PMT at end of quarter	$	5,371		$	6,925
Mortgage loans with deposits received from correspondent sellers    collateralizing prospective indemnification losses at end of quarter	$	1,145		$	645
Repurchase activity:
Mortgage loans repurchased by PMT	$	2,830		$	4,102
Less:
Mortgage loans repurchased by correspondent sellers		3,167			2,486
Mortgage loans repaid by borrowers		256			1,178
Net mortgage loans repurchased by PMT with losses    chargeable to liability for representations and warranties	$	(593	)	$	438
Net recovery credited to liability for representations and warranties	$	(41	)	$	—
At end of quarter:
Mortgage loans subject to representations and warranties	$	74,554,838		$	58,797,849
Liability for representations and warranties	$	8,249		$	11,447

During the quarter ended March 31, 2018, we repurchased mortgage loans with UPBs totaling $2.8 million and recognized a net recovery to the liability for representations and warranties totaling $41,000, as compared to repurchases of $4.1 million and no net losses or recovery recorded during the same period in 2017. The losses we have recorded to date have been moderated by our ability to recover most of the losses inherent in the repurchased mortgage loans from the correspondent sellers. 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 that the level of repurchase activity and associated losses may increase.

The amount of the liability for representations and warranties is difficult to estimate and requires considerable judgment. The level of mortgage loan repurchase losses is dependent on economic factors, investor loss mitigation strategies, our ability to recover any losses inherent in the repurchased mortgage loan from the correspondent seller and other external conditions that may change over the lives of the underlying mortgage loans. We may be required to incur losses related to such representations and warranties for several periods after the mortgage loans are sold or liquidated.

We record adjustments to our recorded liability for losses on representations and warranties 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 sellers’ ability or willingness to fulfill their recourse obligations to us. Such adjustments may be material to our financial position and income in future periods. Adjustments to our liability for representations and warranties are included as a component of our Net gains on mortgage loans acquired for sale at fair value. We recorded a $1.0 million reduction in liability for representations and warranties during the quarter ended March 31, 2018 due to the effects of certain mortgage loans reaching specified performance histories identified by the Agencies as sufficient to limit repurchase claims relating to such mortgage loans.

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Mortgage Loan Origination Fees

Mortgage loan origination fees represent fees we charge correspondent sellers relating to our purchase of mortgage loans from those sellers. The decrease in fees during the quarter ended March 31, 2018, as compared to the same period in 2017, is due to our funding of fewer mortgage loans during the quarter ended March 31, 2018, as compared to the same period in 2017.

Net Gain (Loss) on Investments

Net gain (loss) on investments is summarized below:

	Quarter ended March 31,
	2018			2017
	(in thousands)
From non-affiliates:
Mortgage-backed securities	$	(22,397	)	$	140
Mortgage loans at fair value:
Distressed		(9,951	)		3,216
Held in a VIE		(5,579	)		316
CRT Agreements		22,551			18,587
Asset-backed financings of a VIE at fair value		6,183			(24	)
Hedging derivatives		1,460			(4,144	)
		(7,733	)		18,091
From PFSI—ESS		7,751			(1,370	)
	$	18		$	16,721

The decrease in net gain (loss) on investments during the quarter ended March 31, 2018, as compared to 2017, was caused primarily by valuation losses in our portfolios of MBS and mortgage loans at fair value.

Mortgage-Backed Securities

During the quarter ended March 31, 2018, we recognized net valuation losses on MBS of $22.4 million, as compared to net valuation gains of $140,000 for the quarter ended March 31, 2017. The losses we recorded for the quarter ended March 31, 2018 reflect the influence of rising interest rates during 2018, as compared to the same period in 2017.

Mortgage Loans at Fair Value – Distressed

Net (losses) gains on our investment in distressed mortgage loans at fair value are summarized below:

	Quarter ended March 31,
	2018			2017
	(in thousands)
Valuation changes:
Performing loans	$	(4,169	)	$	5,970
Nonperforming loans		(5,102	)		(3,169	)
		(9,271	)		2,801
Gain on payoffs		235			415
Gain (loss) on sale		(915	)		—
	$	(9,951	)	$	3,216
Average portfolio balance	$	738,333		$	1,327,421
Interest and fees capitalized	$	2,180		$	9,903
Number of mortgage loans relating to gain recognized on payoffs		46			81
UPB of mortgage loans relating to gain recognized on payoffs	$	15,075		$	24,746
Number of mortgage loans relating to gain/(loss) recognized on sales		1,144			373
UPB of mortgage loans relating to gain/(loss) recognized on sales	$	351,630		$	103,767

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Because we have elected to record our mortgage loans at fair value, a substantial portion of the income we record with respect to such mortgage loans results from changes in fair value. Valuation changes amounted to losses of $9.3 million in the quarter ended March 31, 2018, as compared to gains of $2.8 million for the same period in 2017. We recognize estimated gain (loss) relating to mortgage loans subject to pending sales contracts in the valuation changes. Gains and losses on sales represent settlement adjustments realized at the date of sale.

We recognized valuation losses on performing mortgage loans during the quarter ended March 31, 2018 compared to valuation gains during the quarter ended March 31, 2017, due to the negative impact of observed market activity for comparable assets during 2018 as compared to the same period in 2017. Valuation losses on the nonperforming mortgage loans increased as these loans were also negatively impacted by observed market activity for comparable assets in 2018 as compared to the same period in 2017.

During the quarters ended March 31, 2018, and 2017, we continued to reduce our investment in distressed mortgage assets. During these periods we received proceeds from liquidation, payoffs, paydowns and sales from our portfolio of mortgage loans and REO as shown below:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Mortgage loans at fair value	$	272,714	$	98,912
Real estate acquired in settlement		32,437		63,201
	$	305,151	$	162,113

Implementing long-term, sustainable loan modification is one means by which we endeavor to increase the fair value of the distressed mortgage loans which we have typically purchased at discounts to their UPB. Loan modifications typically include capitalization of delinquent interest on such mortgage loans.

The valuation changes on performing mortgage loans reflect the effects of capitalization of delinquent interest on loans we modify. When we capitalize interest in a loan modification, we increase the carrying value of the mortgage loan. The interest income we recognize is offset by a valuation loss of corresponding magnitude. Changes in other inputs may result in further valuation changes to the mortgage loan, and subsequent performance of a modified mortgage loan will be reflected in its future fair value. During the quarter ended March 31, 2018, we capitalized interest totaling $2.2 million, as compared to $9.9 million for the quarter ended March 31, 2017.

Following is a summary of interest capitalized in mortgage loan modifications:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Amount capitalized	$	2,180	$	9,903
UPB of mortgage loans before interest capitalization	$	41,074	$	79,870

Our disposition strategy includes identification of the most financially beneficial resolutions. Such resolutions may include modification or sale of the mortgage loan or acquisition of the property securing the distressed mortgage loan. Absent sale of 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 mortgage loan. Our current expectation is that we will receive cash on modified mortgage loans through monthly borrower payments, payoffs or acquisition of the property securing the mortgage loans and liquidation of the property in the event the borrower subsequently defaults.

Large-scale refinancing of modified distressed 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 generally require a period of acceptable borrower performance for consideration in most Agency refinance programs.

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The following tables present a summary of mortgage loan modifications completed:

	Quarter ended March 31,
	2018					2017
Modification type (1)	Number of loans		Balance of loans (1)			Number of loans		Balance of loans (1)
	(dollars in thousands)
Rate reduction		99	$	29,572			175	$	49,930
Term extension		98	$	32,662			244	$	74,670
Capitalization of interest and fees		138	$	41,074			265	$	79,870
Principal forbearance		109	$	32,989			115	$	39,457
Principal reduction		46	$	14,778			91	$	28,489
Total (2)		138	$	41,074			265	$	79,870
Defaults of mortgage loans modified in the prior year period			$	4,406				$	5,242
As a percentage of relevant balance of loans    before modification				9	%				7	%
Defaults during the period of mortgage loans modified since    acquisitions (3)			$	48,226				$	47,860
As a percentage of relevant balance of loans    before modification				9	%				10	%
Repayments and sales of mortgage loans modified in the    prior year period			$	49,685				$	15,339
As a percentage of relevant balance of loans    before modification				63	%				16	%

(1) Before modification.

(2) 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.

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

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

	Quarter ended March 31,
	2018						2017
	Before			After			Before			After
Category	modification			modification			modification			modification
	(dollars in thousands)
Loan balance	$	298		$	321		$	301		$	333
Remaining term (months)		406			456			353			468
Interest rate		3.60	%		2.68	%		4.29	%		3.04	%
Forbeared principal	$	38		$	49		$	24		$	31

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CRT Agreements

The activity in and balances relating to our CRT Agreements is summarized below:

	Quarter ended March 31,
	2018			2017
	(in thousands)
UPB of mortgage loans sold under CRT Agreements	$	3,210,478		$	1,834,295
Deposits of cash securing CRT Agreements	$	41,789		$	15,793
Increase in unfunded commitments to fund Deposits    securing credit risk transfer agreements resulting    from sale of mortgage loans	$	70,486		$	48,150
Interest earned on Deposits securing CRT Agreements	$	2,031		$	408
Gains recognized on CRT Agreements included in:    Net gain (loss) on investment:
Realized	$	19,329		$	10,288
Resulting from valuation changes		5,355			10,019
		24,684			20,307
Change in fair value of interest-only security payable at fair value		(2,133	)		(1,720	)
	$	22,551		$	18,587
Payments made to settle losses	$	828		$	149
	March 31, 2018			December 31, 2017
	(in thousands)
UPB of mortgage loans subject to Recourse Obligations	$	29,726,369		$	26,845,392
Carrying value of investments in CRT Agreements (1)	$	726,325		$	687,507
Commitments to fund Deposits securing CRT agreements	$	552,957		$	482,471

(1) Carrying value of investments in CRT Agreements includes Deposits securing CRT Agreements and CRT derivatives.

The increase in gains recognized on CRT Agreements is due to growth in the portfolio of mortgage loans subject to CRT Agreements during 2018 as compared to the same period in 2017 and the effect of growth in our portfolio of mortgage loans subject to CRT Agreements on the cash income we receive, partially offset by observed credit spread increases during 2018 as compared to credit spread decreases during the same period in 2017.  Credit spread changes influence the discount rate applied to our cash flow estimates. Therefore, credit spread increases increase the discount rate we apply to cash flows and have a downward influence on the CRT derivative’s fair value.

ESS Purchased from PFSI

We recognized fair value gains relating to our investment in ESS totaling $7.8 million for the quarter ended March 31, 2018, as compared to fair value losses of $1.4 million for the quarter ended March 31, 2017. The gain was driven by the positive influence on expected future cash flows of the generally rising interest rates during 2018 compared to the same period in 2017.

Net Mortgage Loan Servicing Fees

Our correspondent production activity is the primary source of our mortgage loan servicing portfolio. 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 mortgage 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 mortgage loan payments; responding to borrower inquiries; accounting for the mortgage loan; holding and remitting custodial (impound) funds for payment of property taxes and insurance premiums; counseling delinquent mortgagors; and supervising foreclosures and property dispositions.

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Net mortgage loan servicing fees are summarized below:

	Quarter ended March 31,
	2018			2017
	(in thousands)
From non-affiliates:
Servicing fees (1)	$	48,732		$	37,281
Ancillary and other fees		1,703			1,224
Effect of MSRs:
Carried at fair value—change in fair value		25,973			(1,993	)
Carried at lower of amortized cost or fair value:
Amortization		—			(17,858	)
Reduction of impairment valuation allowance		—			1,504
Losses on hedging derivatives, net		(20,848	)		(8,698	)
		5,125			(27,045	)
		55,560			11,460
From PFSI—MSR recapture income		595			292
Net mortgage loan servicing fees	$	56,155		$	11,752
Average servicing portfolio	$	73,694,438		$	57,927,056

(1) Includes contractually specified servicing fees, net of guarantee fees.

Net mortgage loan servicing fees increased during the quarter ended March 31, 2018, as compared to the comparable period in 2017 by $44.4 million. The increase in net mortgage loan servicing fees during the quarter ended March 31, 2018, as compared to the quarter ended March 31, 2017, was attributable to both recognized increases in the fair value of our investment in MSRs and increased servicing fees arising from growth in our portfolio of mortgage loans serviced for others. The increase in fair value of our MSR portfolio – excluding the change recognized pursuant to the change in accounting principle by which we now carry all MSRs at fair value – was primarily due to the positive effect of the generally increasing interest rate environment on future estimated cash flows relating to the MSRs.  

We have entered into an MSR recapture agreement that requires PLS to transfer to us cash in an amount equal to 30% of the fair market value of the MSRs related to all the loans so originated. We recognized MSR recapture income during the quarter ended March 31, 2018 of $595,000, as compared to $292,000 for the quarter ended March 31, 2017.

Before January 1, 2018, we 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%. Our accounting for MSRs was based on the class of MSRs. Originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5% were accounted for using the amortization method. Originated MSRs backed by mortgage loans with initial interest rates of more than 4.5% were accounted for at fair value with changes in fair value recorded in current period income. Effective January 1, 2018, we carry all currently identified classes of MSRs at fair value.

67

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

	March 31, 2018			December 31, 2017
	(dollars in thousands)
MSRs carried at fair value	$	957,013		$	91,459
UPB of mortgage loans underlying MSRs carried at fair value	$	75,261,574		$	8,273,696
MSR carried at lower of amortized cost or fair value:
Amortized cost				$	772,870
Valuation allowance					(19,548	)
Carrying value				$	753,322
Fair value				$	772,940
UPB of mortgage loans underlying MSRs carried at lower of amortized cost or fair value:				$	63,853,606
Total MSR:
Carrying value				$	844,781
Fair value				$	864,399
UPB of mortgage loans underlying MSRs	$	75,261,574		$	72,127,302
Average servicing fee rate (in basis points)
MSRs carried at fair value	25				25
MSRs carried at lower of amortized cost or fair value					25
Average note interest rate:
MSRs carried at fair value		4.0	%		4.7	%
MSRs carried at lower of amortized cost or fair value					3.9	%

68

Net Interest Income

Net interest income is summarized below:

	Quarter ended March 31, 2018
	Interest income/expense									Annualized
			Discount/					Average		interest
	Coupon		fees (1)			Total		balance		yield/cost %
	(dollars in thousands)
Assets:
Short-term investments	$	73	$	—		$	73	$	24,653		1.18	%
Mortgage-backed securities		9,231		(440	)		8,791		1,069,971		3.29	%
Mortgage loans acquired for sale at fair value		11,332		—			11,332		1,046,289		4.33	%
Mortgage loans:
Distressed		5,763		2,136			7,899		738,333		4.28	%
Held by variable interest entity		3,009		(406	)		2,603		314,717		3.31	%
		8,772		1,730			10,502		1,053,050		3.99	%
ESS from PFSI		3,934		—			3,934		239,923		6.56	%
Deposits securing CRT Agreements		2,031		—			2,031		601,980		1.35	%
Placement fees relating to custodial funds		4,215		—			4,215
Other		102		—			102
		39,690		1,290			40,980		4,035,866		4.06	%
Liabilities:
Assets sold under agreements to repurchase (2)		19,703		4,804			24,507		3,077,914		3.18	%
Mortgage loan participation purchase and sale    agreements		283		31			314		45,561		2.76	%
Asset-backed financings of a VIE at fair value		2,635		(339	)		2,296		297,682		3.09	%
Exchangeable Notes		3,359		285			3,644		250,000		5.83	%
Assets sold to PFSI under agreement to repurchase		1,976		—			1,976		142,151		5.56	%
		27,956		4,781			32,737		3,813,308		3.43	%
Interest shortfall on repayments of mortgage loans    serviced for Agency securitizations		1,594		—			1,594		—
Interest on mortgage loan impound deposits		485		—			485		—
		30,035		4,781			34,816		3,813,308		3.65	%
Net interest income	$	9,655	$	(3,491	)	$	6,164
Net interest margin											0.61	%
Net interest spread											0.41	%

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

(2) In 2017, the Company entered into a master repurchase agreement that provides the Company with incentives to finance mortgage loans approved for satisfying certain consumer relief characteristics as provided in the agreement. During the quarter ended March 31, 2018, the Company included $2.4 million of such incentives as reductions to Interest expense. The master repurchase agreement had an initial term of six months, renewable for three additional six-month terms at the option of the lender. On April 18, 2018, the lender excised its first renewal option.  There can be no assurance whether the lender will continue to renew this agreement upon its maturity.

69

	Quarter ended March 31, 2017
	Interest income/expense									Annualized
			Discount/					Average		interest
	Coupon		fees (1)			Total		balance		yield/cost %
	(dollars in thousands)
Assets:
Short-term investments	$	281	$	—		$	281	$	78,357		1.43	%
Mortgage-backed securities		8,090		(1,318	)		6,772		957,596		2.83	%
Mortgage loans acquired for sale at fair value		11,502		—			11,502		1,099,406		4.18	%
Mortgage loans:
Distressed		9,748		9,903			19,651		1,327,421		5.92	%
Held by variable interest entity		3,430		299			3,729		361,110		4.13	%
		13,178		10,202			23,380		1,688,531		5.54	%
ESS from PFSI		4,647		—			4,647		285,386		6.51	%
Deposits securing CRT Agreements		408		—			408		454,466		0.36	%
Placement fees relating to custodial funds		1,071		—			1,071
Other		39		—			39
		39,216		8,884			48,100		4,563,742		4.22	%
Liabilities:
Assets sold under agreements to repurchase		19,883		2,299			22,182		3,267,864		2.72	%
Mortgage loan participation purchase and sale    agreements		335		31			366		64,498		2.27	%
Notes payable		3,341		964			4,305		260,384		6.61	%
Asset-backed financings of a VIE at fair value		3,022		387			3,409		347,854		3.92	%
Exchangeable Notes		3,359		268			3,627		250,000		5.80	%
Assets sold to PFSI under agreement to repurchase		1,851		(46	)		1,805		150,000		4.81	%
		31,791		3,903			35,694		4,340,600		3.29	%
Interest shortfall on repayments of mortgage loans    serviced for Agency securitizations		1,062		—			1,062
Interest on mortgage loan impound deposits		423		—			423
		33,276		3,903			37,179		4,340,600		3.43	%
Net interest income	$	5,940	$	4,981		$	10,921
Net interest margin											0.96	%
Net interest spread											0.79	%

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

70

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

	Quarter ended March 31, 2018
	vs.
	Quarter ended March 31, 2017
	Increase (decrease) due to changes in
							Total
	Rate			Volume			change
	(in thousands)
Assets:
Short-term investments	$	(42	)	$	(166	)	$	(208	)
Mortgage-backed securities		1,170			849			2,019
Mortgage loans acquired for sale at fair value		397			(567	)		(170	)
Mortgage loans at fair value:
Distressed		(4,520	)		(7,232	)		(11,752	)
Held by variable interest entity		(684	)		(442	)		(1,126	)
Total mortgage loans		(5,204	)		(7,674	)		(12,878	)
ESS from PFSI		32			(745	)		(713	)
Interest earned on Deposits securing CRT Agreements		1,452			171			1,623
Placement fees relating to custodial funds		—			3,144			3,144
Other		—			63			63
		(2,195	)		(4,925	)		(7,120	)
Liabilities:
Assets sold under agreements to repurchase		3,670			(1,345	)		2,325
Mortgage loan participation purchase and sale agreement		69			(121	)		(52	)
Asset backed secured financing of VIEs at fair value		(664	)		(449	)		(1,113	)
Exchangeable Notes		17			—			17
Notes payable		—			(4,305	)		(4,305	)
Assets sold to PFSI under agreement to repurchase		269			(98	)		171
		3,361			(6,318	)		(2,957	)
Interest shortfall on repayments of mortgage loans    serviced for Agency securitizations		—			532			532
Interest on mortgage loan impound deposits		—			62			62
		3,361			(5,724	)		(2,363	)
Net interest income	$	(5,556	)	$	799		$	(4,757	)

During the quarter ended March 31, 2018, we earned net interest income of $6.2 million, as compared to $10.9 million for the quarter ended March 31, 2017. The decrease in net interest income between quarters was due primarily to a decrease in average investment in distressed mortgage loans, which are our highest yielding assets, and a reduction in the yield of those assets due to declining modification activity.

During the quarter ended March 31, 2018, we recognized interest income on distressed mortgage loans and mortgage loans held by VIEs totaling $10.5 million, including $2.2 million of interest capitalized pursuant to loan modifications, which compares to $23.4 million, including $9.9 million of interest capitalized pursuant to loan modifications, in the quarter ended March 31, 2017. The decrease in interest income was due to continuing sales and liquidations of our distressed mortgage loans and a reduction in yield on our portfolio caused by reduced capitalization of delinquent interest pursuant to mortgage loan modifications. This reduction was partially offset by the positive effect of rising interest rates and growth in the size of our MSR portfolio on the placement fees we receive relating to the custodial funds we manage relating to our MSR portfolio and to the increase in our CRT deposits and interest we earn relating to our CRT deposits.

At March 31, 2018, approximately 44% of the fair value of our distressed mortgage loan portfolio was nonperforming, as compared to 46% at December 31, 2017. We do not accrue interest on nonperforming mortgage 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 is substantially higher than would be recorded based on the mortgage loans’ UPBs as the fair values of our distressed mortgage loans are generally at substantial discounts to their UPB.

71

Nonperforming mortgage loans and REO generally take longer than performing mortgage loans to generate cash flow due to the time required to work with borrowers to resolve payment issues through our modification programs, and to acquire and liquidate the property securing the mortgage loans. The value and returns we realize from these assets are determined by our ability to assist borrowers in curing defaults, or when curing of borrower defaults is not a viable solution, by our ability to effectively manage the liquidation process. At March 31, 2018, we held $205.1 million in fair value of nonperforming mortgage loans and $141.5 million in carrying value of REO, as compared to $353.6 million in fair value of nonperforming mortgage loans and $162.9 million in carrying value of REO at December 31, 2017.

During the quarter ended March 31, 2018, we incurred interest expense totaling $34.8 million, as compared to $37.2 million during the quarter ended March 31, 2017. Our interest cost on interest bearing liabilities was 3.43% for the quarter ended March 31, 2018 and 3.29% for the quarter ended March 31, 2017. The decrease in interest expense reflects the decrease in size of our average balance sheet during 2018 as compared to the same period in 2017, compounded by $2.4 million in incentives that we received during 2018 relating to our financing of mortgage loans that satisfy certain consumer relief characteristics.

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 ended March 31, 2018, we recorded net losses of $3.2 million, as compared to $4.2 million for the same period in 2017, in Results of real estate acquired in settlement of loans.

Results of REO are summarized below:

	Quarter ended March 31,
	2018			2017
	(dollars in thousands)
Proceeds from sales of REO	$	32,437		$	63,224
Results of real estate acquired in settlement of loans:
Valuation adjustments, net		(5,359	)		(8,175	)
Gain on sale, net		2,133			3,929
	$	(3,226	)	$	(4,246	)
Number of properties sold		224			294
Average carrying value of REO	$	153,653		$	252,996
At quarter end:
Carrying value	$	141,506		$	224,831
Number of properties		487			911

Losses from REOs during the quarter ended March 31, 2018, decreased from the same period in 2017. The decrease in losses from REOs during the quarter ended March 31, 2018, as compared to the same period in 2017, was due primarily to the smaller overall REO portfolio during 2018 as compared to the same period in 2017.

Expenses

Our expenses are summarized below:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Earned by PennyMac Financial Services, Inc.:
Mortgage loan fulfillment fees	$	11,944	$	16,570
Mortgage loan servicing fees		11,019		10,486
Management fees		5,696		5,008
Mortgage loan collection and liquidation		2,229		354
Real estate held for investment		1,438		1,088
Professional services		1,319		1,453
Compensation		1,268		1,892
Mortgage loan origination		272		1,512
Other		2,650		3,503
	$	37,835	$	41,866

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Expenses decreased $4.0 million, or 10%, during the quarter ended March 31, 2018, as compared to the same period in 2017, primarily due to decreased fulfillment fees during the quarter ended March 31, 2018, as compared to the quarter ended March 31, 2017, reflecting a lower average fulfillment fee rate charged to us by PFSI.

Mortgage Loan Fulfillment Fees

Mortgage 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. Mortgage loan fulfillment fees and related fulfillment volume are summarized below:

	Quarter ended March 31,
	2018		2017
	(dollars in thousands)
Fulfillment fee expense	$	11,944	$	16,570
UPB of mortgage loans fulfilled by PLS	$	4,225,631	$	4,631,906
Average fulfillment fee rate (in basis points)		28		36

The decrease in loan fulfillment fees of $4.6 million during the quarter ended March 31, 2018, as compared to the quarter ended March 31, 2017, is primarily due to a decrease in the average fulfillment fee rate charged by PFSI due to reductions in the fulfillment fee following an amendment of the mortgage banking services agreement with PFSI in September 2016.

Mortgage Loan Servicing Fees

Mortgage loan servicing fees payable to PLS are summarized below:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Mortgage loan servicing fees
Mortgage loans acquired for sale at fair value:
Base	$	56	$	65
Activity-based		122		143
		178		208
Mortgage loans at fair value:
Distressed mortgage loans:
Base		1,005		1,958
Activity-based		2,080		2,390
		3,085		4,348
Mortgage loans held in VIE:
Base		34		31
Activity-based		—		—
		34		31
MSRs:
Base		7,615		5,806
Activity-based		107		93
		7,722		5,899
	$	11,019	$	10,486
Average investment in:
Mortgage loans acquired for sale at fair value	$	1,046,289	$	1,099,406
Mortgage loans at fair value:
Distressed mortgage loans	$	738,333	$	1,327,421
Mortgage loans held in a VIE	$	314,717	$	361,110
Average mortgage loan servicing portfolio	$	73,694,438	$	57,927,056

73

Mortgage loan servicing fees increased by $533,000 during the quarter ended March 31, 2018, as compared to the same period in 2017. The increase in mortgage loan servicing fees was primarily due to the increase in servicing fees resulting from the ongoing growth of our MSR portfolio. This increase was partially offset by the decrease in mortgage loan servicing fees due to reductions in the distressed mortgage loan portfolio resulting from continuing loan sales and liquidations through the first quarter of 2018. Servicing fee rates relating to distressed mortgage loans are significantly higher than those relating to MSRs due to the higher cost of servicing such loans. Therefore, reductions in the balance of distressed mortgage loans have a much more significant effect on mortgage loan servicing fees than the additions of new MSRs.

Management Fees

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

	Quarter ended March 31,
	2018		2017
	(in thousands)
Base	$	5,696	$	5,008
Performance incentive		—		—
	$	5,696	$	5,008
Average shareholders' equity amounts used to calculate management fee expense	$	1,539,900	$	1,353,898

Management fees increased by $0.7 million during the quarter ended March 31, 2018, as compared to the same period in 2017, primarily due to increases in our shareholders’ equity arising from our issuances of preferred shares of beneficial interest during 2017. We did not incur a performance incentive fee, which is based on our profitability in relation to our common shareholders’ equity, during the quarter ended March 31, 2018, or the same period in 2017.

Compensation

Compensation expense decreased $624,000 during the quarter ended March 31, 2018, as compared to the same period in 2017. The reduction reflects reduced performance expectations relating to the performance-based restricted share unit awards outstanding during the quarter ended March 31, 2018.

Real estate held for investment

Expenses of real estate held for investment increased by $350,000 in the quarter ended March 31, 2018, as compared to the quarter ended March 31, 2017, due to growth in our portfolio of investment properties.

Mortgage loan collection and liquidation

Mortgage loan collection and liquidation expenses increased $1.9 million during the quarter ended March 31, 2018, as compared to the same period in 2017, due to increased collection costs relating to our remaining portfolio of distressed mortgage loans.

Other Expenses

Other expenses are summarized below:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Common overhead allocation from PFSI	$	1,001	$	1,434
Insurance		305		338
Technology		378		318
Other		966		1,413
	$	2,650	$	3,503

Other expenses decreased during the quarter ended March 31, 2018, as compared to the same period in 2017, by $853,000 primarily due to the reduction in common overhead allocation from PFSI.

74

Income Taxes

We have elected to treat PMC as a taxable REIT subsidiary (“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 us.  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 operations.

Our effective tax rate was 25.5% and (27.1)% for the quarters ended March 31, 2018 and 2017, respectively. Our TRS recognized a tax expense of $9.4 million on income of $34.6 million while our reported consolidated pretax income was $37.8 million for the quarter ended March 31, 2018. For the same periods in 2017, the TRS recognized tax benefit of $6.6 million on a loss of $14.8 million while our reported consolidated pretax income was $22.6 million. The relative values between the tax benefit or expense at the TRS and our consolidated pretax income drive the fluctuation in the effective tax rate. The primary difference between our effective tax rate and the statutory tax rate is due to nontaxable REIT income resulting from the dividends paid deduction.

In general, cash dividends declared by the Company will be considered ordinary income to the shareholders for income tax purposes. Some portion of the dividends may be characterized as capital gain distributions or a return of capital. For tax years beginning after December 31, 2017, the 2017 Tax Cuts and Jobs Act (the “Tax Act”) (subject to certain limitations) provides a 20% deduction from taxable income for ordinary REIT dividends.

Balance Sheet Analysis

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

	March 31,		December 31,
	2018		2017
	(in thousands)
Assets
Cash	$	102,167	$	77,647
Investments:
Short-term investments		71,044		18,398
Mortgage-backed securities		1,436,456		989,461
Mortgage loans acquired for sale at fair value		1,115,534		1,269,515
Mortgage loans at fair value		779,489		1,089,473
ESS		236,002		236,534
Derivative assets		122,518		113,881
Real estate acquired in settlement of loans		141,506		162,865
Real estate held for investment		45,790		44,224
MSRs		957,013		844,781
Deposits securing CRT Agreements		622,330		588,867
		5,527,682		5,357,999
Other		160,637		169,287
Total assets	$	5,790,486	$	5,604,933
Liabilities
Borrowings:
Assets sold under agreements to repurchase and    mortgage loan participation purchase and sale agreements	$	3,408,283	$	3,225,374
Asset-backed financing of a VIE at fair value		296,982		307,419
Exchangeable Notes		247,471		247,186
Assets sold to PennyMac Financial Services, Inc. under    agreement to repurchase		142,938		144,128
Interest-only security payable at fair value		7,796		7,070
		4,103,470		3,931,177
Other		144,758		129,171
Total liabilities		4,248,228		4,060,348
Shareholders’ equity		1,542,258		1,544,585
Total liabilities and shareholders’ equity	$	5,790,486	$	5,604,933

75

Total assets increased by approximately $185.6 million, or 3%, during the period from December 31, 2017 through March 31, 2018, primarily due to a $447.0 million increase in MBS, a $112.2 million increase in MSRs and a $33.5 million increase in deposits securing CRT Agreements. These increases were partially offset by a $310.0 million decrease in mortgage loans at fair value, a $154.0 million decrease in mortgage loans acquired for sale at fair value, a $77.2 million decrease in cash and short-term investments and a $21.4 million reduction in REO.

Asset Acquisitions

Our asset acquisitions are summarized below.

Correspondent Production

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

	Quarter ended March 31,
	2018		2017
	(in thousands)
Correspondent mortgage loan purchases:
Government-insured or guaranteed	$	9,189,632	$	9,716,000
Agency-eligible		5,106,242		4,758,654
Commercial mortgage loans		7,263		21,105
	$	14,303,137	$	14,495,759

During the quarter ended March 31, 2018, we purchased for sale $14.3 billion in fair value of correspondent production loans as compared to $14.5 billion in fair value of correspondent production loans during the quarter ended March 31, 2017. Our ability to maintain the level of correspondent production in an increasing interest rate environment reflects the continuing expansion of our correspondent seller network along with the efforts aimed at maximizing the share of our correspondent sellers’ production that is sold to us.

Our ability to continue the expansion of 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 mortgage 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 our borrowing capacity or in obtaining the additional equity capital necessary or that we will be able to identify additional sources of mortgage loans.

Other Investment Activities

Following is a summary of our acquisitions of mortgage-related investments held in our interest rate sensitive strategies and credit-sensitive strategies segments:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Interest rate sensitive assets:
MBS	$	500,573	$	251,872
ESS received pursuant to a recapture agreement		904		1,573
MSRs received in mortgage loan sales and purchases of MSRs		66,546		58,688
Credit sensitive assets:
Deposits relating to CRT Agreements		41,789		15,793
Additional commitments to fund deposits securing CRT Agreements		70,486		48,150
	$	680,298	$	376,076

Our acquisitions during the quarters ended March 31, 2018, and 2017, were financed through the use of a combination of proceeds from liquidations of existing investments, proceeds from equity issuances and borrowings. We continue to identify additional means of increasing our investment portfolio through cash flow from our business activities, existing investments, borrowings, and transactions that minimize current cash outlays. However, we expect that, over time, our ability to continue our investment portfolio growth will depend on our ability to raise additional equity capital.

76

Investment Portfolio Composition

Mortgage-Backed Securities

Following is a summary of our MBS holdings:

	March 31, 2018												December 31, 2017
					Average												Average
	Fair				Life					Market			Fair				Life					Market
	value		Principal		(in years)		Coupon			yield			value		Principal		(in years)		Coupon			yield
	(dollars in thousands)
Agency:
Fannie Mae	$	1,049,722	$	1,044,176		8.5		3.5	%		3.4	%	$	796,853	$	774,473		7.0		3.5	%		3.0	%
Freddie Mac		386,734		382,068		8.4		3.7	%		3.5	%		192,608		187,127		7.7		3.5	%		3.0	%
	$	1,436,456	$	1,426,244									$	989,461	$	961,600

Mortgage Loans at Fair Value – Distressed

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

	March 31, 2018				December 31, 2017
	Loan		Collateral		Loan		Collateral
	(in thousands)
Fair values:
Performing loans	$	263,263	$	414,578	$	414,785	$	617,050
Nonperforming loans		205,124		358,099		353,648		597,227
	$	468,387	$	772,677	$	768,433	$	1,214,277

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 and the timing of such dispositions, the costs and expenses we incur in the disposition process, changes in borrower performance and the underlying collateral values. Ultimate realization in a disposition of these assets will be net of any servicing advances carried on the balance sheet in relation to these investments.

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 mortgage 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 mortgage loan, readying the property for sale, holding the property while it is being marketed or in the sale of a property.

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 fair 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 summary of the distribution of our portfolio of distressed mortgage loans at fair value:

	March 31, 2018																December 31, 2017
	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	$	102,605		39	%		3.78	%	$	78,237		38	%		5.01	%	$	186,929		45	%		3.61	%	$	130,860		37	%		4.96	%
Interest rate    step-up		137,451		52	%		2.27	%		32,235		16	%		2.07	%		189,724		46	%		2.32	%		51,112		14	%		2.19	%
ARM/Hybrid		23,207		9	%		4.21	%		94,652		46	%		5.27	%		38,132		9	%		4.05	%		171,676		49	%		5.26	%
	$	263,263		100	%		2.99	%	$	205,124		100	%		4.54	%	$	414,785		100	%		3.04	%	$	353,648		100	%		4.62	%

77

	March 31, 2018																December 31, 2017
	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	$	262,541		100	%		2.99	%	$	204,971		100	%		4.54	%	$	413,928		100	%		3.04	%	$	353,431		100	%		4.62	%
2nd lien		722		0	%		3.85	%		153		0	%		7.36	%		857		0	%		3.90	%		217		0	%		7.49	%
	$	263,263		100	%		2.99	%	$	205,124		100	%		4.54	%	$	414,785		100	%		3.04	%	$	353,648		100	%		4.62	%

	March 31, 2018																December 31, 2017
	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	$	187,855		72	%		3.09	%	$	112,296		55	%		4.46	%	$	298,468		72	%		3.14	%	$	190,815		54	%		4.50	%
Investment    property		74,663		28	%		2.76	%		92,828		45	%		4.65	%		115,163		28	%		2.80	%		162,697		46	%		4.76	%
Other		745		0	%		3.96	%		—		0	%		—			1,154		0	%		3.33	%		136		0	%		3.00	%
	$	263,263		100	%		2.99	%	$	205,124		100	%		4.54	%	$	414,785		100	%		3.04	%	$	353,648		100	%		4.62	%

	March 31, 2018																December 31, 2017
	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)
12 - 35 months	$	41		0	%		2.48	%	$	—		0	%		—		$	138		0	%		2.71	%	$	—		0	%		—
36 - 59 months		424		0	%		4.61	%		91		0	%		1.92	%		528		0	%		4.70	%		118		0	%		2.02	%
60 months or    more		262,798		100	%		2.99	%		205,033		100	%		4.54	%		414,119		100	%		3.04	%		353,530		100	%		4.62	%
	$	263,263		100	%		2.99	%	$	205,124		100	%		4.54	%	$	414,785		100	%		3.04	%	$	353,648		100	%		4.62	%

	March 31, 2018																December 31, 2017
	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	$	72,585		27	%		3.26	%	$	39,105		19	%		4.10	%	$	108,762		26	%		3.29	%	$	70,228		20	%		4.20	%
600-649		62,257		24	%		2.93	%		40,388		20	%		4.18	%		99,428		24	%		3.00	%		63,524		18	%		4.13	%
650-699		67,778		26	%		2.90	%		66,956		32	%		4.66	%		106,196		26	%		2.93	%		114,280		32	%		4.69	%
700-749		46,977		18	%		2.81	%		42,887		21	%		5.14	%		77,324		19	%		2.85	%		80,411		23	%		5.24	%
750 or greater		13,666		5	%		2.98	%		15,788		8	%		4.59	%		23,075		5	%		3.14	%		25,205		7	%		4.93	%
	$	263,263		100	%		2.99	%	$	205,124		100	%		4.54	%	$	414,785		100	%		3.04	%	$	353,648		100	%		4.62	%

78

	March 31, 2018																December 31, 2017
	Performing loans								Nonperforming loans								Performing loans								Nonperforming loans
						Average								Average								Average								Average
Current loan-to	Fair		%			note			Fair		%			note			Fair		%			note			Fair		%			note
-value (1)	value		total			rate			value		total			rate			value		total			rate			value		total			rate
	(dollars in thousands)
Less than 80%	$	92,781		35	%		3.81	%	$	78,694		38	%		5.03	%	$	139,408		33	%		3.80	%	$	136,994		39	%		5.08	%
80% - 99.99%		66,747		26	%		2.97	%		52,772		26	%		4.76	%		107,121		26	%		3.12	%		94,538		27	%		4.90	%
100% -    119.99%		47,919		18	%		2.69	%		37,202		18	%		4.66	%		74,182		18	%		2.86	%		58,330		16	%		4.45	%
120% or greater		55,816		21	%		2.36	%		36,456		18	%		3.78	%		94,074		23	%		2.35	%		63,786		18	%		4.01	%
	$	263,263		100	%		2.99	%	$	205,124		100	%		4.54	%	$	414,785		100	%		3.04	%	$	353,648		100	%		4.62	%

(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.

	March 31, 2018																December 31, 2017
	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)
New York	$	40,460		15	%		2.69	%	$	65,093		32	%		5.21	%	$	69,401		17	%		2.61	%	$	104,667		30	%		5.25	%
California		55,026		21	%		2.99	%		28,684		14	%		4.04	%		92,435		22	%		3.06	%		44,856		13	%		3.91	%
New Jersey		24,242		9	%		2.44	%		17,271		8	%		4.00	%		38,689		9	%		2.55	%		33,857		10	%		4.36	%
Florida		15,360		6	%		2.74	%		21,195		10	%		4.53	%		20,273		5	%		2.71	%		40,518		11	%		4.76	%
Massachusetts		13,151		5	%		2.48	%		11,523		6	%		4.60	%		19,355		5	%		2.75	%		23,039		6	%		4.20	%
Maryland		12,816		5	%		2.70	%		7,171		3	%		4.20	%		21,424		5	%		2.99	%		10,159		3	%		4.06	%
Other		102,208		39	%		3.61	%		54,187		27	%		4.05	%		153,208		37	%		3.61	%		96,552		27	%		4.19	%
	$	263,263		100	%		2.99	%	$	205,124		100	%		4.54	%	$	414,785		100	%		3.04	%	$	353,648		100	%		4.62	%

	March 31, 2018																December 31, 2017
	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	$	184,799		70	%		2.97	%	$	—		0	%		—		$	267,507		65	%		2.99	%	$	—		0	%		—
30 days    delinquent		58,891		22	%		3.06	%		—		0	%		—			105,101		25	%		3.22	%		—		0	%		—
60 days    delinquent		19,573		8	%		3.03	%		—		0	%		—			42,177		10	%		2.91	%		—		0	%		—
90 days or more    delinquent		—		0	%		—			97,971		48	%		3.93	%		—		0	%		—			166,749		47	%		3.97	%
Inforeclosure		—		0	%		—			107,153		52	%		5.15	%		—		0	%		—			186,899		53	%		5.24	%
	$	263,263		100	%		2.99	%	$	205,124		100	%		4.54	%	$	414,785		100	%		3.04	%	$	353,648		100	%		4.62	%

79

Following is a comparison of the key inputs we use in the valuation of our mortgage loans at fair value using “Level 3” fair value inputs:

Key inputs	March 31, 2018	December 31, 2017
Discount rate
Range	3.2% – 15.0%	2.9% – 15.0%
Weighted average	6.7%	6.9%
Twelve-month projected housing price index change
Range	2.2% – 3.3%	3.6% – 4.6%
Weighted average	3.1%	4.4%
Prepayment speed (1)
Range	3.1% – 6.6%	3.2% – 11.0%
Weighted average	4.2%	4.2%
Total prepayment speed (2)
Range	10.6% – 22.8%	10.8% – 23.8%
Weighted average	16.2%	16.5%

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

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

We monitor and value our investments in pools of distressed mortgage loans 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 slightly from 6.9% at December 31, 2017 to 6.7% at March 31, 2018 due to shifting characteristics of the portfolio given liquidations and loan sales in the period and increased projections of costs relating to liquidation and loan-related foreclosure litigation on the remaining population of non-performing loans.

The weighted average twelve-month projected housing price index change used in the valuation of our portfolio of mortgage loans at fair value decreased from 4.4% at December 31, 2017 to 3.1% at March 31, 2018, due to lower near-term forecasts for real estate price appreciation in the geographic areas in which our portfolio of mortgage loans is concentrated.

The weighted average total prepayment speed used in the valuation of our portfolio of mortgage loans at fair value decreased slightly from 16.5% at December 31, 2017 to 16.2% at March 31, 2018 due to our projections of longer liquidation periods for certain of our mortgage loans.

Credit Risk Transfer Agreements

Following is a summary of our CRT Agreements:

	March 31, 2018			December 31, 2017
	(in thousands)
Carrying value of CRT Agreements:
Derivative assets	$	103,995		$	98,640
Deposits securing CRT agreements		622,330			588,867
Interest-only security payable at fair value		(7,796	)		(7,070	)
	$	718,529		$	680,437
UPB of mortgage loans subject to credit guarantee    obligations	$	29,726,369		$	26,845,392
Delinquency status (in UPB):
Current	$	29,456,524		$	26,540,953
30—89 days delinquent	$	130,583		$	179,144
90—180 days delinquent	$	90,418		$	101,114
180 or more days delinquent	$	26,343		$	5,146
Foreclosure	$	8,335		$	5,463
Bankruptcy	$	14,166		$	13,572

80

Approximately $101 million in UPB of mortgage loans delinquent 90 or more days at December 31, 2017, are secured by properties in areas affected by hurricanes that adversely impacted the Gulf Coast states during 2017.

Real Estate Acquired in Settlement of Loans

Following is a summary of our REO by property type:

	March 31, 2018					December 31, 2017
Property type	Carrying value		% total			Carrying value		% total
	(dollars in thousands)
1 - 4 dwelling units	$	115,312		81	%	$	131,576		81	%
Condominium/Townhome/Co-op		13,180		9	%		16,771		10	%
Planned unit development		12,806		9	%		14,311		9	%
5+ dwelling units		208		0	%		207		0	%
	$	141,506		100	%	$	162,865		100	%

	March 31, 2018					December 31, 2017
Geographic distribution	Carrying value		% total			Carrying value		% total
	(dollars in thousands)
New Jersey	$	36,184		25	%	$	42,795		26	%
New York		29,494		21	%		34,107		21	%
California		15,376		11	%		17,777		11	%
Florida		12,512		9	%		15,740		10	%
Massachusetts		8,095		6	%		6,838		4	%
Illinois		7,259		5	%		8,539		5	%
Other		32,586		23	%		37,069		23	%
	$	141,506		100	%	$	162,865		100	%

Following is a summary of the status of our portfolio of acquisitions by quarter acquired for the periods in which we made acquisitions:

	Acquisitions for the quarter ended
	March 31, 2015						December 31, 2014						June 30, 2014						March 31, 2014
	At			March 31,			At			March 31,			At			March 31,			At			March 31,
	purchase			2018			purchase			2018			purchase			2018			purchase			2018
	(dollars in millions)
UPB	$	310.2		$	90.2		$	330.8		$	81.7		$	37.9		$	10.1		$	439.0		$	119.7
Pool factor (1)		1.00			0.29			1.00			0.25			1.00			0.27			1.00			0.27
Collection status:
Delinquency
Current		1.8	%		26.7	%		1.6	%		24.9	%		0.7	%		36.9	%		6.2	%		13.1	%
30 days		0.3	%		7.2	%		1.6	%		10.5	%		0.6	%		7.3	%		0.7	%		4.9	%
60 days		0.1	%		2.6	%		7.1	%		5.5	%		1.4	%		9.9	%		0.7	%		1.6	%
over 90 days		66.7	%		17.8	%		52.7	%		13.4	%		59.0	%		21.8	%		37.5	%		22.4	%
In foreclosure		31.1	%		19.0	%		36.9	%		17.7	%		38.2	%		9.2	%		53.8	%		22.4	%
REO		—			26.6	%		—			28.0	%		—			14.8	%		1.1	%		35.5	%

(1) Ratio of UPB remaining to UPB at acquisition.

81

	Acquisitions for the quarter ended
	December 31, 2013						September 30, 2013						June 30, 2013						March 31, 2013
	At			March 31,			At			March 31,			At			March 31,			At			March 31,
	purchase			2018			purchase			2018			purchase			2018			purchase			2018
	(dollars in millions)
UPB	$	507.3		$	126.3		$	929.5		$	159.3		$	397.3		$	70.2		$	366.2		$	41.9
Pool factor (1)		1.00			0.25			1.00			0.17			1.00			0.18			1.00			0.11
Collection status:
Delinquency
Current		1.4	%		21.2	%		0.8	%		21.8	%		4.8	%		35.3	%		1.6	%		37.8	%
30 days		0.2	%		5.1	%		0.3	%		5.8	%		7.4	%		10.4	%		1.5	%		13.6	%
60 days		—			2.1	%		0.7	%		2.8	%		7.6	%		4.7	%		3.5	%		6.4	%
over 90 days		38.3	%		17.7	%		58.6	%		18.5	%		45.3	%		13.7	%		82.2	%		18.1	%
In foreclosure		60.0	%		24.0	%		39.6	%		18.8	%		34.9	%		11.4	%		11.2	%		5.6	%
REO		—			29.8	%		—			32.3	%		—			24.5	%		—			18.6	%

(1) Ratio of UPB remaining to UPB at acquisition.

	Acquisitions for the quarter ended
	December 31, 2012						September 30, 2012						June 30, 2012						December 31, 2011
	At			March 31,			At			March 31,			At			March 31,			At			March 31,
	purchase			2018			purchase			2018			purchase			2018			purchase			2018
	(dollars in millions)
UPB	$	290.3		$	36.6		$	357.2		$	25.5		$	402.5		$	28.9		$	49.0		$	6.2
Pool factor (1)		1.00			0.13			1.00			0.07			1.00			0.07			1.00			0.13
Collection status:
Delinquency
Current		3.1	%		35.8	%		—			18.2	%		45.0	%		44.0	%		0.2	%		38.6	%
30 days		1.3	%		11.7	%		—			7.1	%		4.0	%		13.6	%		0.1	%		16.9	%
60 days		5.4	%		7.2	%		0.1	%		0.3	%		4.3	%		4.8	%		0.2	%		3.4	%
over 90 days		57.8	%		16.6	%		49.1	%		16.9	%		31.3	%		13.2	%		70.4	%		5.3	%
In foreclosure		32.4	%		10.0	%		50.8	%		18.1	%		15.3	%		8.3	%		29.0	%		—
REO		—			18.8	%		—			39.3	%		0.1	%		16.1	%		—			35.8	%

(1) Ratio of UPB remaining to UPB at acquisition.

	Acquisitions for the quarter ended
	September 30, 2011						June 30, 2011						March 31, 2011						December 31, 2010
	At			March 31,			At			March 31,			At			March 31,			At			March 31,
	purchase			2018			purchase			2018			purchase			2018			purchase			2018
	(dollars in millions)
UPB	$	542.6		$	23.3		$	259.8		$	16.5		$	515.1		$	28.2		$	277.8		$	10.1
Pool factor (1)		1.00			0.04			1.00			0.06			1.00			0.05			1.00			0.04
Collection status:
Delinquency
Current		0.6	%		34.9	%		11.5	%		29.8	%		2.0	%		23.0	%		5.0	%		33.2	%
30 days		1.3	%		11.0	%		6.5	%		11.1	%		1.9	%		12.1	%		4.0	%		7.4	%
60 days		2.0	%		1.0	%		5.2	%		8.2	%		3.9	%		2.8	%		5.1	%		3.9	%
over 90 days		22.6	%		11.9	%		31.2	%		18.4	%		25.9	%		13.0	%		26.8	%		29.8	%
In foreclosure		73.0	%		15.6	%		43.9	%		17.8	%		66.3	%		21.3	%		59.1	%		7.2	%
REO		0.4	%		25.5	%		1.7	%		14.7	%		—			27.7	%		—			18.4	%

(1) Ratio of UPB remaining to UPB at acquisition.

82

	Acquisitions for the quarter ended
	September 30, 2010						June 30, 2010						March 31, 2010
	At			March 31,			At			March 31,			At			March 31,
	purchase			2018			purchase			2018			purchase			2018
	(dollars in millions)
UPB	$	146.2		$	4.0		$	195.5		$	9.1		$	182.7		$	8.7
Pool factor (1)		1.00			0.03			1.00			0.05			1.00			0.05
Collection status:
Delinquency
Current		1.2	%		30.5	%		5.1	%		39.9	%		6.2	%		32.1	%
30 days		0.4	%		17.0	%		2.0	%		5.0	%		1.6	%		16.5	%
60 days		1.3	%		10.4	%		4.1	%		4.6	%		5.8	%		—
over 90 days		38.2	%		6.6	%		42.8	%		16.7	%		37.8	%		14.2	%
In foreclosure		58.9	%		21.6	%		45.9	%		12.5	%		46.4	%		9.1	%
REO		—			14.0	%		—			21.3	%		2.3	%		28.2	%

(1) Ratio of UPB remaining to UPB at acquisition.

Cash Flows

Our cash flows for the quarters ended March 31, 2018 and 2017 are summarized below:

	Quarter ended March 31,
	2018			2017			Change
	(in thousands)
Operating activities	$	122,487		$	395,383		$	(272,896	)
Investing activities		(227,569	)		42,023			(269,592	)
Financing activities		129,602			(351,833	)		481,435
Net cash flows	$	24,520		$	85,573		$	(61,053	)

Our cash flows resulted in a net increase in cash of $24.5 million during the quarter ended March 31, 2018, as discussed below.

Operating activities

Cash provided by operating activities totaled $122.5 million during the quarter ended March 31, 2018, as compared to $395.4 million during the quarter ended March 31, 2017. Cash flows from operating activities primarily reflect cash flows from mortgage loans acquired for sale as shown below:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Operating cash flows from:
Mortgage loans acquired for sale	$	104,148	$	375,338
Other		18,339		20,045
	$	122,487	$	395,383

Cash flows from mortgage loans acquired for sale primarily reflect reduction in inventory from the beginning to end of the periods presented.

Investing activities

Net cash used by our investing activities was $227.6 million for the quarter ended March 31, 2018, as compared to cash provided of $42.0 million for the quarter ended March 31, 2017. The decrease in cash flows from investing activities reflects the increase in the level of purchases of MBS during 2018 as compared to the same period in 2017.

83

Our investing activities have included 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 has been in the form of valuation adjustments we record recognizing our estimates of the net appreciation in value of the assets as we work with borrowers to either modify their loans or acquire the property securing their loans in settlement thereof and MSRs we receive in the sale of mortgage loans. 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 mortgage loans and through the servicing of mortgage loans underlying our investments in MSRs, many months or years after we record the revenues.

Financing activities

Net cash provided by financing activities was $129.6 million for the quarter ended March 31, 2018, as compared to net cash used in financing activities of $351.8 million for the quarter ended March 31, 2017. This change reflects the financing obtained to finance growth in our balance sheet during the quarter ended March 31, 2018, as compared to cash used to repay borrowings due to decreasing balance sheet size during the quarter ended March 31, 2017.

As discussed below in Liquidity and Capital Resources, our Manager continues to evaluate and pursue additional sources of financing to provide us with future investing capacity. We do not raise equity or enter into borrowings for the purpose of financing the payment of dividends. 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. However, we manage our liquidity in the aggregate and are reinvesting our cash flows in new investments as well as using such cash to fund our dividend requirements.

Liquidity and Capital Resources

Our liquidity reflects our ability to meet our current obligations (including the purchase of loans from correspondent sellers, 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, pursue our share repurchase program 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 investment portfolio, including distressed assets, cash earnings on our investments, cash flows from business activities, and proceeds from borrowings and/or additional equity offerings. When we finance a particular asset, the amount borrowed is less than the asset’s fair value and we must provide the cash in the amount of such difference. Our ability to continue making investments is dependent on our ability to invest the cash representing such difference. Further, certain of our CRT Agreements may allow us, at the time we sell a mortgage loan, to deposit less than the full amount of cash we would otherwise be required to deposit with respect to such loan until the end of the aggregation period relating to the applicable CRT Agreement. At the end of such aggregation period, we will be required to deposit all remaining cash necessary to fully secure the related CRT Agreement, and our ability to fully invest in such CRT Agreement is dependent on our ability to deposit the required cash. 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 in distressed mortgage loans to be a primary source of liquidity as a substantial portion of such 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 mortgage loan or the property securing the loan, rather than from scheduled principal and interest payments. Our mortgage loans acquired for sale are generally held for fifteen days or less and, therefore, are not expected to generate significant cash flows from principal repayments.

Our current leverage strategy is to finance our assets where we believe such borrowing is prudent, appropriate and available. We have made collateralized borrowings in the form of sales of assets under agreements to repurchase, mortgage loan participation purchase and sale agreements and notes payable. 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 MSRs, performing, nonperforming and/or reperforming mortgage loans.

84

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.

As of March 31, 2018 and December 31, 2017, 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, REO and CRT Agreement assets with sales under agreements to repurchase, mortgage loan participation purchase and sale agreements, notes payable, asset sold to PFSI under agreement to repurchase and asset-backed financing. Our leverage ratio, defined as all borrowings divided by shareholders’ equity at date presented, was 2.66 and 2.55 at March 31, 2018 and December 31, 2017, respectively.  

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 March 31,
Assets sold under agreements to repurchase	2018		2017
	(in thousands)
Average balance outstanding	$	3,077,914	$	3,267,864
Maximum daily balance outstanding	$	3,655,250	$	4,330,825
Ending balance	$	3,409,440	$	3,500,190

The difference between the maximum and average daily amounts outstanding is primarily due to timing of loan purchases and sales in our correspondent acquisition business. The total facility size of our assets sold under agreements to repurchase was approximately $5.7 billion at March 31, 2018.

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

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

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

• The transactions relating to assets under notes payable provide for terms of approximately two year.

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, and at the Company and our Operating Partnership over the prior three (3) calendar quarters;

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

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

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

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

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

85

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 for at least one (1) of the previous two consecutive fiscal quarters, measured quarterly and as of the end of each fiscal quarter;

• a minimum in unrestricted cash and cash equivalents of $40 million;

• a minimum tangible net worth of $500 million; and

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

In addition to the financial covenants imposed upon us and PLS under our debt financing agreements, we and/or PLS, as applicable, are also subject to liquidity and net worth requirements established by FHFA for Agency sellers/servicers and Ginnie Mae for single-family issuers. FHFA and Ginnie Mae have established minimum liquidity and net worth requirements for approved non-depository single-family sellers/servicers in the case of FHFA, and for approved single-family issuers in the case of Ginnie Mae, as summarized below:

• A minimum net worth of a base of $2.5 million plus 25 basis points of UPB for total 1-4 unit residential mortgage loans serviced.

• A tangible net worth/total assets ratio greater than or equal to 6%.

• Liquidity equal to or exceeding 3.5 basis points multiplied by the aggregate UPB of all mortgages secured by 1-4 unit residential properties serviced for Freddie Mac, Fannie Mae and Ginnie Mae (“Agency Mortgage Servicing”) plus 200 basis points multiplied by the sum of nonperforming (90 or more days delinquent) Agency Mortgage Servicing that exceed 6% of Agency Mortgage Servicing.

• In the case of PLS, liquidity equal to the greater of $1.0 million or 0.10% (10 basis points) of its outstanding Ginnie Mae single-family securities, which must be met with cash and cash equivalents.

• In the case of PLS, net worth equal to $2.5 million plus 0.35% (35 basis points) of its outstanding Ginnie Mae single-family obligations.

We and/or PLS, as applicable, are obligated to maintain these financial covenants pursuant to our MSR financing agreements.

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 growth, including debt financing through bank warehouse lines of credit, 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 March 31, 2018, we have not entered into any off-balance sheet arrangements.

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Contractual Obligations

As of March 31, 2018, we had contractual obligations aggregating to $5.9 billion comprised of borrowings, interest expense on long term debt from our Exchangeable Notes and asset-backed financing of a VIE, and commitments to purchase mortgage loans from correspondent sellers. Payment obligations under these agreements, including expected interest payments on long-term debt, 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 sellers	$	1,067,009	$	1,067,009	$	—	$	—	$	—
Commitments to fund Deposits securing credit risk     transfer agreements		552,957		552,957		—		—		—
Assets sold under agreements to repurchase		3,552,378		3,367,338		185,040		—		—
Long‒term debt		570,526		—		250,000		—		320,526
Interest expense on long term debt (1)		191,039		24,120		40,717		19,416		106,786
Total	$	5,933,909	$	5,011,424	$	475,757	$	19,416	$	427,312

(1) Interest expense on long term debt includes interest for the Asset-backed financing of a VIE and the Exchangeable Notes.

All debt financing arrangements that matured between March 31, 2018 and the date of this Report have been renewed, extended or replaced.

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 our assets sold under agreements to repurchase is summarized by counterparty below as of March 31, 2018:

Counterparty	Amount at risk
	(in thousands)
Credit Suisse First Boston Mortgage Capital LLC	$	519,954
Bank of America, N.A.		84,708
Citibank, N.A.		60,502
JPMorgan Chase & Co.		48,593
BNP Paribas Corporate & Institutional Banking		18,160
Daiwa Capital Markets America Inc.		18,151
Morgan Stanley Bank, N.A.		11,132
Deutsche Bank		13,282
Royal Bank of Canada		7,640
Wells Fargo, N.A.		2,670
	$	784,792

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Item 3. 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. Our primary trading asset is our inventory of mortgage loans acquired for sale. We believe that such assets’ fair values respond primarily to changes in the market interest rates for comparable recently-originated mortgage loans. Our other market-risk assets are a substantial portion of our investments and are primarily comprised of distressed mortgage loans, MSRs, CRT Agreements and MBS. We believe that the fair values of MSRs also respond primarily to changes in the market interest rates for comparable mortgage loans. We believe that the fair values of our investment in distressed mortgage loans respond primarily to changes in the fair value of the real estate securing such loans.

The following sensitivity analyses are limited in that they were performed at a particular point in time; only contemplate the movements in the indicated variables; do not incorporate changes to other variables; are subject to the accuracy of various models and assumptions used; and do not incorporate other factors that would affect our overall financial performance in such scenarios, including operational adjustments made by management to account for changing circumstances. For these reasons, the following estimates should not be viewed as earnings forecasts.

Mortgage-backed securities at fair value

The following table summarizes the estimated change in fair value of our mortgage-backed securities as of March 31, 2018, given several hypothetical (instantaneous) changes in interest rates and parallel shifts in the yield curve:

Interest rate shift in basis points	-200			-75			-50			50			75			200
	(dollar in thousands)
Fair value	$	1,512,101		$	1,488,118		$	1,473,380		$	1,394,473		$	1,372,371		$	1,259,334
Change in fair value:
$	$	75,645		$	51,662		$	36,924		$	(41,983	)	$	(64,085	)	$	(177,122	)
%		5.3	%		3.6	%		2.6	%		(2.9	)%		(4.5	)%		(12.3	)%

Mortgage Loans at Fair Value

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 March 31, 2018, 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	$	427,234		$	442,445		$	456,104		$	479,426		$	489,293		$	498,177
Change in fair value:
$	$	(41,154	)	$	(25,942	)	$	(12,283	)	$	11,039		$	20,906		$	29,790
%		(8.8	)%		(5.5	)%		(2.6	)%		2.4	%		4.5	%		6.4	%

The following table summarizes the estimated change in fair value of our mortgage loans at fair value held by VIE as of March 31, 2018, net of the effect of changes in fair value of the related asset-backed 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			-75			-50			50			75			200
	(dollar in thousands)
Fair value	$	311,568		$	311,471		$	311,407		$	310,752		$	310,569		$	309,646
Change in fair value:
$	$	467		$	370		$	306		$	(349	)	$	(532	)	$	(1,455	)
%		0.2	%		0.1	%		0.1	%		(0.1	)%		(0.2	)%		(0.5	)%

88

Mortgage Servicing Rights

The following tables summarize the estimated change in fair value of MSRs as of March 31, 2018, 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	$	1,019,297		$	987,222		$	971,894		$	942,563		$	928,526		$	901,628
Change in fair value:
$	$	62,284		$	30,208		$	14,880		$	(14,450	)	$	(28,487	)	$	(55,385	)
%		6.5	%		3.2	%		1.6	%		(1.5	)%		(3.0	)%		(5.8	)%

Prepayment speed shift in %		-20%			-10%			-5%			+5%			+10%			+20%
	(dollars in thousands)
Fair value	$	1,017,925		$	986,379		$	971,439		$	943,074		$	929,597		$	903,931
Change in fair value:
$	$	60,912		$	29,366		$	14,426		$	(13,939	)	$	(27,417	)	$	(53,083	)
%		6.4	%		3.1	%		1.5	%		(1.5	)%		(2.9	)%		(5.6	)%

Per-loan servicing cost shift in %		-20%			-10%			-5%			+5%			+10%			+20%
	(dollars in thousands)
Fair value	$	984,863		$	970,938		$	963,976		$	950,051		$	943,089		$	929,164
Change in fair value:
$	$	27,849		$	13,925		$	6,962		$	(6,962	)	$	(13,925	)	$	(27,849	)
%		2.9	%		1.5	%		0.7	%		(0.7	)%		(1.5	)%		(2.9	)%

Excess servicing spread

The following tables summarize the estimated change in fair value of our ESS as of March 31, 2018, given several shifts in pricing spreads and prepayment speed:

Pricing spread shift in %	-20%			-10%			-5%			+5%			+10%			+20%
	(dollars in thousands)
Fair value	$	243,968		$	239,922		$	237,946		$	234,088		$	232,204		$	228,523
Change in fair value:
$	$	7,967		$	3,920		$	1,944		$	(1,914	)	$	(3,798	)	$	(7,479	)
%		3.4	%		1.7	%		0.8	%		(0.8	)%		(1.6	)%		(3.2	)%

Prepayment speed shift in %		-20%			-10%			-5%			+5%			+10%			+20%
	(dollars in thousands)
Fair value	$	257,841		$	246,468		$	241,128		$	231,077		$	226,343		$	217,403
Change in fair value:
$	$	21,839		$	10,466		$	5,126		$	(4,925	)	$	(9,659	)	$	(18,599	)
%		9.3	%		4.4	%		2.2	%		(2.1	)%		(4.1	)%		(7.9	)%

CRT Agreements

Following is a summary of the effect on fair value of various changes to the pricing spread input used to estimate the fair value of our CRT Agreements given several shifts:

Effect on fair value of a change in pricing spread input
Shift in input (in basis points)	Effect on fair value
	(in thousands)
25	$	(15,186	)
50	$	(30,099	)
100	$	(59,131	)
(25)	$	15,464
(50)	$	31,212
(100)	$	63,583

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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 March 31, 2018 that has materially affected, or is reasonably likely to materially affect, our internal control over financial reporting.

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PART II. OTHER INFORMATION

Item 1. Legal Proceedings

From time to time, we may be involved in various legal actions, claims and proceedings arising in the ordinary course of business. As of March 31, 2018, we were not involved in any material legal actions, claims or proceedings.

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, 2017, filed with the SEC on March 1, 2018.

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

There were no sales of unregistered equity securities during the quarter ended March 31, 2018.

The following table provides information about our common share repurchases during the quarter ended March 31, 2018:

Period	Total number of shares purchased		Average price paid per Share		Total numberof 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)
January 1, 2018– January 31, 2018		671,484	$	15.96		671,484	$	83,375
February 1, 2018 – February 28, 2018		—	$	—		—	$	83,375
March 1, 2018 – March 31, 2018		—	$	—		—	$	83,375
		671,484	$	15.96		671,484	$	83,375

(a) During 2015, our board of trustees authorized a share repurchase program. Under the repurchase program, as amended, we may repurchase up to $300 million of our outstanding common shares. Under the repurchase program, we have discretion to determine the dollar amount of common shares to be repurchased and the timing of any repurchases in compliance with applicable law and regulation. The repurchase program does not have an expiration date. Amounts presented reflect balances as of the end of the applicable period.

Item 3. Defaults Upon Senior Securities

None

Item 4. Mine Safety Disclosures

Not applicable

Item 5. Other Information

None

91

Item 6. Exhibits

		Incorporated by Reference   from the Below-Listed Form (Each Filed under SEC File Number 14-64423)
Exhibit No.	Exhibit Description	Form	Filing Date
3.1	Declaration of Trust of PennyMac Mortgage Investment Trust, as amended and restated.	10-Q	November 6, 2009
3.2	Second Amended and Restated Bylaws of PennyMac Mortgage Investment Trust	8-K	March 16, 2018
3.3	Articles Supplementary classifying and designating the 8.125% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Shares of Beneficial Interest.	8-A	March 7, 2017
3.4	Articles Supplementary classifying and designating the 8.00% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Shares of Beneficial Interest.	8-A	June 30, 2017
10.1	Loan and Security Agreement, dated as of February 1, 2018, by and among Credit Suisse AG, Cayman Islands Branch, PennyMac Corp., PennyMac Holdings, LLC, and PennyMac Mortgage Investment Trust.	8-K	February 7, 2018
10.2	Amendment No. 3 to Second Amended and Restated Master Repurchase Agreement, dated as of February 1, 2018, by and among Credit Suisse First Boston Mortgage Capital LLC, Credit Suisse AG, Alpine Securitization LTD, PennyMac Holdings, LLC, PennyMac Corp., PennyMac Operating Partnership, L.P., PMC REO Financing Trust, LLC, and PennyMac Mortgage Investment Trust.	8-K	February 7, 2018
10.3	Amendment No. 1 to Amended and Restated Master Repurchase Agreement, dated as of March 14, 2018, by and among JPMorgan Chase Bank, National Association, PennyMac Corp., PennyMac Operating Partnership, L.P., PennyMac Holdings, LLC, PMC REO Trust 2015-1 and PennyMac Mortgage Investment Trust.	8-K	March 16, 2018
10.4	Amendment No. 1 to Third Amended and Restated Flow Servicing Agreement, dated as of March 1, 2018, by and among PennyMac Operating Partnership, L.P. and PennyMac Loan Services, LLC.	*
10.5	Amendment Number One to Amended and Restated Master Repurchase Agreement, dated as of March 2, 2018, by and among Citibank, N.A., PennyMac Corp., PennyMac Holdings, LLC and PennyMac Loan Services, LLC.	*
10.6	Amendment Number One to Amended and Restated Master Repurchase Agreement, dated as of March 2, 2018, by and among Citibank, N.A., PennyMac Corp., and PennyMac Loan Services, LLC.	*
10.7	Amendment Number One to Second Amended and Restated Loan and Security Agreement, dated as of March 2, 2018, by and among PennyMac Corp., PennyMac Holdings, LLC and Citibank, N.A.	*
10.8	Amendment Number Eleven to the Master Repurchase Agreement, dated as of March 20, 2018, by and among PennyMac Corp., PennyMac Operating Partnership, L.P., Morgan Stanley Bank N.A. and Morgan Stanley Mortgage Capital Holdings LLC.	*

92

10.9	Master Repurchase Agreement, dated as of April 17, 2018, by and among Royal Bank of Canada, PennyMac Operating Partnership, L.P., PennyMac Corp. and PennyMac Mortgage Investment Trust.	8-K	April 23, 2018
10.10	Guaranty, dated as of April 17, 2018, by PennyMac Mortgage Investment Trust, in favor of Royal Bank of Canada.	8-K	April 23, 2018
10.11	Amendment No. 1 to the Master Repurchase Agreement, dated as of April 17, 2018, by and among Deutsche Bank AG, Cayman Islands Branch and PennyMac Corp.	8-K	April 23, 2018
10.12	Amendment No. 4 to Master Repurchase Agreement, dated as of April 20, 2018, by and among Bank of America, N.A., PennyMac Operating Partnership, L.P. and PennyMac Mortgage Investment Trust.	*
10.13	Amendment No. 14 to Mortgage Loan Participation Purchase and Sale Agreement, dated as of April 20, 2018, by and among Bank of America, N.A., PennyMac Corp., PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P.	*
31.1	Certification of David A. Spector pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.	*
31.2	Certification of Andrew S. Chang pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.	*
32.1	Certification of David A. Spector 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 Andrew S. Chang 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 March 31, 2018 and December 31, 2017 (ii) the Consolidated Statements of Income for the quarters ended March 31, 2018 and 2017, (iii) the Consolidated Statements of Changes in Stockholders’ Equity for the quarters ended March 31, 2018 and 2017, (iv) the Consolidated Statements of Cash Flows for the quarters ended March 31, 2018 and 2017 and (v) the Notes to the Consolidated Financial Statements.

* Filed herewith.

** 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.

93

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) 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: May 7, 2018	By:	/s/ David A. Spector
		David A. Spector
		President and Chief Executive Officer (Principal Executive Officer)
Dated: May 7, 2018	By:	/s/ Andrew S. Chang
		Andrew S. Chang
		Chief Financial Officer (Principal Financial Officer)

94

EX-10.4

Exhibit 10.4

AMENDMENT NO. 1

TO THIRD AMENDED AND RESTATED

FLOW SERVICING AGREEMENT

Amendment No. 1 to Third Amended and Restated Flow Servicing Agreement, dated as of March 1, 2018 (the "Amendment"), by and between PennyMac Loan Services, LLC, a Delaware limited liability company (the "Servicer"), and PennyMac Operating Partnership, L.P., a Delaware limited partnership (the "Owner").

RECITALS

WHEREAS, the Servicer and the Owner are parties to that certain Third Amended and Restated Flow Servicing Agreement, dated as of September 12, 2016 (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. Exhibits.

1.1Exhibit 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 2.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:

2.1Delivered 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.

2.2Representations 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.

SECTION 3.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 4. 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 5.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 6.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]

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/ Andrew S. Chang
	Name:	Andrew S. Chang
	Title:	Senior Managing Director and
		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:	Senior Managing Director and
	Chief Financial 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;

(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.  

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, $85.00;

(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, $85.00;

(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, $95.00; 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.

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, $40.00.

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:  $1,750.00 in connection with the disposition of a Mortgage Loan (including the sale of the related Mortgage Note), $1,750.00 in connection with either the disposition of an REO Property or a Mortgaged Property through a foreclosure sale, or $1,000.00 in connection with a full payoff or $1,750.00 in connection with a discounted payoff accepted by the Servicer with respect to a Mortgage Loan, including a full or discounted payoff, as applicable, accepted in connection with the sale of the Mortgaged Property to a third party.

REO Property Lease Renewal Fee: $100 per lease renewed.

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 directly those property management services identified on Exhibit 12 to the Agreement.

REO Property Tenant Paid Fees: Servicer may retain any tenant paid application fee or late rent fee.

REO Property Third-Party Vendor Fees: In the event Servicer provides property management services directly, Servicer may charge Owner the Servicer's cost for support services provided by any third-party vendor that arise out of Servicer’s property management services.  Such fees may include, but are not limited to, related software, real estate broker marketing, eviction and inspection services, as well as leasing fees to the real estate broker.

Tax Service Contract:  $75.00 per Mortgage Loan.

Flood Zone Service Contract:  Servicer’s cost.

MERS Fee:  Servicer’s cost.

Reperformance Fee:  $1,750.00 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:  (a) $1,750.00 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 (b) $750.00 if the modification is classified by the Servicer (acting in accordance with Accepted Servicing Practices) as a streamlined 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, $1,750.00.

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 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.

EX-10.5

Exhibit 10.5

AMENDMENT NUMBER ONE

to the

AMENDED AND RESTATED MASTER REPURCHASE AGREEMENT

Dated as of March 3, 2017,

by and among

PENNYMAC LOAN SERVICES, LLC,

PENNYMAC HOLDINGS, LLC,
PENNYMAC CORP.

and

CITIBANK, N.A.

This AMENDMENT NUMBER ONE (this “Amendment Number One”) is made this 2nd day of March, 2018, by and among PENNYMAC CORP. (“PMAC”), PENNYMAC HOLDINGS, LLC (together with PMAC, each a “Seller” and collectively, the “Sellers”), PENNYMAC LOAN SERVICES, LLC (“Servicer”) and CITIBANK, N.A. (“Buyer”), to the Amended and Restated Master Repurchase Agreement, dated as of March 3, 2017, by and 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, Servicer and Buyer have agreed to amend the Agreement as more specifically set forth herein; and

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

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

Section 1.Amendments. Effective as of March 2, 2018 (the “Amendment Effective Date”), the Agreement is hereby amended as follows:

(a)Section 2 of the Agreement is hereby amended by adding the new definitions of “March 2018 Commitment Fee” and "March 2018 Installment Amount" in the appropriate alphabetical order to read as follows::

“March 2018 Commitment Fee” shall mean an amount equal to $208,333.32; reduced by any amount of the March 2018 Commitment Fee (as defined in the PMAC Agency Repurchase Agreement) paid to Buyer  under the PMAC Agency Repurchase Agreement.

"March 2018 Installment Amount" shall mean an amount equal to $104,166.66.

(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 May 1, 2018 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 March 2, 2018 to May 1, 2018, Sellers agree to pay to Buyer an additional commitment fee for the period beginning on March 2, 2018 through May 1, 2018, equal to the March 2018 Commitment Fee (reduced by any amount of the March 2018 Commitment Fee paid to Buyer under Amendment One to the PMAC Agency Repurchase Agreement).  The March 2018 Commitment Fee shall be payable in two installments each equal to the March 2018 Installment Amount.  The first installment shall be due and payable on or prior to March 2, 2018, and the second installment shall be due and payable on or prior to April 2, 2018.  Each such payment to be made in Dollars, in immediately available funds, without deduction, set off or counterclaim.  Buyer may, in its sole discretion, net all or any portion of the March 2018 Commitment Fee then due and payable from the proceeds of any Purchase Price paid to Sellers.  The March 2018 Commitment Fee is and shall be deemed to be fully earned and non-refundable as of March 2, 2018.

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 One (including all reasonable fees and out of pocket costs and expenses of the Buyer’s legal counsel) in accordance with Sections 23 and 25 of the Agreement.

Section 3.Representations.  Sellers and Servicer hereby represent to Buyer that as of the date hereof, the Seller Parties and Servicer 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 One shall be binding and inure to the benefit of the parties hereto and their respective successors and permitted assigns.  THIS AMENDMENT NUMBER ONE SHALL BE CONSTRUED IN ACCORDANCE WITH, AND GOVERNED BY, THE LAWS OF THE STATE OF NEW YORK, WITHOUT GIVING EFFECT TO THE CONFLICT OF LAWS PRINCIPLES THEREOF (EXCEPT FOR SECTION 5-1401 OF THE NEW YORK GENERAL OBLIGATIONS LAW WHICH SHALL GOVERN).

Section 5.Counterparts.  This Amendment Number One 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 One need not be made in the Agreement or any other instrument or document executed in connection therewith, or in any certificate, letter or communication issued or made pursuant to, or with respect to, the Agreement, any reference in any of such items to the Agreement being sufficient to refer to the Agreement as amended hereby.

[Signature Page Follows]

IN WITNESS WHEREOF, Sellers, Servicer and Buyer have caused this Amendment Number One 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:	Managing Director, Treasurer

PENNYMAC HOLDINGS, LLC,
(Seller)
By:	/s/ Pamela Marsh
Name:	Pamela Marsh
Title:	Managing Director, Treasurer

PENNYMAC LOAN SERVICES, LLC,
(Servicer)
By:	/s/ Pamela Marsh
Name:	Pamela Marsh
Title:	Managing Director, Treasurer

CITIBANK, N.A.
(Buyer and Agent, as applicable)
By:	/s/ Susan Mills
Name:	Susan Mills
Title:	Vice President Citibank, N.A.

EX-10.6

Exhibit 10.6

AMENDMENT NUMBER ONE

to the

AMENDED AND RESTATED MASTER REPURCHASE AGREEMENT

Dated as of March 3, 2017,

by and among

PENNYMAC LOAN SERVICES, LLC,

PENNYMAC CORP.

and

CITIBANK, N.A.

This AMENDMENT NUMBER ONE (this “Amendment Number One”) is made this 2nd day of March, 2018, by and among PENNYMAC CORP. (“Seller”), PENNYMAC LOAN SERVICES, LLC (“Servicer”) and CITIBANK, N.A. (“Buyer”), to the Amended and Restated Master Repurchase Agreement, dated as of March 3, 2017, by and 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, Servicer and Buyer have agreed to amend the Agreement as more specifically set forth herein; and

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

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

Section 1.Amendments. Effective as of March 2, 2018 (the “Amendment Effective Date”), the Agreement is hereby amended as follows:

(a)Section 2 of the Agreement is hereby amended by adding the new definition of “March 2018 Commitment Fee” in the appropriate alphabetical order to read as follows:

“March 2018 Commitment Fee” shall have the meaning assigned to it in the Pricing Side Letter.

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

“Termination Date” shall mean May 1, 2018 or such earlier date on which this Agreement shall terminate in accordance with the provisions hereof or by operation of law.

(c)Schedule 1 of the Agreement is hereby amended by revising subsection (nnn) in its entirety as follows:

(nnn)  Retail. No Loan was originated through Seller’s retail channel.  

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 One (including all reasonable fees and out of pocket costs and expenses of the Buyer’s legal counsel) in accordance with Sections 23 and 25 of the Agreement.

Section 3.Representations.  Seller and Servicer hereby represent to Buyer that as of the date hereof, the Seller Parties and Servicer 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 One shall be binding and inure to the benefit of the parties hereto and their respective successors and permitted assigns.  THIS AMENDMENT NUMBER ONE SHALL BE CONSTRUED IN ACCORDANCE WITH, AND GOVERNED BY, THE LAWS OF THE STATE OF NEW YORK, WITHOUT GIVING EFFECT TO THE CONFLICT OF LAWS PRINCIPLES THEREOF (EXCEPT FOR SECTION 5-1401 OF THE NEW YORK GENERAL OBLIGATIONS LAW WHICH SHALL GOVERN).

Section 5.Counterparts.  This Amendment Number One 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 One need not be made in the Agreement or any other instrument or document executed in connection therewith, or in any certificate, letter or communication issued or made pursuant to, or with respect to, the Agreement, any reference in any of such items to the Agreement being sufficient to refer to the Agreement as amended hereby.

[Signature Page Follows]

IN WITNESS WHEREOF, Seller, Servicer and Buyer have caused this Amendment Number One 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:	Managing Director, Treasurer

PENNYMAC LOAN SERVICES, LLC,
(Servicer)
By:	/s/ Pamela Marsh
Name:	Pamela Marsh
Title:	Managing Director, Treasurer

CITIBANK, N.A.
(Buyer and Agent, as applicable)
By:	/s/ Susan Mills
Name:	Susan Mills
Title:	Vice President Citibank, N.A.

EX-10.7

Exhibit 10.7

AMENDMENT NUMBER ONE

to the

SECOND AMENDED AND RESTATED LOAN AND SECURITY AGREEMENT

Dated as of March 24, 2017,

by and among

PENNYMAC HOLDINGS, LLC,

PENNYMAC CORP.

and

CITIBANK, N.A.

This AMENDMENT NUMBER ONE (this “Amendment Number One”) is made this 2nd day of March, 2018, by and among PENNYMAC CORP. (“PMAC”), PENNYMAC HOLDINGS, LLC (together with PMAC, each a “Borrower” and collectively, the “Borrowers”) and CITIBANK, N.A. (“Lender”), to the Second Amended and Restated Loan and Security Agreement, dated as of March 24, 2017, by and among Borrowers and Lender, 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, Borrowers and Lender have agreed to amend the Agreement as more specifically set forth herein; and

WHEREAS, as of the date hereof, Borrowers represent to Lender that the Borrowers are in full compliance with all of the terms and conditions of the Agreement and each other Facility Document and no Default or Event of Default has occurred and is continuing under the Agreement or any other Facility Document.

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

Section 1.Amendments. Effective as of March 2, 2018 (the “Amendment Effective Date”), the Agreement is hereby amended as follows:

(a)Schedule I of the Agreement is hereby amended by adding  the new definition of “Termination Date” in the appropriate alphabetical order to read as follows:

“Termination Date” shall mean May 1, 2018 or such earlier date on which this Agreement shall terminate in accordance with the provisions hereof or by operation of law.

Section 2.Commitment Fee.  In connection with the extension of the Termination Date from March 2, 2018 to May 1, 2018, Borrowers shall not be obligated to pay to Lender any additional Commitment Fee under Section 2.10 of the Agreement.

Section 3.Fees and Expenses.  Borrowers agree to pay to Lender all reasonable out of pocket costs and expenses incurred by Lender in connection with this Amendment Number One (including all reasonable fees and out of pocket costs and expenses of the Lender’s legal counsel) in accordance with Section 3.03 of the Agreement.

Section 4.Representations.  Borrowers  hereby represent to Lender that as of the date hereof, the Borrowers are in full compliance with all of the terms and conditions of the Agreement and each other Facility Document and no Default or Event of Default has occurred and is continuing under the Agreement or any other Facility Document.

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

Section 6.Counterparts.  This Amendment Number One 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 One need not be made in the Agreement or any other instrument or document executed in connection therewith, or in any certificate, letter or communication issued or made pursuant to, or with respect to, the Agreement, any reference in any of such items to the Agreement being sufficient to refer to the Agreement as amended hereby.

[Signature Page Follows]

IN WITNESS WHEREOF, Borrowers and Lender have caused this Amendment Number One to be executed and delivered by their duly authorized officers as of the Amendment Effective Date.

PENNYMAC CORP.,
(Borrower)
By:	/s/ Pamela Marsh
Name:	Pamela Marsh
Title:	Managing Director, Treasurer

PENNYMAC HOLDINGS, LLC,
(Borrower)
By:	/s/ Pamela Marsh
Name:	Pamela Marsh
Title:	Managing Director, Treasurer

CITIBANK, N.A.
(Lender)
By:	/s/ Susan Mills
Name:	Susan Mills
Title:	Vice President
	Citibank, N.A.

EX-10.8

Exhibit 10.8

AMENDMENT NUMBER ELEVEN

to the

MASTER REPURCHASE AGREEMENT

Dated as of November 20, 2012,

among

PENNYMAC CORP.

PENNYMAC OPERATING PARTNERSHIP, L.P.,

MORGAN STANLEY BANK. N.A.

and

MORGAN STANLEY MORTGAGE CAPITAL HOLDINGS LLC

This AMENDMENT NUMBER ELEVEN (this “Amendment Number Eleven”) is made this 20^th day of March, 2018, among PENNYMAC CORP., a Delaware corporation, as seller, PennyMac Operating Partnership, L.P., a Delaware limited partnership (“POP” and together with PennyMac Corp., a “Seller” and jointly and severally, the “Sellers”), MORGAN STANLEY BANK, N.A., a national banking association, as buyer (“Buyer”),and MORGAN STANLEY MORTGAGE CAPITAL HOLDINGS LLC, a New York limited liability company, as agent for Buyer (“Agent”), to the Master Repurchase Agreement, dated as of November 20, 2012, between Seller 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, Buyer and Agent have agreed to amend the Agreement to permit the purchase of Jumbo Mortgage Loans thereunder, as more specifically set forth herein; and

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

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

Section 1.Amendments.  Effective as of March 20, 2018 (the “Amendment Effective Date”),

(a)Section 1.01 of the Agreement is hereby amended by adding the following new defined term “Agency Mortgage Loan” immediately following the definition of “Agency Guide:”

“Agency Mortgage Loan” shall mean a Mortgage Loan which conforms with all requirements of a related Agency and is eligible for sale to Fannie Mae or Freddie Mac, or for guaranty by Ginnie Mae, the VA or the RHS, or for insurance by the FHA, and which satisfies all applicable requirements for delivery to the related Agency.

(b)Section 1.01 of the Agreement is hereby amended by adding the following new defined term “Jumbo Mortgage Loan” immediately following the definition of “Interest Rate Protection Agreement:”

“Jumbo Mortgage Loan” shall mean a Mortgage Loan which is not an Agency Mortgage Loan and which conforms with the Underwriting Guidelines for Jumbo Mortgage Loans as in effect as of the related Purchase Date.

(c)the definition of Underwriting Guidelines in Section 1.01 of the Agreement is hereby amended to read in its entirety as follows:

“Underwriting Guidelines” shall mean the underwriting guidelines attached as Exhibit E hereto, which (a) with respect to any Agency Mortgage Loans comply with all current requirements of Fannie Mae and Freddie Mac, in effect as of the date of this Agreement, and (b) with respect to any Jumbo Mortgage Loans comply with all current requirements of Fannie Mae and Freddie Mac, in effect as of the date of this Agreement, other than the requirements as to the original principal balance of the Mortgage Loans, in each case as the same may be amended, supplemented or otherwise modified from time to time in accordance with terms of this Agreement, and which have been approved (including any changes subsequent to the date hereof) in writing by Agent.

(d)Section 2.01 of the Agreement is hereby amended by adding the following new sub-section (c) to the end thereof to read in its entirety as follows:

(c)Notwithstanding anything to the contrary, any purchase of a Jumbo Mortgage Loan hereunder shall be made on an uncommitted basis and the Buyer shall have no obligation to enter into Transactions with respect to any Jumbo Mortgage Loans, which Transactions shall be entered into in the sole discretion of Buyer

(e)Section 6.28 of the Agreement is hereby amended to read in its entirety as follows:

6.28Origination and Acquisition of Mortgage Loans.  The Mortgage Loans were originated by the Seller or a Qualified Originator, and the origination and collection practices used by the Seller or Qualified Originator, as applicable, with respect to the Mortgage Loans have been, in all material respects legal and in compliance with all laws with respect to unfair and deceptive lending practices and Predatory Lending Practices, proper, prudent and customary in the residential mortgage loan origination and servicing businessand in accordance with the Underwriting Guidelines, and except with respect to any Jumbo Mortgage Loans, in accordance with FHA, VA, RHS, Ginnie Mae, Fannie Mae and Freddie Mac standards as applicable.  The Seller shall assure that the Buyer has access to the Freddie Mac Loan Prospector (LP) Fannie Mae DeskTop Underwriting (DU) to confirm the approved status of the Mortgage Loans under such programs; provided that LP and DU are not used for Mortgage Loans that are part of the “VA IRRRL”or “FHA Streamline” programs.  All Agency Mortgage Loans are in conformity with the Underwriting Guidelines and are eligible for sale to Fannie Mae or Freddie Mac or for guaranty by Ginnie Mae, the VA or the RHS or for insurance by the FHA, and satisfy all applicable requirements for delivery to the appropriate Agency.  Each of the Mortgage Loans complies with the representations and warranties listed in Schedule 1 hereto.  The Seller shall provide written notice to the Buyer and the Agent of any material change in the process and standards pursuant to which Qualified Originators are approved and shall notify the Buyer and the Agent of any Qualified Originators that are approved following the Effective Date.

(f)Section 7.09 of the Agreement is hereby amended by adding the following sentence to the end thereof:

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The Seller shall not sell any Jumbo Mortgage Loans hereunder that are subject to any material change, amendment or modification to the Underwriting Guidelines for the Jumbo Mortgage Loans unless the Buyer or the Agent has determined that such changes are acceptable to it.

(g)Section 7.38(l) of the Agreement is hereby amended to read in its entirety as follows:

(l)All of the representations and warranties set forth on Schedule 1, Part III are true and correct in all material respects.

(h)Part I of Schedule 1 of the Agreement is hereby amended by deleting sub-section (c) in its entirety and replacing it with the following:

(c)No Outstanding Charges.  There are no defaults in complying with the terms of the Mortgage securing the Mortgage Loan, and all taxes, governmental assessments, insurance premiums, water, sewer and municipal charges, condominium charges, homeowners and condominium owners association fees, leasehold payments or ground rents which previously became due and owing have been paid, or an escrow of funds has been established in an amount sufficient to pay for every such item which remains unpaid and which has been assessed but is not yet due and payable.  Neither the Seller nor the Qualified Originator from which the Seller acquired the Mortgage Loan has advanced funds, or induced, solicited or knowingly received any advance of funds by a party other than the Mortgagor, directly or indirectly, for the payment of any amount required under the Mortgage Loan, except for interest accruing from the date of the Mortgage Note or date of disbursement of the proceeds of the Mortgage Loan, whichever is earlier, to the day which precedes by one month the Due Date of the first installment of principal and interest thereunder.

(i)Part I of Schedule 1 of the Agreement is hereby amended by deleting sub-section (i) in its entirety and replacing it with the following:

(i)Location and Type of Mortgaged Property.  The Mortgaged Property is located in an Acceptable State as identified in the Mortgage Loan Schedule and consists of a single parcel of real property with a dwelling which, (a) in the case of an Agency Mortgage Loan, is acceptable under the Underwriting Guidelines and is acceptable to the related Agency pursuant to the applicable Agency Guide and, (b) in the case of a Jumbo Mortgage Loan is acceptable under the Underwriting Guidelines.  No residence or dwelling is a mobile home or a manufactured dwelling.  No portion of the Mortgaged Property is used for commercial purposes.  Each Jumbo Mortgage Loan is identified on the Mortgage Loan Schedule as a Jumbo Mortgage Loan.

(j)Part I of Schedule 1 of the Agreement is hereby amended by deleting sub-section (j)(2) in its entirety and replacing it with the following:

(2)covenants, conditions and restrictions, rights of way, easements and other matters of the public record as of the date of recording acceptable to prudent mortgage lending institutions generally and to any applicable Agency, and specifically referred to in the lender’s title insurance policy delivered to the applicable Agency or Custodian, and originator of the Mortgage Loan and (a) referred to or otherwise considered in the appraisal made for the originator of the Mortgage Loan or (b) which do not adversely affect the Appraised Value of the Mortgaged Property set forth in such appraisal; and

(k)Part I of Schedule 1 of the Agreement is hereby amended by deleting the first sentence of sub-section (o) in its entirety and replacing it with the following:

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No Mortgage Loan has an LTV greater than (a) in the case of a Jumbo Mortgage Loan, 80%, and (b) in the case of an Agency Mortgage Loan, the applicable percentage permitted by Fannie Mae, Freddie Mac, Rural Housing Service, FHA or VA.  

(l)Part I of Schedule 1 of the Agreement is hereby amended by deleting sub-section (r) in its entirety and replacing it with the following:

(r)No Mechanics’ Liens.  There are no mechanics’ or similar liens or claims which have been filed for work, labor or material (and no rights are outstanding that under the law could give rise to such liens), homeowners' association liens, judgment liens or any other encumbrance affecting the Mortgaged Property which are or may be liens prior to, or equal or coordinate with, the lien of the Mortgage.

(m)Part I of Schedule 1 of the Agreement is hereby amended by deleting sub-section (v) in its entirety and replacing it with the following:

(v)Conformance with Underwriting Guidelines and Agency Standards.  The Mortgage Loan was underwritten in accordance with the Underwriting Guidelines and, in the case of an Agency Mortgage Loan, all provisions of the applicable Agency Guide.  The Mortgage Note and Mortgage are on forms acceptable to Freddie Mac, Fannie Mae or Ginnie Mae, as applicable, and in the case of any Jumbo Mortgage Loan, Fannie Mae and Freddie Mac, and the Seller has not made any representations to a Mortgagor that are inconsistent with the mortgage instruments used.

(n)Part I of Schedule 1 of the Agreement is hereby amended by deleting sub-section (jj) in its entirety and replacing it with the following:

(jj)Appraisal.  With respect to each Mortgage Loan, other than an Agency Mortgage Loan for which the related Agency has granted a property inspection waiver, the Mortgage File contains either (i) an appraisal of the related Mortgaged Property or Cooperative Unit signed prior to the approval of the Mortgage Loan application by a qualified appraiser, duly appointed by the originator, who had no interest, direct or indirect in the Mortgaged Property or Cooperative Unit or in any loan made on the security thereof, and whose compensation is not affected by the approval or disapproval of the Mortgage Loan, and the appraisal and appraiser both satisfy the requirements of (a) in the case of a Jumbo Mortgage Loan, Fannie Mae and Freddie Mac, or (b) in the case of an Agency Mortgage Loan, Fannie Mae, Freddie Mac, Ginnie Mae, FHA, RHS or VA, as applicable, and in any case, Title XI of the Federal Institutions Reform, Recovery, and Enforcement Act of 1989 as amended and the regulations promulgated thereunder, all as in effect on the date the Mortgage Loan was originated, or (ii) in the case of an Agency Mortgage Loan, another valuation model otherwise permitted under applicable Agency Guides and acceptable to Buyer.

(o)The definition of “Loan-to-Value Ratio” or “LTV” in Part 2 of Schedule 1 of the Agreement is hereby amended to read in its entirety as follows:

“Loan-to-Value Ratio” or “LTV” means (a) with respect to any Jumbo Mortgage Loan, the ratio of the original outstanding principal amount of the Mortgage Loan to the lesser of (i) the Appraised Value of the Mortgaged Property at origination or (ii) if the Mortgaged Property was purchased within 12 months of the origination of the Mortgage Loan, the purchase price of the Mortgaged Property, and (b) with respect to any Agency Mortgage Loan, the loan to value ratio of such Mortgage Loan as determined in accordance with the Agency Guides of the Agency which is insuring or guaranteeing such Mortgage Loan or to which such Mortgage Loan is eligible to be sold.

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(p)The Agreement is hereby amended by adding Schedule 1, Part III thereto in the form attached to the end of Amendment Number Nine to the Agreement.

Section 2.Defined Terms.  Any terms capitalized but not otherwise defined herein shall have the respective meanings set forth in the Agreement.

Section 3.Effectiveness.  This Amendment Number Eleven shall become effective as of the date that the Agent shall have received:

(a) counterparts hereof duly executed by each of the parties hereto, and

(b) counterparts of that certain Amendment Number Eleven to the Pricing Side Letter, dated as of the date hereof, duly executed by each of the parties thereto.

Section 4.Fees and Expenses.  Sellers agree to pay to Buyer and Agent all reasonable out of pocket costs and expenses incurred by Buyer or Agent in connection with this Amendment Number Eleven (including all reasonable fees and out of pocket costs and expenses of Buyer’s or Agent’s legal counsel) in accordance with Section 13.04 and 13.06 of the Agreement.

Section 5.Representations.  Each Seller hereby represents to Buyer and Agent that as of the date hereof and taking into account the terms of this Amendment Number Eleven, such Seller is in full compliance with all of the terms and conditions of the Agreement and each other Repurchase Document and no Default or Event of Default has occurred and is continuing under the Agreement or any other Repurchase Document.

Section 6.Binding Effect; Governing Law.  This Amendment Number Eleven shall be binding and inure to the benefit of the parties hereto and their respective successors and permitted assigns.  THIS AMENDMENT NUMBER ELEVEN SHALL BE CONSTRUED IN ACCORDANCE WITH, AND GOVERNED BY, THE LAWS OF THE STATE OF NEW YORK, WITHOUT GIVING EFFECT TO THE CONFLICT OF LAWS PRINCIPLES THEREOF (EXCEPT FOR SECTION 5-1401 OF THE NEW YORK GENERAL OBLIGATIONS LAW WHICH SHALL GOVERN).

Section 7.Counterparts.  This Amendment Number Eleven 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 8.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 Eleven need not be made in the Agreement or any other instrument or document executed in connection therewith, or in any certificate, letter or communication issued or made pursuant to, or with respect to, the Agreement, any reference in any of such items to the Agreement being sufficient to refer to the Agreement as amended hereby.

[Signature Page Follows]

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IN WITNESS WHEREOF, Seller, Buyer and Agent have caused this Amendment Number Eleven 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:	Managing Director, Treasurer

PENNYMAC OPERATING PARTNERSHIP, L.P. (Seller)
By:	PennyMac GP OP, Inc., its General Partner
By:	/s/ Pamela Marsh
Name:	Pamela Marsh
Title:	Managing Director, Treasurer
Address for Notices:
3043 Townsgate Road
Westlake Village, California 91361
Attention: Pamela Marsh/Richard Hetzel
Phone Number: (805) 330-6059/(805) 254-6088
E-mail: pamela.marsh@pnmac.com;
Richard.hetzel@pnmac.com

MORGAN STANLEY BANK, N.A.
(Buyer)
By:	/s/ Matthieu Milgrom
Name:	Matthieu Milgrom
Title:	Authorized Signatory

MORGAN STANLEY MORTGAGE CAPITAL HOLDINGS LLC
(Agent)
By:	/s/ Christopher Schmidt
Name:	Christopher Schmidt
Title:	Vice President

EX-10.12

Exhibit 10.12

AMENDMENT NO. 4
TO MASTER REPURCHASE AGREEMENT

Amendment No. 4 to Master Repurchase Agreement, dated as of April 20, 2018 (this “Amendment”), by and among Bank of America, N.A. (“Buyer”), PennyMac Operating Partnership, L.P. (“Seller”) and PennyMac Mortgage Investment Trust (“Guarantor”).

RECITALS

Buyer, Seller and Guarantor are parties to that certain Master Repurchase Agreement, dated as of July 9, 2014 (as amended, restated, supplemented or otherwise modified from time to time, the “Existing Master Repurchase Agreement”; as further amended by this Amendment, the “Master Repurchase Agreement”).  The Guarantor is a party to that certain Guaranty, dated as of July 9, 2014 (as amended, restated, supplemented or otherwise modified from time to time, the “Guaranty”), made by Guarantor in favor of Buyer.

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

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

Section 1.Definitions. Section 2 of the Existing Master Repurchase Agreement is hereby amended by:

1.1deleting the definitions of “Agency Eligible Escrow Mortgage Loan”, “Expiration Date”, “Manufactured Home Loan”, “Noncompliant I” and “Noncompliant II” in their entirety and replacing them with the following:

“Agency Eligible Escrow Mortgage Loan” means a Conforming Mortgage Loan (excluding Other Conforming Mortgage Loans), FHA Loan, VA Loan or RD Loan in respect of which (i) the full original principal amount of such Mortgage Loan has not been fully advanced or disbursed as of the related origination date, (ii) all subsequent advances or disbursements are made in accordance with the Agency Guides and (iii) has been approved by Buyer in its sole discretion.

“Expiration Date” means July 2, 2018.

“Manufactured Home Loan” means a Conforming Mortgage Loan (excluding Other Conforming Mortgage Loans), FHA Loan or VA Loan secured by a manufactured home (as defined by the United States Department of Housing and Urban Development) provided that (a) such manufactured home is attached to a permanent foundation and is no longer transportable and (b) such Conforming Mortgage Loan, FHA Loan or VA Loan is eligible for securitization by an Agency pursuant to the terms of the applicable Agency Guide.

“Noncompliant I” means either (a) a Purchased Mortgage Loan other than an Other Conforming Mortgage Loan or a Jumbo Mortgage Loan (including a Jumbo High LTV Mortgage Loan), which has been subject to one or more Transactions hereunder for a period of greater than 30 calendar days but not greater than 60 calendar days, or (b) a Purchased Mortgage Loan that is a Jumbo Mortgage Loan (including a Jumbo High LTV Mortgage Loan), which has been subject to one or more Transactions hereunder for a period of greater than 180 calendar days but not greater than 210 calendar days.

“Noncompliant II” means either (a) a Purchased Mortgage Loan other than an Other Conforming Mortgage Loan or a Jumbo Mortgage Loan (including a Jumbo High LTV Mortgage Loan), which has been subject to one or more Transactions hereunder for a period of greater than 60 calendar days but not greater than 90 calendar days, or (b) a Purchased Mortgage Loan that is a Jumbo Mortgage Loan (including a Jumbo High LTV Mortgage Loan), which has been subject to one or more Transactions hereunder for a period of greater than 210 calendar days but not greater than 240 calendar days.

1.2 adding the following definitions in their proper alphabetical order:

“Other Conforming Mortgage Loan” means a first lien Mortgage Loan originated in accordance with the criteria of Fannie Mae or Freddie Mac for purchase or insurance of Mortgage Loans that are (a) not Agency Eligible Escrow Mortgage Loans or Manufactured Home Loans, (b) underwritten in accordance with the Underwriting Guidelines, and (c) designated by the Seller or Underlying Repurchase Counterparty for sale to an Approved Investor other than an Agency.

“Purchase Price Percentage Trigger” has the meaning specified in the Transactions Terms Letter.

Section 2.Hedging.  Section 14(w) of the Existing Master Repurchase Agreement is hereby amended by deleting such section in its entirety and replacing it with the following:

w.Hedging. Underlying Repurchase Counterparty has entered into Underlying Interest Rate Protection Agreements with respect to or that include coverage for the Conforming Mortgage Loans and Other Conforming Mortgage Loans, having terms with respect to protection against fluctuations in interest rates consistent with its hedging policy which policy shall be acceptable to Buyer in its sole discretion.  In the event that Underlying Repurchase Counterparty intends to make any change to its hedging policy as it relates to Underlying Interest Rate Protection Agreements, Seller shall notify Buyer in writing 30 days prior to Underlying Repurchase Counterparty implementing any such change.  

Section 3.Notices.  Section 17(a)(9) of the Existing Master Repurchase Agreement is hereby amended by (i) deleting  the “and” at the end of clause (k); (ii) deleting the “.” at the end of clause (l) and replacing it with “;”; (iii) deleting the “.” at the end of clause (m) and replacing it with “; and”; and (iv) adding the following clause:

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(n)the occurrence of a Purchase Price Percentage Trigger for each Purchased Mortgage Loan that is an Other Conforming Mortgage Loan.

Section 4.Representations and Warranties with Respect to Purchased Mortgage Loans.  Schedule 1 of the Existing Master Repurchase Agreement is hereby amended by:

4.1deleting clauses (y) and (dd) in their entirety and replacing them with the following:

(y)  No Buydown Provisions; No Graduated Payments or Contingent Interests.  Except with respect to Conforming Mortgage Loans and Other Conforming Mortgage Loans, the Mortgage Loan does not contain provisions pursuant to which Monthly Payments are paid or partially paid with funds deposited in any separate account established by Seller, the Mortgagor, or anyone on behalf of the Mortgagor, or paid by any source other than the Mortgagor nor does it contain any other similar provisions which may constitute a “buydown” provision.  The Mortgage Loan is not a graduated payment mortgage loan and the Mortgage Loan does not have a shared appreciation or other contingent interest feature.

(dd)  Appraisal.  The Mortgage File contains (a) a full appraisal of the related Mortgaged Property (except when the Agency Guides exempt certain Conforming Mortgage Loans and Other Conforming Mortgage Loans from the requirement to obtain an appraisal (including HARP Mortgage Loans)) signed prior to the funding of the Mortgage Loan by a qualified appraiser, duly appointed by Seller, who had no interest, direct or indirect in the Mortgaged Property or in any loan made on the security thereof, and whose compensation is not affected by the approval or disapproval of the Mortgage Loan, and the appraisal and appraiser both satisfy the relevant Fannie Mae and Freddie Mac guidelines, each as amended and as in effect on the date the Mortgage Loan was originated and (b) for each HARP Mortgage Loan, (i) a full appraisal (as described in the foregoing clause (a)); (ii) a reliable automated valuation model estimate provided by the related Agency or (iii) an appraisal or waiver thereof that meets the requirements of the applicable Agency Guide.

4.2adding the following new clause (lll) at the end thereof:  

(lll) Other Conforming Mortgage Loans.  With respect to any Other Conforming Mortgage Loan with a note date of 120 days or more from any date of determination and on each 120 days thereafter; Seller shall affirmatively represent and warrant to Buyer that the appraised value of the related Mortgaged Property set forth in the appraisal delivered in connection with the origination thereof continues to accurately reflect the current appraised value of such Mortgaged Property and is not less than the appraised value of such Mortgaged Property; provided that the failure to make such affirmative representation and warranty shall only result in a Purchase Price Percentage Trigger.

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Section 5.Fees and Expenses.  Seller hereby agrees to pay to Buyer, on demand, any and all reasonable out-of-pocket fees, costs and expenses (including reasonable fees and expenses of counsel) incurred by Buyer in connection with the development, preparation and execution of this Amendment, irrespective of whether any transactions hereunder are executed.

Section 6.Condition Precedent.  This Amendment shall become effective as of the date hereof (the “Amendment Effective Date”), subject to the satisfaction of the following condition precedent:

6.1Delivered Documents.  On the Amendment Effective Date, the Buyer shall have received this Amendment, executed and delivered by a duly authorized officer of Buyer, Seller and Guarantor.

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

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

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

Section 10.GOVERNING LAW.  ThIS AMENDMENT shall be construed in accordance with the laws of the state of new york without giving effect to the conflicts of law principles thereof (except for section 5-1401 of the new york general obligations law) and the obligations, rights and remedies of the PARties hereunder shall be determined in accordance with the laws of the state of new york, except to the extent preempted by federal law.

Section 11.Reaffirmation of Guaranty. The Guarantor hereby (i) agrees that the liability of Guarantor or rights of Buyer under the Guaranty shall not be affected as a result of this Amendment, (ii) ratifies and affirms all of the terms, covenants, conditions and obligations of the Guaranty and (iii) acknowledges and agrees that such Guaranty is and shall continue to be in full force and effect.

[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.

BANK OF AMERICA, N.A., as Buyer
By:	/s/ Adam Robitshek
Name:	Adam Robitshek
Title:	Vice President

PENNYMAC OPERATING PARTNERSHIP, L.P., as Seller
By:	PennyMac GP OP, Inc., its General Partner
By:	/s/ Pamela Marsh
Name:	Pamela Marsh
Title:	Managing Director, Treasurer

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

EX-10.13

Exhibit 10.13

AMENDMENT NO. 14
TO MORTGAGE LOAN PARTICIPATION PURCHASE AND SALE AGREEMENT

Amendment No. 14 to Mortgage Loan Participation Purchase And Sale Agreement, dated as of April 20, 2018 (this “Amendment”), by and among Bank of America, N.A. (“Purchaser”), PennyMac Corp. (“Seller”), PennyMac Mortgage Investment Trust and PennyMac Operating Partnership, L.P. (individually and collectively, the “Guarantor”).

RECITALS

Purchaser, Guarantor and Seller are parties to that certain Mortgage Loan Participation Purchase And Sale Agreement, dated as of December 23, 2011 (as amended, restated, supplemented or otherwise modified from time to time, the “Existing MLPSA”; and as further amended by this Amendment, the “MLPSA”).  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 December 23, 2011, made by Guarantor in favor of Purchaser.

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

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

Section 1.Definitions. Section 1 of the Existing MLPSA is hereby amended by deleting the definition of “Expiration Date” in its entirety and replacing it with the following:

“Expiration Date”: The earlier of (i) July 2, 2018, (ii) at Purchaser’s option, upon the occurrence of an Event of Default, and (iii) the date on which this Agreement shall terminate in accordance with the provisions hereof or by operation of law.

Section 2.Fees and Expenses.  Seller hereby agrees to pay to Purchaser, on demand, any and all reasonable fees, costs and expenses (including reasonable fees and expenses of counsel) incurred by Purchaser in connection with the development, preparation and execution of this Amendment, irrespective of whether any transactions hereunder are executed.

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:

3.1Delivered Documents.  On the Amendment Effective Date, the Purchaser shall have received this Amendment, executed and delivered by a duly authorized officer of Purchaser, Seller and Guarantor.

3.2Facility Fee. Seller shall have paid to Purchaser in immediately available funds that portion of the Facility Fee due and payable on the Amendment Effective Date.

Section 4.Limited Effect.  Except as expressly amended and modified by this Amendment, the Existing MLPSA 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. 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 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 construed in accordance with the laws of the state of new york without giving effect to the conflicts of law principles thereof (except for section 5-1401 of the new york general obligations law) and the obligations, rights and remedies of the PARties hereunder shall be determined in accordance with the laws of the state of new york, except to the extent preempted by federal law.

Section 8.Reaffirmation of Guaranty. The Guarantor hereby (i) agrees that the liability of Guarantor or rights of Purchaser under the Guaranty shall not be affected as a result of this Amendment, (ii) ratifies and affirms all of the terms, covenants, conditions and obligations of the Guaranty and (iii) acknowledges and agrees that such Guaranty is and shall continue to be in full force and effect.

[SIGNATURE PAGE FOLLOWS]

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.

Bank of America, N.A., as Purchaser
By:	/s/ Adam Robitshek
Name:	Adam Robitshek
Title:	Vice President

PENNYMAC CORP., as Seller
By:	/s/ Pamela Marsh
Name:	Pamela Marsh
Title:	Managing Director, Treasurer

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

PENNYMAC OPERATING PARTNERSHIP, L.P., as Guarantor
By:	PennyMac GP OP, Inc., its General Partner
By:	/s/ Pamela Marsh
Name:	Pamela Marsh
Title:	Managing Director, Treasurer

EX-31.1

Exhibit 31.1

CERTIFICATION

I, David A. Spector, 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: May 7, 2018

/S/ David A. Spector

David A. Spector

President and Chief Executive Officer

EX-31.2

Exhibit 31.2

CERTIFICATION

I, Andrew S. Chang, 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 May 7, 2018

/S/ Andrew S. Chang

Andrew S. Chang

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 March 31, 2018 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, David A. Spector, President 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/ David A. Spector

David A. Spector

President and Chief Executive Officer

Date May 7, 2018

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 March 31, 2018 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Andrew S. Chang, 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/ Andrew S. Chang

Andrew S. Chang

Chief Financial Officer

Date May 7, 2018

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.

XML

Document and Entity Information - shares	3 Months Ended
	Mar. 31, 2018	May 04, 2018
Document And Entity Information [Abstract]
Document Type	10-Q
Amendment Flag	false
Document Period End Date	Mar. 31, 2018
Document Fiscal Year Focus	2018
Document Fiscal Period Focus	Q1
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		60,882,954

XML

Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
ASSETS
Cash	$ 102,167	$ 77,647
Short-term investments	71,044	18,398
Mortgage-backed securities at fair value pledged to creditors	1,436,456	989,461
Mortgage loans acquired for sale at fair value (includes $1,097,266 and $1,249,277 pledged to creditors, respectively)	1,115,534	1,269,515
Mortgage loans at fair value (includes $770,911 and $1,081,893 pledged to creditors, respectively)	779,489	1,089,473
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value pledged to secure assets sold to PennyMac Financial Services, Inc. under agreements to repurchase	236,002	236,534
Derivative assets (includes $24,423 and $26,058 pledged to creditors, respectively)	122,518	113,881
Real estate acquired in settlement of loans (includes $105,484 and $124,532 pledged to creditors, respectively)	141,506	162,865
Real estate held for investment (includes $31,899 and $31,128 pledged to creditors, respectively)	45,790	44,224
Mortgage servicing rights (includes $957,013 and $91,459 at fair value; $941,686 and $831,892 pledged to creditors)	957,013	844,781
Servicing advances	63,352	77,158
Deposits securing credit risk transfer agreements (includes $392,453 and $400,778 pledged to creditors, respectively)	622,330	588,867
Other	96,972	87,975
Total assets	5,790,486	5,604,933
LIABILITIES
Assets sold under agreements to repurchase	3,408,283	3,180,886
Mortgage loan participation purchase and sale agreements	0	44,488
Asset-backed financing of a variable interest entity at fair value	296,982	307,419
Exchangeable senior notes	247,471	247,186
Interest-only security payable at fair value	7,796	7,070
Derivative liabilities	3,636	1,306
Accounts payable and accrued liabilities	63,196	64,751
Income taxes payable	42,321	27,317
Liability for losses under representations and warranties	8,249	8,678
Total liabilities	4,248,228	4,060,348
Commitments and contingencies — Note 18	0	0
SHAREHOLDERS’ EQUITY
Preferred shares of beneficial interest, $0.01 par value per share, authorized 100,000,000 shares, issued and outstanding 12,400,000 shares, liquidation preference $310,000,000	299,707	299,707
Common shares of beneficial interest—authorized, 500,000,000 common shares of $0.01 par value; issued and outstanding, 60,882,954 and 61,334,087 common shares, respectively	609	613
Additional paid-in capital	1,281,115	1,290,931
Accumulated deficit	(39,173)	(46,666)
Total shareholders’ equity	1,542,258	1,544,585
Total liabilities and shareholders’ equity	5,790,486	5,604,933
Variable Interest Entities [Member]
ASSETS
Mortgage loans at fair value (includes $770,911 and $1,081,893 pledged to creditors, respectively)	311,102	321,040
Derivative assets (includes $24,423 and $26,058 pledged to creditors, respectively)	103,995	98,640
Deposits securing credit risk transfer agreements (includes $392,453 and $400,778 pledged to creditors, respectively)	622,330	588,867
Other—interest receivable	893	904
Total assets of Consolidated Variable Interest Entity	1,038,320	1,009,451
LIABILITIES
Asset-backed financing of a variable interest entity at fair value	296,982	307,419
Interest-only security payable at fair value	7,796	7,070
Accounts payable and accrued liabilities—interest payable	893	904
SHAREHOLDERS’ EQUITY
Total liabilities of Consolidated Variable Interest Entity	305,671	315,393
PennyMac Financial Services, Inc. [Member]
ASSETS
Due from PennyMac Financial Services, Inc.	313	4,154
LIABILITIES
Assets sold under agreements to repurchase	142,938	144,128
Due to PennyMac Financial Services, Inc.	$ 27,356	$ 27,119

XML

Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($)	Mar. 31, 2018	Dec. 31, 2017
Mortgage loans acquired for sale at fair value, pledged to creditors	$ 1,097,266,000	$ 1,249,277,000
Mortgage loans at fair value, pledged to creditors	770,911,000	1,081,893,000
Derivative assets, pledged to creditors	24,423,000	26,058,000
Real estate pledged to creditors	105,484,000	124,532,000
Mortgage servicing rights at fair value	957,013,000	91,459,000
Mortgage servicing rights pledged to creditors	941,686,000	831,892,000
Deposits securing credit risk transfer agreements, pledged to creditors	$ 392,453,000	$ 400,778,000
Preferred stock, par value	$ 0.01	$ 0.01
Preferred stock, shares authorized	100,000,000	100,000,000
Preferred stock, shares issued	12,400,000	12,400,000
Preferred stock, shares outstanding	12,400,000	12,400,000
Preferred stock, liquidation preference, value	$ 310,000,000	$ 310,000,000
Common shares, authorized	500,000,000	500,000,000
Common shares, par value	$ 0.01	$ 0.01
Common shares, issued	60,882,954	61,334,087
Common shares, outstanding	60,882,954	61,334,087
Real Estate Acquired in Satisfaction of Debt [Member]
Real estate pledged to creditors	$ 105,484,000	$ 124,532,000
Real Estate Held for Investment [Member]
Real estate pledged to creditors	$ 31,899,000	$ 31,128,000

XML

Consolidated Statements of Income (Unaudited) - USD ($) shares in Thousands, $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Net investment income
Net gain on mortgage loans acquired for sale	$ 7,627	$ 19,025
Mortgage loan origination fees	7,037	8,290
Net gain (loss) on investments	18	16,721
Net mortgage loan servicing fees	56,155	11,752
Interest income	40,980	48,100
Interest expense:
Interest expense	34,816	37,179
Net interest income	6,164	10,921
Results of real estate acquired in settlement of loans	(3,226)	(4,246)
Other	1,898	2,011
Net investment income	75,673	64,474
Expenses
Mortgage loan fulfillment fees	11,944	16,570
Mortgage loan servicing fees	11,019	10,486
Management fees	5,696	5,008
Mortgage loan collection and liquidation	2,229	354
Real estate held for investment	1,438	1,088
Professional services	1,319	1,453
Compensation	1,268	1,892
Mortgage loan origination	272	1,512
Other	2,650	3,503
Total expenses	37,835	41,866
Income before provision for (benefit from) income taxes	37,838	22,608
Provision for (benefit from) income taxes	9,652	(6,129)
Net income	28,186	28,737
Dividends on preferred shares	6,234	571
Net income attributable to common shareholders	$ 21,952	$ 28,166
Earnings per common share
Basic	$ 0.36	$ 0.42
Diluted	$ 0.35	$ 0.40
Weighted-average common shares outstanding
Basic	60,761	66,719
Diluted	69,875	75,186
Dividends declared per common share	$ 0.47	$ 0.47
Nonaffiliates [Member]
Net investment income
Net gain on mortgage loans acquired for sale	$ 4,986	$ 16,624
Net gain (loss) on investments	(7,733)	18,091
Net mortgage loan servicing fees	55,560	11,460
Interest income	37,046	43,453
Interest expense:
Interest expense	32,840	35,374
PennyMac Financial Services, Inc. [Member]
Net investment income
Net gain on mortgage loans acquired for sale	2,641	2,401
Net gain (loss) on investments	7,751	(1,370)
Net mortgage loan servicing fees	595	292
Interest income	3,934	4,647
Interest expense:
Interest expense	$ 1,976	$ 1,805

XML

Consolidated Statements of Changes in Shareholders' Equity (Unaudited) - USD ($) shares in Thousands, $ in Thousands	Total	Preferred Shares [Member]	Common Shares [Member]	Additional Paid-in Capital [Member]	Accumulated Deficit [Member]
Balance, Amount at Dec. 31, 2016	$ 1,351,114		$ 667	$ 1,377,171	$ (26,724)
Balance, Shares at Dec. 31, 2016			66,697
Net income	28,737			0	28,737
Share-based compensation, Amount	1,527		$ 1	1,526	0
Share-based compensation, Shares			153
Issuance of preferred shares, Amount	115,000	$ 115,000		0	0
Issuance of preferred shares, Shares		4,600
Issuance costs relating to preferred shares	(3,828)	$ (3,828)		0	0
Dividends
Common share dividends	(31,653)		$ 0	0	(31,653)
Repurchase of common shares, Amount	$ (2,307)		$ (1)	(2,306)	0
Repurchase of common shares, Shares	(139)		(139)
Balance, Amount at Mar. 31, 2017	$ 1,458,590	$ 111,172	$ 667	1,376,391	(29,640)
Balance, Shares at Mar. 31, 2017		4,600	66,711
Balance, Amount (Previously Reported [Member]) at Dec. 31, 2017	1,544,585				(46,666)
Balance, Amount at Dec. 31, 2017	1,544,585	$ 299,707	$ 613	1,290,931
Balance, Shares at Dec. 31, 2017		12,400	61,334
Balance, Shares (Accounting Standards Update 2014-11 Transfers and Servicing [Member]) at Dec. 31, 2017		12,400	61,334
Balance, Amount (Accounting Standards Update 2014-11 Transfers and Servicing [Member]) at Dec. 31, 2017	14,361	$ 0	$ 0	0	14,361
Balance, Amount (Accounting Standards Update 2014-11 Transfers and Servicing [Member]) at Dec. 31, 2017	1,558,946	299,707	613	1,290,931	(32,305)
Net income	28,186			0	28,186
Share-based compensation, Amount	899		$ 2	897	0
Share-based compensation, Shares			220
Dividends
Common share dividends	(28,818)		$ 0	0	(28,818)
Preferred shares dividends	(6,236)			0	(6,236)
Repurchase of common shares, Amount	$ (10,719)		$ (6)	(10,713)	0
Repurchase of common shares, Shares	(671)		(671)
Balance, Amount at Mar. 31, 2018	$ 1,542,258	$ 299,707	$ 609	$ 1,281,115	$ (39,173)
Balance, Shares at Mar. 31, 2018		12,400	60,883

XML

Consolidated Statements of Changes in Shareholders' Equity (Unaudited) (Parenthetical) - $ / shares	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Common share dividends declared per share	$ 0.47	$ 0.47
Accumulated Deficit [Member]
Common share dividends declared per share	$ 0.47	$ 0.47

XML

Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Cash flows from operating activities
Net income	$ 28,186	$ 28,737
Adjustments to reconcile net income to net cash provided by operating activities:
Net gain on mortgage loans acquired for sale at fair value	(7,627)	(19,025)
Net gain on investments	(18)	(16,721)
Change in fair value, amortization and impairment of mortgage servicing rights	(5,125)	27,046
Accrual of unearned discounts and amortization of premiums on mortgage-backed securities, mortgage loans at fair value, and asset-backed secured financing of a VIE	507	1,406
Capitalization of interest, advances and fees on mortgage loans at fair value	(2,180)	(9,903)
Accrual of interest on excess servicing spread purchased from PennyMac Financial Services, Inc.	(3,934)	(4,647)
Amortization of debt issuance costs and premiums, net	236	3,596
Results of real estate acquired in settlement of loans	3,226	4,246
Share-based compensation expense	899	1,527
Purchase of mortgage loans acquired for sale at fair value from nonaffiliates	(13,524,468)	(14,474,654)
Purchase of mortgage loans acquired for sale at fair value from PennyMac Financial Services, Inc.	(781,326)	(21,530)
Repurchase of mortgage loans subject to representation and warranties	(2,830)	(4,111)
Sale and repayment of mortgage loans acquired for sale at fair value to nonaffiliates	5,200,584	4,858,845
Sale of mortgage loans acquired for sale to PennyMac Financial Services, Inc.	9,212,188	10,016,788
Decrease in servicing advances	17,204	6,187
Decrease (increase) in due from PennyMac Financial Services, Inc.	3,767	(3,995)
(Increase) decrease in other assets	(25,462)	30,948
Decrease in accounts payable and accrued liabilities	(1,229)	(27,536)
Increase in due to PennyMac Financial Services, Inc.	237	4,340
Increase (decrease) in income taxes payable	9,652	(6,161)
Net cash provided by operating activities	122,487	395,383
Net cash provided by operating activities	122,487	395,383
Cash flows from investing activities
Net (increase) decrease in short-term investments	(52,646)	102,205
Purchase of mortgage-backed securities at fair value	(500,573)	(251,872)
Sale and repayment of mortgage-backed securities at fair value	30,741	26,123
Sale and repayment of mortgage loans at fair value	276,467	127,556
Repayment of excess servicing spread by PennyMac Financial Services, Inc.	12,291	14,632
Net settlement of derivative financial instruments	(2,329)	(28)
Sale of real estate acquired in settlement of loans	32,437	63,224
Purchase of mortgage servicing rights	0	(62)
Deposit of cash securing credit risk transfer agreements	(41,789)	(15,793)
Distribution from credit risk transfer agreements	27,655	12,305
Increase in margin deposits	(9,823)	(36,267)
Net cash (used in) provided by investing activities	(227,569)	42,023
Net cash (used in) provided by investing activities	(227,569)	42,023
Cash flows from financing activities
Sale of assets under agreements to repurchase	17,446,171	17,770,687
Repurchase of assets sold under agreements to repurchase	(17,218,539)	(18,054,705)
Issuance of mortgage loan participation certificates	1,208,189	1,559,494
Repayment of mortgage loan participation certificates	(1,252,708)	(1,512,435)
Repayments of assets sold to PennyMac Financial Services, Inc. under agreement to repurchase	(3,483)	(175,000)
Repayment of asset-backed financing of a variable interest entity at fair value	(3,915)	(13,944)
Advances under assets sold to to PennyMac Financial Services, Inc. under agreement to repurchase	2,293	0
Payment of debt issuance costs	(2,306)	(3,140)
Issuance of preferred shares	0	115,000
Payment of issuance costs related to preferred shares	0	(3,828)
Repurchase of common shares	(10,719)	(2,307)
Payment of dividends to preferred shareholders	(6,236)	0
Payment of dividends to common shareholders	(29,145)	(31,655)
Net cash provided by (used in) financing activities	129,602	(351,833)
Net increase in cash and restricted cash	24,520	85,573
Cash and restricted cash at beginning of quarter	77,647	34,476
Cash and restricted cash at end of quarter	102,167	120,049
Cash	102,167	120,049
Restricted cash	$ 0	$ 0

XML

Organization

3 Months Ended

Mar. 31, 2018

Organization Consolidation And Presentation Of Financial Statements [Abstract]

Organization

Note 1—Organization

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-related assets.

The Company operates in four segments: correspondent production, credit sensitive strategies, interest rate sensitive strategies and corporate:

• 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”), both indirect controlled 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 credit sensitive strategies segment represents the Company’s investments in distressed mortgage loans, real estate acquired in settlement of mortgage loans (“REO”), real estate held for investment, credit risk transfer agreements (“CRT Agreements”), non-Agency subordinated bonds and small balance commercial real estate mortgage loans.

• The interest rate sensitive strategies segment represents the Company’s investments in mortgage servicing rights (“MSRs”), excess servicing spread (“ESS”), Agency and senior non-Agency MBS and the related interest rate hedging activities.  

• The corporate segment includes certain interest income, management fee and corporate expense amounts.

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 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, 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.

XML

Basis of Presentation and Accounting Changes

3 Months Ended

Mar. 31, 2018

Organization Consolidation And Presentation Of Financial Statements [Abstract]

Basis of Presentation and Accounting Changes

Note 2—Basis of Presentation and Accounting Changes

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, 2017.

The accompanying unaudited consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, results of operations, 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.

Mortgage Servicing Rights

Effective January 1, 2018, the Company has elected to change the accounting for the classes of MSRs it accounted for using the amortization method through December 31, 2017, to the fair value method as allowed in the Transfers and Servicing topic of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”). The Manager determined that a single accounting treatment across all MSRs is consistent with lender valuation under its financing arrangements and simplifies hedging activities. As the result of this change, the Company recorded an adjustment to increase its investment in MSRs by $19.7 million, an increase in its liability for income taxes payable of $5.3 million and in increase in shareholders’ equity of $14.4 million.

Revenue

As disclosed in Note 33 – Recently Issued Accounting Pronouncements to the consolidated financial statements included in the Company’s Annual Report of form 10-K for the fiscal year ended December 31, 2017, the Manager has concluded that the Company’s revenues are not subject to ASU 2014-09 as they are financial instruments or other contractual rights and obligations accounted for under the Receivables, Investments and Debt and Equity Securities, Transfers and Servicing, Financial Instruments and Derivatives and Hedging topics of the FASB’s ASC.

Cash Flows

During the quarter ended March 31, 2018, the Company adopted FASB Accounting Standards Update 2016-18, Statement of Cash Flows (Topic 230) – Restricted Cash (“ASU 2016-18”). ASU 2016-18 requires that a statement of cash flows explain the change during the reporting period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statement of cash flows. Accordingly, the Company retrospectively changed the presentation of its statements of cash flows to conform to the requirements of ASU 2016-18. The adoption of ASU 2016-18 had no effect on previously reported statements of cash flows.

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Concentration of Risks

3 Months Ended

Mar. 31, 2018

Risks And Uncertainties [Abstract]

Concentration of Risks

Note 3—Concentration of Risks

As discussed in Note 1 — Organization above, PMT’s operations and investing activities are centered in residential mortgage-related assets, including distressed mortgage loans and CRT Agreements.

Due to the nature of the Company’s investments in distressed mortgage loans, PMT is exposed, to a greater extent than traditional mortgage investors, to the risks associated with loan performance and resolution, including 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 that fluctuations in the residential real estate market may affect the performance of its investments. Factors influencing these risks include, but are not limited to:

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

• PCM’s ability to identify and PLS’ ability to execute optimal resolutions of distressed 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 inputs that properly anticipate, future outcomes;

• the level of government support for resolution of distressed mortgage loans 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.

As detailed in Note 5 — Loan Sales and Variable Interest Entities, the Company invests in CRT Agreements whereby it sells pools of mortgage loans into Fannie Mae-guaranteed securitizations while retaining a portion of the credit risk underlying such mortgage loans (“Recourse Obligations”) as part of the retention of an interest-only (“IO”) ownership interest in such mortgage loans. The Company’s retention of credit risk subjects it to risks associated with delinquency and foreclosure similar to the risks associated with owning the underlying mortgage loans, and exposes the Company to risk of loss greater than the risks associated with selling the mortgage loans to Fannie Mae without the retention of such credit risk. Further, the risks associated with delinquency and foreclosure may in some instances be greater than the risks associated with owning the underlying mortgage loans because the structure of certain of the CRT Agreements provides that the Company may be required to realize losses in the event of delinquency or foreclosure even where there is ultimately no loss realized with respect to the underlying loan (e.g., as a result of a borrower’s re-performance). In addition to the risks specific to credit, the Company is exposed to market risk and, as a result of prevailing market conditions or the economy generally, may be required to recognize losses associated with adverse changes to the fair value of the CRT Agreements.

Most of the distressed mortgage loans and REO has been acquired by the Company in prior years from or through one or more subsidiaries of JPMorgan Chase & Co., Citigroup Inc., and Bank of America Corporation, as presented in the following summary:

	March 31, 2018		December 31, 2017
	(in thousands)
JPMorgan Chase & Co.
Mortgage loans at fair value	$	185,224	$	315,437
REO		59,178		66,294
		244,402		381,731
Citigroup Inc.
Mortgage loans at fair value		181,334		280,488
REO		21,091		26,702
		202,425		307,190
Bank of America Corporation
Mortgage loans at fair value		86,478		143,969
REO		26,050		27,970
		112,528		171,939
	$	559,355	$	860,860
Total carrying value of distressed mortgage loans at fair value and REO	$	609,893	$	931,298

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Transactions with Related Parties

3 Months Ended

Mar. 31, 2018

Related Party Transactions [Abstract]

Transactions with Related Parties

Note 4—Transactions with Related Parties

Operating Activities

Correspondent Production Activities

The Company is provided fulfillment and other services by PLS under an amended and restated mortgage banking services agreement.

Pursuant to the terms of the agreement, the monthly fulfillment fee is an amount equal to (a) no greater than the product of (i) 0.35% and (ii) the aggregate initial unpaid principal balance (the “Initial UPB”) of all mortgage loans purchased in such month, plus (b) in the case of all mortgage loans other than mortgage loans sold to or securitized through Fannie Mae or Freddie Mac, no greater than the product of (i) 0.50% and (ii) the aggregate Initial UPB of all such mortgage loans sold and securitized in such month; provided however, that no fulfillment fee shall be due or payable to PLS with respect to any mortgage loans underwritten to Ginnie Mae guidelines.

The Company does not hold the Ginnie Mae approval required to issue securities guaranteed by Ginnie Mae MBS and act as a servicer. Accordingly, under the agreement, PLS currently purchases loans salable in accordance with the Ginnie Mae Mortgage-Backed Securities Guide “as is” and without recourse of any kind from the Company at cost less any administrative fees paid by the correspondent to the Company plus accrued interest and a sourcing fee ranging from two to three and one-half basis points, generally based on the average number of calendar days loans are held by the Company prior to purchase by PLS. The discretionary reductions and volume reimbursements described above are no longer in effect.

In consideration for the mortgage banking services provided by PLS with respect to the Company’s acquisition of mortgage loans under PLS’s early purchase program, PLS is entitled to fees accruing (i) at a rate equal to $1,500 per annum per early purchase facility, and (ii) in the amount of $35 for each mortgage loan that the Company acquires.

The mortgage banking services agreement expires on September 12, 2020, subject to automatic renewal for additional 18-month periods, unless terminated earlier in accordance with the terms of the agreement.

The Company purchases newly originated loans from PLS under a mortgage loan participation purchase and sale agreement and a flow commercial mortgage loan purchase agreement. Historically, the Company has used the mortgage loan participation purchase and sale agreement for the purpose of purchasing from PLS prime jumbo residential mortgage loans. Beginning in the quarter ended September 30, 2017, the Company also purchases non-government insured or guaranteed mortgage loans from PLS under the mortgage loan participation purchase and sale agreement. The Company uses the flow commercial mortgage loan purchase agreement for the purpose of purchasing from PLS small balance commercial mortgage loans, including multifamily mortgage loans, originated as part of PLS’s commercial lending activities.

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

	Quarter ended March 31,
	2018		2017
	(in thousands)
Purchases of mortgage loans acquired for sale from PLS	$	781,326	$	21,530
Mortgage loans fulfillment fees earned by PLS	$	11,944	$	16,570
UPB of mortgage loans fulfilled by PLS	$	4,225,631	$	4,631,906
Sourcing fees received from PLS included in    Net gain on mortgage loans acquired for sale	$	2,641	$	2,871
UPB of mortgage loans sold to PLS	$	8,847,873	$	9,574,717
Early purchase program fees paid to PLS included    in Mortgage loan servicing fees	$	—	$	5
Tax service fee paid to PLS included in Other expense	$	1,208	$	1,379

	March 31, 2018		December 31, 2017
	(in thousands)
Mortgage loans included in Mortgage loans acquired    for sale at fair value pending sale to PLS	$	259,673	$	279,571

Mortgage Loan Servicing Activities

The Company, through its Operating Partnership, has an amended and restated mortgage loan servicing agreement with PLS dated as of September 12, 2016. The servicing agreement provides for servicing fees earned by PLS that are based on a percentage of the mortgage loan’s unpaid principal balance or fixed per loan monthly amounts based on the delinquency, bankruptcy and/or foreclosure status of the serviced mortgage loan or the REO. PLS is also entitled to market-based fees and charges including boarding and deboarding fees, liquidation and disposition, assumption, modification and origination fees and late charges relating to mortgage loans it services for the Company.

• The base servicing fee rates for distressed whole mortgage loans range from $30 per month for current loans up to $85 per month for loans where the borrower has declared bankruptcy. The base servicing fee rate for REO is $75 per month.

• The base servicing fee rate for REO is $75 per month. To the extent that the Company rents its REO under an REO rental program, the Company pays PLS an REO rental fee of $30 per month per REO, an REO property lease renewal fee of $100 per lease renewal, and a property management fee in an amount equal to PLS’ 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 PLS provides property management services directly. PLS is also entitled to retain any tenant paid application fees and late rent fees and seek reimbursement for certain third party vendor fees.

• The base servicing fees for non-distressed mortgage loans subserviced by PLS on the Company’s 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 the Company’s 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 non-distressed mortgage loans become delinquent, PLS is entitled to an additional servicing fee per mortgage loan ranging from $10 to $55 per month and based on the delinquency, bankruptcy and foreclosure status of the mortgage loan or $75 per month if the underlying mortgaged property becomes REO. PLS is also entitled to customary ancillary income and certain market-based fees and charges, including boarding and deboarding fees, liquidation and disposition fees, assumption, modification and origination fees.

• PLS 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 because the Company has limited employees and infrastructure. For these services, PLS received a supplemental fee of $25 per month for each distressed whole loan. PLS is entitled to reimbursement for all customary, good faith reasonable and necessary out-of-pocket expenses incurred in performance of its servicing obligations.

• PLS is also entitled to certain activity-based fees for distressed whole mortgage loans that are charged based on the achievement of certain events. These fees range from $750 for a streamline modification to $1,750 for a liquidation and $500 for a deed-in-lieu of foreclosure. PLS is not entitled to earn more than one liquidation fee, reperformance fee or modification fee per mortgage loan in any 18-month period.

• PLS, on behalf of the Company, is entitled to retain any incentive payments made to it and to which it is entitled under the U.S. Department of Treasury’s Home Affordable Modification Plan (“HAMP”); provided, however, that with respect to any such incentive payments paid to PLS under HAMP in connection with a mortgage loan modification for which the Company previously paid PLS a modification fee, PLS shall reimburse the Company an amount equal to the incentive payments.

The term of the servicing agreement expires on September 12, 2020, subject to automatic renewal for additional 18-month periods, unless terminated earlier in accordance with the terms of the servicing agreement.

Pursuant to the terms of an amended and restated MSR recapture agreement, if PLS refinances mortgage loans for which the Company previously held the MSRs, PLS is generally required to transfer and convey to one of the Company’s wholly-owned subsidiaries cash in an amount equal to 30% of the fair market value of the MSRs related to all the loans so originated. The MSR recapture agreement expires, unless terminated earlier in accordance with the agreement, on September 12, 2020, subject to automatic renewal for additional 18-month periods.

Following is a summary of mortgage loan servicing fees earned by PLS and MSR recapture income earned from PLS:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Mortgage loans servicing fees:
Mortgage loans acquired for sale at fair value:
Base	$	56	$	65
Activity-based		122		143
		178		208
Mortgage loans at fair value:
Distressed mortgage loans:
Base		1,005		1,958
Activity-based		2,080		2,390
		3,085		4,348
Mortgage loans held in VIE:
Base		34		31
Activity-based		—		—
		34		31
MSRs:
Base		7,615		5,806
Activity-based		107		93
		7,722		5,899
	$	11,019	$	10,486
Average investment in:
Mortgage loans acquired for sale at fair value	$	1,046,289	$	1,099,406
Mortgage loans at fair value:
Distressed mortgage loans	$	738,333	$	1,327,421
Mortgage loans held in a VIE	$	314,717	$	361,110
Average MSR portfolio	$	73,694,438	$	57,927,056
MSR recapture income recognized included in Net    mortgage loan servicing fees - from PennyMac Financial Service, Inc.	$	595	$	292

Management Fees

Under a management agreement, the Company pays PCM management fees as follows:

• A base management fee that is calculated quarterly and is equal to the sum of (i) 1.5% per year of average shareholders’ equity up to $2 billion, (ii) 1.375% per year of average shareholders’ equity in excess of $2 billion and up to $5 billion, and (iii) 1.25% per year of average shareholders’ equity in excess of $5 billion.

• A performance incentive fee that 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.”

The performance incentive fee is calculated quarterly and 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.

For the purpose of determining the amount of the performance incentive fee:

“Net income” is defined as net income or loss attributable to common shares of beneficial interest computed in accordance with GAAP and certain other non-cash charges determined after discussions between PCM and the Company’s independent trustees and after approval by a majority of the Company’s independent trustees.

“Equity” is the weighted average of the issue price per common share of all of the Company’s public offerings, multiplied by the weighted average number of common shares outstanding (including restricted share units) in the rolling four-quarter period.

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 PCM to earn a performance incentive fee are adjusted cumulatively based on the performance of PMT’s 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 base management fee and the performance incentive fee are both payable quarterly in arrears. The performance incentive fee may be paid in cash or a combination of cash and the Company’s common shares (subject to a limit of no more than 50% paid in common shares), at the Company’s option.

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

	Quarter ended March 31,
	2018		2017
	(in thousands)
Base management	$	5,696	$	5,008
Performance incentive		—		—
	$	5,696	$	5,008

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

Expense Reimbursement and Amounts Payable to and Receivable from PCM

Under the management agreement, PCM is entitled to reimbursement of its organizational and operating expenses, including third-party expenses, incurred on the Company’s behalf, it being understood that PCM and its affiliates shall allocate a portion of their personnel’s time to provide certain legal, tax and investor relations services for the direct benefit of the Company. With respect to the allocation of PCM’s and its affiliates’ personnel, from and after September 12, 2016, PCM shall be reimbursed $120,000 per fiscal quarter, such amount to be reviewed annually and to not preclude reimbursement for any other services performed by PCM or its affiliates.

The Company is required to pay PCM and its affiliates a pro rata portion of rent, telephone, utilities, office furniture, equipment, machinery and other office, internal and overhead expenses of PCM and its affiliates required for the Company’s and its subsidiaries’ operations. These expenses are allocated based on the ratio of the Company’s and its subsidiaries’ proportion of gross assets compared to all remaining gross assets managed by PCM as calculated at each fiscal quarter end.

Following is a summary of the Company’s reimbursements to PCM and its affiliates for expenses:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Reimbursement of:
Common overhead incurred by PCM and its affiliates	$	1,121	$	1,434
Expenses incurred on the Company’s behalf, net		573		255
	$	1,694	$	1,689
Payments and settlements during the quarter (1)	$	7,658	$	24,393

(1) Payments and settlements include payments and netting settlements made pursuant to master netting agreements between the Company and PFSI for operating, investment and financing activities itemized in this Note.

Investing Activities

Spread Acquisition and MSR Servicing Agreements

On December 19, 2016, the Company, through a wholly-owned subsidiary, PennyMac Holdings, LLC (“PMH”), amended and restated a master spread acquisition and MSR servicing agreement with PLS (the “Spread Acquisition Agreement”), pursuant to which the Company may purchase from PLS, from time to time, the right to receive participation certificates representing beneficial ownership in ESS arising from Ginnie Mae MSRs acquired by PLS, in which case PLS generally would be required to service or subservice the related mortgage loans for Ginnie Mae. The primary purpose of the amendment and restatement was to facilitate the continued financing of the ESS owned by the Company in connection with the parties’ participation in the GNMA MSR Facility (as defined below).

To the extent PLS refinances any of the mortgage loans relating to the ESS the Company has acquired, the Spread Acquisition Agreement also contains recapture provisions requiring that PLS transfer to the Company, at no cost, the ESS relating to a certain percentage of the unpaid principal balance of the newly originated mortgage loans. However, under the 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, PLS 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 Spread Acquisition Agreement contains provisions that require PLS 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, PLS may, at its option, wire cash to the Company in an amount equal to such fair market value in lieu of transferring such ESS.

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

	Quarter ended March 31,
	2018		2017
	(in thousands)
ESS:
Received pursuant to a recapture agreement	$	904	$	1,573
Repayments and sales	$	12,291	$	14,632
Interest income	$	3,934	$	4,647
Net gain (loss) included in Net gain (loss) on investments:
Valuation changes	$	6,921	$	(2,773	)
Recapture income		830		1,403
	$	7,751	$	(1,370	)

Financing Activities

PFSI held 75,000 of the Company’s common shares at both March 31, 2018 and December 31, 2017.

Repurchase Agreement with PLS

On December 19, 2016, the Company, through PMH, entered into a master repurchase agreement with PLS (the “PMH Repurchase Agreement”), pursuant to which PMH may borrow from PLS for the purpose of financing PMH’s participation certificates representing beneficial ownership in ESS acquired from PLS under the Spread Acquisition Agreement. PLS then re-pledges such participation certificates to PNMAC GMSR ISSUER TRUST (the “Issuer Trust”) under a master repurchase agreement by and among PLS, the Issuer Trust and Private National Mortgage Acceptance Company, LLC, as guarantor (the “PC Repurchase Agreement”). The Issuer Trust was formed for the purpose of allowing PLS to finance MSRs and ESS relating to such MSRs (the “GNMA MSR Facility”).

In connection with the GNMA MSR Facility, PLS pledges and/or sells to the Issuer Trust participation certificates representing beneficial interests in MSRs and ESS pursuant to the terms of the PC Repurchase Agreement. In return, the Issuer Trust (a) has issued to PLS, pursuant to the terms of an indenture, the Series 2016-MSRVF1 Variable Funding Note, dated December 19, 2016, known as the “PNMAC GMSR ISSUER TRUST MSR Collateralized Notes, Series 2016-MSRVF1” (the “VFN”), and (b) may, from time to time pursuant to the terms of any supplemental indenture, issue to institutional investors additional term notes (“Term Notes”), in each case secured on a pari passu basis by the participation certificates relating to the MSRs and ESS. The maximum principal balance of the VFN is $1 billion.

The principal amount paid by PLS for the participation certificates under the PMH Repurchase Agreement is based upon a percentage of the market value of the underlying ESS. Upon PMH’s repurchase of the participation certificates, PMH is required to repay PLS the principal amount relating thereto plus accrued interest (at a rate reflective of the current market and consistent with the weighted average note rate of the VFN and any outstanding Term Notes) to the date of such repurchase. PLS is then required to repay the Issuer Trust the corresponding amount under the PC Repurchase Agreement.

Conditional Reimbursement of Initial Public Offering (“IPO”) Underwriting Fees

In connection with its 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 (the “Conditional Reimbursement”). Also in connection with its IPO, the Company agreed to pay the IPO underwriters up to $5.9 million in contingent underwriting fees. There were no reimbursements during the quarters ended March 31, 2018, and March 31, 2017.

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

	Quarter ended March 31,
	2018		2017
	(in thousands)
Interest expense	$	1,976	$	1,805

	March 31, 2018		December 31, 2017
	(in thousands)
Assets sold to PFSI under agreement to repurchase	$	142,938	$	144,128
Conditional Reimbursement payable to PFSI included in Accounts payable    and accrued liabilities	$	870	$	870

Amounts Receivable from and Payable to PFSI

Amounts receivable from and payable to PFSI are summarized below:

	March 31, 2018		December 31, 2017
	(in thousands)
Due from PFSI:
MSR recapture receivable	$	207	$	282
Other		106		3,872
	$	313	$	4,154
Due to PFSI:
Allocated expenses and expenses paid by PFSI on PMT’s behalf	$	8,806	$	11,542
Management fees		5,696		5,901
Mortgage loan servicing fees		5,562		6,583
Fulfillment fees		4,471		346
Correspondent production fees		1,825		1,735
Conditional Reimbursement		870		870
Interest on Assets sold to PFSI under agreement to repurchase		126		142
	$	27,356	$	27,119

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Loan Sales and Variable Interest Entities

3 Months Ended

Mar. 31, 2018

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 mortgage loan transfer and financing activities. These entities are classified as VIEs for accounting purposes. The Company has distinguished 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 of mortgage loans that are accounted for as sales where the Company maintains continuing involvement with the mortgage loans:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Cash flows:
Proceeds from sales	$	5,200,584	$	4,858,845
Mortgage loan servicing fees received (1)	$	48,732	$	37,281

(1) Net of guarantee fees

The following table summarizes unpaid principal balance (“UPB”) information for mortgage loans that are accounted for as sales for the dates presented:

	March 31, 2018		December 31, 2017
	(in thousands)
UPB of mortgage loans outstanding	$	74,783,511	$	71,639,351
Delinquent mortgage loans:
30-89 days delinquent	$	360,518	$	532,673
90 or more days delinquent:
Not in foreclosure	$	288,653	$	280,786
In foreclosure	$	31,989	$	25,258
Bankruptcy	$	56,032	$	52,202
Custodial funds managed by the Company (1)	$	1,005,744	$	879,321

(1) Custodial funds include borrower and investor custodial cash accounts relating to mortgage loans serviced under the servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the mortgage loans’ investors, which are included in Interest income in the Company’s consolidated statements of income.

Consolidated VIEs

Credit Risk Transfer Agreements

The Company, through PennyMac Corp (“PMC”), entered into CRT Agreements with Fannie Mae, pursuant to which PMC, through subsidiary trust entities, sells pools of mortgage loans into Fannie Mae-guaranteed securitizations while retaining the Recourse Obligations as part of the retention of an interest-only ownership interest in such mortgage loans.  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. Transfers of mortgage loans subject to CRT Agreements receive sale accounting treatment. The Deposits securing CRT Agreements represent the Company’s maximum contractual exposure to claims under its Recourse Obligations and is the sole source of settlement of losses under the CRT Agreements. Gains and losses on derivatives related to CRT Agreements are included in Net gain (loss) on investments in the consolidated statements of income. 

Following is a summary of the CRT Agreements:

	Quarter ended March 31,
	2018			2017
	(in thousands)
UPB of mortgage loans sold under CRT Agreements	$	3,210,478		$	1,834,295
Deposits securing CRT Agreements	$	41,789		$	15,793
Increase in commitments to fund Deposits securing CRT Agreements    resulting from sale of mortgage loans under CRT Agreements	$	70,486		$	48,150
Interest earned on Deposits securing CRT Agreements	$	2,031		$	408
Gains recognized on CRT Agreements included in Net gain (loss) on investments
Realized	$	19,329		$	10,288
Resulting from valuation changes		5,355			10,019
		24,684			20,307
Change in fair value of interest-only security payable at fair value		(2,133	)		(1,720	)
	$	22,551		$	18,587
Payments made to settle losses	$	828		$	149

	March 31, 2018		December 31, 2017
	(in thousands)
UPB of mortgage loans subject to credit guarantee obligations	$	29,726,369	$	26,845,392
Delinquency status (in UPB):
Current	$	29,456,524	$	26,540,953
30—89 days delinquent	$	130,583	$	179,144
90—180 days delinquent	$	90,418	$	101,114
180 or more days delinquent	$	26,343	$	5,146
Foreclosure	$	8,335	$	5,463
Bankruptcy	$	14,166	$	13,572
Carrying value of CRT Agreements:
Derivative assets	$	103,995	$	98,640
Deposits securing CRT agreements	$	622,330	$	588,867
Interest-only security payable at fair value	$	7,796	$	7,070
CRT Agreement assets pledged to secure assets sold    under agreements to repurchase:
Deposits securing CRT Agreements	$	392,453	$	400,778
Derivative assets	$	24,423	$	26,058
Commitments to fund Deposits securing credit risk transfer agreements	$	552,957	$	482,471

Jumbo Mortgage Loan Financing

On September 30, 2013, the Company completed a securitization transaction in which PMT Loan Trust 2013-J1, a VIE, issued $537.0 million in UPB of certificates backed by fixed-rate prime jumbo mortgage loans, at a 3.9% weighted yield. The fair value of the certificates retained by the Company was $14.1 million as of March 31, 2018. The Company includes the balance of certificates issued to nonaffiliates in Asset backed financing of a variable interest entity at fair value.

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Fair Value

3 Months Ended

Mar. 31, 2018

Fair Value Disclosures [Abstract]

Fair Value

Note 6—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.

The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are:

• Level 1—Quoted prices in active markets for identical assets or liabilities.

• Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the Company. These may include quoted prices for similar assets or liabilities, interest rates, prepayment speeds, credit risk and other inputs.

• Level 3—Prices determined using significant unobservable inputs. In situations where significant observable inputs are unavailable, unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing assets and liabilities, and are based on the best information available in the circumstances.

As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” fair value assets and liabilities, the Manager is required to make judgments regarding these items’ fair values. Different persons in possession of the same facts may reasonably arrive at different conclusions as to the inputs to be applied in valuing these assets and liabilities and to their fair values. Likewise, due to the general illiquidity of some of these assets and liabilities, subsequent transactions may be at values significantly different from those reported.

Fair Value Accounting Elections

The Manager identified all of the Company’s non-cash financial assets and MSRs to be accounted for at fair value. The Manager has elected to account for these assets 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 asset-backed financing of a VIE and interest only security payable at fair value 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 assets at fair value collateralizing these financings. For other borrowings, 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 facility, thereby matching the debt issuance cost to the periods benefiting from the availability of the debt. Before January 1, 2018, originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5% were accounted for using the amortization method. Beginning January 1, 2018, the Company elected to account for all MSRs at fair value prospectively.

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:

	March 31, 2018
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	71,044	$	—	$	—	$	71,044
Mortgage-backed securities at fair value		—		1,436,456		—		1,436,456
Mortgage loans acquired for sale at fair value		—		1,107,844		7,690		1,115,534
Mortgage loans at fair value		—		311,102		468,387		779,489
Excess servicing spread purchased from PFSI		—		—		236,002		236,002
Derivative assets:
Interest rate lock commitments		—		—		3,220		3,220
CRT Agreements		—		—		103,995		103,995
Repurchase agreement derivatives		—		—		5,892		5,892
Forward purchase contracts				11,400		—		11,400
Forward sale contracts		—		6		—		6
MBS put options		—		4,086		—		4,086
Call options on interest rate futures		492		—		—		492
Put options on interest rate futures		367		—		—		367
Total derivative assets before netting		859		15,492		113,107		129,458
Netting		—		—		—		(6,940	)
Total derivative assets after netting		859		15,492		113,107		122,518
Mortgage servicing rights at fair value		—		—		957,013		957,013
	$	71,903	$	2,870,894	$	1,782,199	$	4,718,056
Liabilities:
Asset-backed financing of a VIE at fair value	$	—	$	296,982	$	—	$	296,982
Interest-only security payable at fair value		—		—		7,796		7,796
Derivative liabilities:
Interest rate lock commitments		—		—		511		511
Forward purchase contracts		—		1		—		1
Forward sales contracts		—		8,345		—		8,345
Total derivative liabilities before netting		—		8,346		511		8,857
Netting		—		—		—		(5,221	)
Total derivative liabilities after netting		—		8,346		511		3,636
	$	—	$	305,328	$	8,307	$	308,414

	December 31, 2017
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	18,398	$	—	$	—	$	18,398
Mortgage-backed securities at fair value		—		989,461		—		989,461
Mortgage loans acquired for sale at fair value		—		1,261,380		8,135		1,269,515
Mortgage loans at fair value		—		321,040		768,433		1,089,473
Excess servicing spread purchased from PFSI		—		—		236,534		236,534
Derivative assets:
Interest rate lock commitments		—		—		4,859		4,859
CRT Agreements		—		—		98,640		98,640
Repurchase agreement derivatives		—		—		3,748		3,748
Forward purchase contracts		—		4,343		—		4,343
Forward sale contracts		—		387		—		387
MBS put options		—		3,170		—		3,170
Put options on interest rate futures		656		—		—		656
Total derivative assets before netting		656		7,900		107,247		115,803
Netting		—		—		—		(1,922	)
Total derivative assets after netting		656		7,900		107,247		113,881
Mortgage servicing rights at fair value		—		—		91,459		91,459
	$	19,054	$	2,579,781	$	1,211,808	$	3,808,721
Liabilities:
Asset-backed financing of a VIE at fair value	$	—	$	307,419	$	—	$	307,419
Interest-only security payable at fair value		—		—		7,070		7,070
Derivative liabilities:
Interest rate lock commitments		—		—		227		227
Forward purchase contracts		—		248		—		248
Forward sales contracts		—		2,830		—		2,830
Total derivative liabilities before netting		—		3,078		227		3,305
Netting		—		—		—		(1,999	)
Total derivative liabilities after netting		—		3,078		227		1,306
	$	—	$	310,497	$	7,297	$	315,795

The following is a summary of changes in items measured at fair value on a recurring basis using Level 3 inputs that are significant to the estimation of the fair values of the assets and liabilities at either the beginning or end of the years presented:

	Quarter ended March 31, 2018
	Mortgage loans acquired for sale at fair value			Mortgage loans at fair value			Excess servicing spread			Interest rate lock commitments (1)			CRT Agreements			Repurchase agreement derivatives			Mortgage servicing rights		Total
	(in thousands)
Assets:
Balance, December 31, 2017	$	8,135		$	768,433		$	236,534		$	4,632		$	98,640		$	3,748		$	91,459	$	1,211,581
Cumulative effect of a change in    accounting principle — Adoption of fair    value accounting for mortgage servicing    rights		—			—			—			—			—			—			773,035		773,035
Balance, January 1, 2018		8,135			768,433			236,534			4,632			98,640			3,748			864,494		1,984,616
Purchases and issuances		2,831			—			—			4,609			—			2,164			—		9,604
Repayments and sales		(3,539	)		(272,513	)		(12,291	)		—			(19,329	)		(8	)		—		(307,680	)
Capitalization of interest		—			2,180			3,934			—			—			—			—		6,114
Capitalization of advances		—			1,677			—			—			—			—			—		1,677
ESS received pursuant to a recapture    agreement with PFSI		—			—			904			—			—			—			—		904
Servicing received as proceeds from sales    of mortgage loans		—			—			—			—			—			—			66,546		66,546
Changes in fair value included in income    arising from:
Changes in instrument-specific credit    risk		—			2,681			—			—			—			—			—		2,681
Other factors		103			(12,632	)		6,921			(19,467	)		24,684			(12	)		25,973		25,570
		103			(9,951	)		6,921			(19,467	)		24,684			(12	)		25,973		28,251
Transfers of mortgage loans to REO and    real estate held for investment		—			(21,439	)		—			—			—			—			—		(21,439	)
Transfers of mortgage loans acquired for    sale at fair value from "Level 2" to    "Level 3" (2)		160			—			—			—			—			—			—		160
Transfers of interest rate lock    commitments to mortgage loans    acquired for sale		—			—			—			12,935			—			—			—		12,935
Balance, March 31, 2018	$	7,690		$	468,387		$	236,002		$	2,709		$	103,995		$	5,892		$	957,013	$	1,781,688
Changes in fair value recognized during    the quarter relating to assets still held at    March 31, 2018	$	(14	)	$	(9,040	)	$	6,921		$	2,709		$	5,355		$	77		$	25,973	$	31,981

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

(2) During the quarter ended March 31, 2018, the Manager identified certain “Level 2” fair value mortgage loans that were not salable into the prime mortgage market and therefore transferred them to “Level 3”.

	Quarter ended March 31, 2018
	Interest-only
	security payable
	(in thousands)
Liabilities:
Balance, December 31, 2017	$	7,070
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		—
Other factors		726
		726
Balance, March 31, 2018	$	7,796
Changes in fair value recognized during the quarter relating to liability outstanding at    March 31, 2018	$	726

	Quarter ended March 31, 2017
	Mortgage			Excess			Interest						Mortgage
	loans			servicing			rate lock			CRT			servicing
	at fair value			spread			commitments (1)			Agreements			rights			Total
	(in thousands)
Assets:
Balance, December 31, 2016	$	1,354,572		$	288,669		$	3,777		$	15,610		$	64,136		$	1,726,764
Purchases and issuances		—			—			17,762			—			62			17,824
Repayments and sales		(113,576	)		(14,632	)		—			(10,288	)		—			(138,496	)
Capitalization of interest		9,903			4,647			—			—			—			14,550
Capitalization of advances		6,349			—			—			—			—			6,349
ESS received pursuant to a recapture agreement    with PFSI		—			1,573			—			—			—			1,573
Servicing received as proceeds from sales of    mortgage loans		—			—			—			—			7,478			7,478
Changes in fair value included in income arising    from:
Changes in instrument-specific credit risk		4,970			—			—			—			—			4,970
Other factors		(1,754	)		(2,773	)		11,171			20,307			(1,993	)		24,958
		3,216			(2,773	)		11,171			20,307			(1,993	)		29,928
Transfers of mortgage loans to REO and real estate    held for investment		(30,911	)		—			—			—			—			(30,911	)
Transfers of interest rate lock commitments to    mortgage loans acquired for sale		—			—			(23,989	)		—			—			(23,989	)
Balance, March 31, 2017	$	1,229,553		$	277,484		$	8,721		$	25,629		$	69,683		$	1,611,070
Changes in fair value recognized during the quarter    relating to assets still held at March 31, 2017	$	485		$	(2,773	)	$	8,721		$	10,019		$	(1,993	)	$	14,459

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

	Quarter ended March 31, 2017
	Interest-only
	security payable
	(in thousands)
Liabilities:
Balance, December 31, 2016	$	4,114
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		—
Other factors		487
		487
Balance, March 31, 2017	$	4,601
Changes in fair value recognized during the quarter relating to liability outstanding at    March 31, 2017	$	487

The Company had transfers among the fair value levels arising from transfers of IRLCs to mortgage loans held for sale at fair value upon purchase of the respective mortgage loans.

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 held in a consolidated VIE, and distressed mortgage loans at fair value): 

	March 31, 2018							December 31, 2017
	Fair value		Principal amount due upon maturity		Difference			Fair value		Principal amount due upon maturity		Difference
	(in thousands)
Mortgage loans acquired for sale at fair value:
Current through 89 days delinquent:	$	1,114,282	$	1,084,121	$	30,161		$	1,268,121	$	1,221,125	$	46,996
90 or more days delinquent:
Not in foreclosure		606		725		(119	)		950		1,120		(170	)
In foreclosure		646		683		(37	)		444		496		(52	)
		1,252		1,408		(156	)		1,394		1,616		(222	)
	$	1,115,534	$	1,085,529	$	30,005		$	1,269,515	$	1,222,741	$	46,774
Mortgage loans at fair value:
Mortgage loans held in a consolidated VIE:
Current through 89 days delinquent:	$	311,102	$	312,730	$	(1,628	)	$	321,040	$	316,684	$	4,356
90 or more days delinquent:
Not in foreclosure		—		—		—			—		—		—
In foreclosure		—		—		—			—		—		—
		—		—		—			—		—		—
		311,102		312,730		(1,628	)		321,040		316,684		4,356
Distressed mortgage loans at fair value:
Current through 89 days delinquent:		263,263		334,185		(70,922	)		414,785		519,009		(104,224	)
90 or more days delinquent:
Not in foreclosure		97,971		155,224		(57,253	)		166,749		257,038		(90,289	)
In foreclosure		107,153		156,812		(49,659	)		186,899		267,911		(81,012	)
		205,124		312,036		(106,912	)		353,648		524,949		(171,301	)
		468,387		646,221		(177,834	)		768,433		1,043,958		(275,525	)
	$	779,489	$	958,951	$	(179,462	)	$	1,089,473	$	1,360,642	$	(271,169	)

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 March 31, 2018
	Net gain on						Net
	mortgage						mortgage
	loans			Net gain			loan		Net
	acquired			(loss) on			servicing		interest
	for sale			investments			fees		income		Total
	(in thousands)
Assets:
Short-term investments	$	—		$	—		$	—	$	—	$	—
Mortgage-backed securities at fair value		—			(22,397	)		—		440		(21,957	)
Mortgage loans acquired for sale at fair value		(23,678	)		—			—		—		(23,678	)
Mortgage loans at fair value		—			(15,530	)		—		1,774		(13,756	)
ESS at fair value		—			6,921			—		3,934		10,855
MSRs at fair value		—			—			25,973		—		25,973
	$	(23,678	)	$	(31,006	)	$	25,973	$	6,148	$	(22,563	)
Liabilities:
Interest-only security payable	$	—		$	726		$	—	$	—	$	726
Asset-backed financing of a VIE at fair value		—			6,183			—		339		6,522
	$	—		$	6,909		$	—	$	339	$	7,248

	Quarter ended March 31, 2017
	Net gain on					Net
	mortgage					mortgage
	loans		Net gain			loan			Net
	acquired		on			servicing			interest
	for sale		investments			fees			income			Total
	(in thousands)
Assets:
Short-term investments	$	—	$	—		$	—		$	—		$	—
Mortgage-backed securities at fair value		—		140			—			(1,318	)		(1,178	)
Mortgage loans acquired for sale at fair value		14,158		—			—			—			14,158
Mortgage loans at fair value		—		3,532			—			10,201			13,733
ESS at fair value		—		(2,773	)		—			4,647			1,874
MSRs at fair value		—		—			(1,993	)		—			(1,993	)
	$	14,158	$	899		$	(1,993	)	$	13,530		$	26,594
Liabilities:
Interest-only security payable	$	—	$	(487	)	$	—		$	—		$	(487	)
Asset-backed financing of a VIE at fair value		—		(24	)		—			(387	)		(411	)
	$	—	$	(511	)	$	—		$	(387	)	$	(898	)

Financial Statement Items Measured at Fair Value on a Nonrecurring Basis

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

	March 31, 2018
	Level 1		Level 2		Level 3		Total
	(in thousands)
Real estate acquired in settlement of loans	$	—	$	—	$	57,675	$	57,675
	$	—	$	—	$	57,675	$	57,675

	December 31, 2017
	Level 1		Level 2		Level 3		Total
	(in thousands)
Real estate acquired in settlement of loans	$	—	$	—	$	71,380	$	71,380
MSRs at lower of amortized cost or fair value		—		—		312,995		312,995
	$	—	$	—	$	384,375	$	384,375

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

	Quarter ended March 31,
	2018			2017
	(in thousands)
Real estate asset acquired in settlement of loans	$	(4,769	)	$	(7,060	)
MSRs at lower of amortized cost or fair value		—			1,504
	$	(4,769	)	$	(5,556	)

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. 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 REO acquisition in the case of acquisition in settlement of a mortgage 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 fair 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

Before the Company adopted fair value accounting for all of its existing classes of MSRs on January 1, 2018, the Company evaluated 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 stratified 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 were grouped into pools with 50 basis point interest rate ranges for fixed-rate mortgage loans with interest rates between 3.0% and 4.5% and a single pool for mortgage loans with interest rates below 3.0%. MSRs relating to adjustable rate mortgage loans with initial interest rates of 4.5% or less were evaluated in a single pool. If the fair value of MSRs in any of the interest rate pools was below the amortized cost of the MSRs, those MSRs were impaired.

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

Before the adoption of fair value accounting for all MSRs, the Manager periodically reviewed the various impairment strata to determine whether the fair value of the impaired MSRs in a given stratum was likely to recover. When the Manager deemed recovery of fair 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 was charged to the valuation allowance.

Fair Value of Financial Instruments Carried at Amortized Cost

Certain of the Company’s borrowings are carried at amortized cost. The Company’s Assets sold under agreements to repurchase, Mortgage loan participation purchase and sale agreements, Exchangeable senior notes and Assets sold to PennyMac Financial Services, Inc. under agreements to repurchase are classified as “Level 3” fair value liabilities due to the Company’s reliance on unobservable inputs to estimate these instruments’ fair values.

The Manager has concluded that the fair values of Assets sold under agreements to repurchase, Mortgage loan participation purchase and sale agreements and Assets sold to PennyMac Financial Services, Inc. under agreements to repurchase approximate the agreements’ carrying values due to the borrowing agreements’ short terms and variable interest rates. The fair value of the Exchangeable senior notes at March 31, 2018 and December 31, 2017 was $249.5 million and $244.9 million, respectively. The fair value of the Exchangeable senior notes is estimated using a broker indication of fair value.

Valuation Techniques and Inputs

Most of the Company’s assets, its Asset-backed financing of a VIE, Interest-only security payable and Derivative liabilities are carried at fair value with changes in fair value recognized in current period income. A substantial portion of these items are “Level 3” fair value assets and liabilities which require the use of unobservable inputs that are significant to the estimation of the fair values of the assets and liabilities. Unobservable inputs reflect the Manager’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” fair value assets and liabilities, the Manager has assigned responsibility for estimating fair value of these assets and liabilities 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” fair value assets and liabilities other than IRLCs and maintaining its valuation policies and procedures.

With respect to the Company’s non-IRLC “Level 3” fair value assets and liabilities, the FAV group reports to the Manager’s valuation committee, which oversees and approves the valuations. The FAV group monitors the models used for valuation of the Company’s non-IRLC “Level 3” fair value assets and liabilities, including the models’ performance versus actual results, and reports those results to the Manager’s valuation committee. The Manager’s valuation committee includes PFSI’s executive chairman, chief executive, chief financial, chief risk and deputy chief financial officers.

The FAV group is responsible for reporting to the Manager’s valuation committee on the changes in the valuation of the non-IRLC “Level 3” fair value assets and liabilities, 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.

The fair value of the Company’s IRLCs is developed by the Manager’s Capital Markets Risk Management staff and is reviewed by the Manager’s Capital Markets Operations group.

The following is a description of the techniques and inputs used in estimating the fair values of “Level 2” and “Level 3” fair value assets and liabilities:

Mortgage-Backed Securities

The Company categorizes its current holdings of MBS as “Level 2” fair value assets. Fair value of these MBS is established based on quoted market prices for the Company’s MBS or similar securities. Changes in the fair value of MBS are included in Net gain (loss) on investments in the consolidated statements of income.

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 most 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” fair value assets. The fair values of mortgage loans acquired for sale at fair value are established using their quoted market or contracted price or market price equivalent. For the mortgage loans at fair value held in a VIE, the quoted 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.

• Mortgage loans that are not saleable into active markets, comprised primarily of distressed mortgage loans, are categorized as “Level 3” fair value assets 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, discount rates and forecasts of future interest rates, home prices, prepayment speeds, default speeds, loss severities or contracted selling price when applicable.

The valuation process for “Level 3” fair value mortgage loans 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 inputs such as interest rates, home prices, and delinquency status to assess the reasonableness of changes in the mortgage loan valuation.

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 mortgage loan’s delinquency status and performance 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 mortgage loans’ fair value measurement. Increases in home price projections are generally accompanied by an increase in voluntary prepayment speeds. Changes in the fair value of mortgage loans at fair value are included in Net gain (loss) on investments in the consolidated statements of income.

Following is a quantitative summary of key inputs used in the valuation of mortgage loans at fair value (excluding loans held in a VIE):

Key inputs	March 31, 2018	December 31, 2017
Discount rate
Range	3.2% – 15.0%	2.9% – 15.0%
Weighted average	6.7%	6.9%
Twelve-month projected housing price index change
Range	2.2% – 3.3%	3.6% – 4.6%
Weighted average	3.1%	4.4%
Prepayment speed (1)
Range	3.1% – 6.6%	3.2% – 11.0%
Weighted average	4.2%	4.2%
Total prepayment speed (2)
Range	10.6% – 22.8%	10.8% – 23.8%
Weighted average	16.2%	16.5%

(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 PFSI

The Company categorizes ESS as a “Level 3” fair value asset. 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 pricing spread (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.

Changes in the fair value of ESS are included in Net gain (loss) on investments in the consolidated statements of income.

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

Key inputs	March 31, 2018		December 31, 2017
UPB of underlying mortgage loans (in thousands)	$	26,236,839	$	27,217,199
Average servicing fee rate (in basis points)		34		34
Average ESS rate (in basis points)		19		19
Pricing spread (1)
Range	3.6% - 4.1%		3.8% - 4.3%
Weighted average	3.9%		4.1%
Annual total prepayment speed (2)
Range	8.0% - 52.4%		8.4% - 41.4%
Weighted average	9.9%		10.8%
Life (in years)
Range	1.1 - 7.8		1.4 - 7.7
Weighted average		6.8		6.5

(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

Interest Rate Lock Commitments

The Company categorizes IRLCs as “Level 3” fair value assets and liabilities. 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 loan and the probability that the mortgage loan will be purchased under the commitment (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 fair value, but also increase the pull-through rate for the mortgage loan principal and interest payment cash flow component that has decreased in fair value. Changes in fair value of IRLCs are included in Net gain on mortgage loans acquired for sale in the consolidated statements of income.

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

Key inputs	March 31, 2018		December 31, 2017
Pull-through rate
Range	57.5% – 100%		58.0% - 100%
Weighted average	88.0%		90.3%
MSR value expressed as
Servicing fee multiple
Range	2.6 - 5.9		2.1 - 5.8
Weighted average		4.7		4.9
Percentage of UPB
Range	0.0% – 2.6%		0.0% - 2.4%
Weighted average	1.2%		1.3%

CRT Agreements

The fair value of CRT Agreements is established based on whether the aggregation period has been completed and the CRT Agreements have been securitized. For securitized CRT Agreements, fair value is based on indications of fair value provided to the Company by nonaffiliated brokers for the certificates representing the beneficial deposits securing the CRT Agreements, the Recourse Obligation and the IO ownership interest in these items. Fair value of the CRT derivative is derived by deducting the balance of the Deposits securing CRT Agreements from the indication of fair value provided by the nonaffiliated brokers. For CRT Agreements that have not been securitized, fair value is estimated using a discounted cash flow analysis. The Company classifies these derivatives as “Level 3” fair value assets. The significant unobservable inputs into the valuation of these derivatives are the discount rate and voluntary and involuntary prepayment rates of the underlying mortgage loans. Changes in fair value of CRT Agreements are included in Net gain (loss) on investments.

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

Key inputs	March 31, 2018	December 31, 2017
Discount rate
Range	5.6% – 6.6%	5.1% – 6.2%
Weighted average	6.1%	5.6%
Voluntary Prepayment speed (1)
Range	8.6% – 10.4%	12.1% – 15.0%
Weighted average	9.1%	13.0%
Involuntary prepayment speed (2)
Range	0.3% – 0.3%	0.3% – 0.3%
Weighted average	0.3%	0.3%

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

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

Repurchase Agreement Derivatives

The Company has a master repurchase agreement that includes incentives for financing mortgage loans approved for satisfying certain consumer relief characteristics. These incentives are classified as embedded derivatives for financial reporting purposes and are accounted for separate from the related repurchase agreements. The Company classifies these derivatives as “Level 3” fair value assets. The significant unobservable input into the valuation of these derivative assets is the Company’s ratio of derivative value to outstanding receivable due to the time value of money and the expected approval rate of the mortgage loans financed under the master repurchase agreement. The ratio included in the Company’s fair value estimate was 97% at both March 31, 2018, and December 31, 2017.

Hedging Derivatives

Fair values of derivative financial instruments based on exchange traded market prices are categorized by the Company as “Level 1” fair value assets and liabilities; fair values of derivative financial instruments based on observable interest rates, volatilities and prices in the MBS market are categorized by the Company as “Level 2” fair value assets and liabilities. Changes in the fair value of hedging derivatives are included in Net gain on mortgage loans acquired for sale, Net gain (loss) on investments, or Net mortgage loan servicing fees, as applicable, in the consolidated statements of income.

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” fair value asset. 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. The Manager’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 fair value. Changes in the fair value of REO are included in Results of real estate acquired in settlement of loans in the consolidated statements of income.

Mortgage Servicing Rights

MSRs are categorized as “Level 3” fair value assets. 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 the applicable pricing spread, prepayment and default rates of the underlying mortgage loans, 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. Recognized changes in the fair value of MSRs are included in Net mortgage loan servicing fees in the consolidated statements of income.

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 expected life of the underlying mortgage loans, thereby reducing the cash flows expected to accrue to the MSRs. Reductions in the fair value of MSRs affect income primarily through change in fair value and change in impairment. Through December 31, 2017, the Company accounted for certain of its MSRs using the amortization method. Beginning January 1, 2018, the Company accounts for all MSRs at fair value prospectively.

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

	Quarter ended March 31,
	2018			2017
	Fair value			Amortized cost		Fair value
	(MSR recognized and UPB of underlying mortgage loan amounts in thousands)
MSR recognized	$		66,546	$	51,210	$	7,478
Key inputs
UPB of underlying mortgage loans	$		5,114,741	$	4,092,267	$	660,586
Weighted-average annual servicing fee rate    (in basis points)		26		25		25
Pricing spread (1)
Range		7.4% – 12.6%		7.6% – 12.6%		7.6% – 7.6%
Weighted average		7.5%		7.6%		7.6%
Annual total prepayment speed (2)
Range		3.2% – 22.8%		3.2% – 28.7%		7.9% – 20.7%
Weighted average		8.1%		7.5%		10.9%
Life (in years)
Range		3.5 - 11.9		2.7 – 11.9		4.0 – 8.5
Weighted average		8.4			8.3		7.2
Annual per-loan cost of servicing
Range		$79 - $79		$79 – $79		$79 – $79
Weighted average		$79		$79		$79

(1) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs.

(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: 

	March 31, 2018			December 31, 2017
	Fair value			Amortized cost		Fair value
	(Carrying value, UPB of underlying mortgage loans and effect on fair value amounts in thousands)
Carrying value	$		957,013	$	753,322	$	91,459
Key inputs:
UPB of underlying mortgage loans	$		75,261,574	$	63,853,606	$	8,273,696
Weighted-average annual servicing fee rate    (in basis points)		25			25		25
Weighted-average note interest rate		4.0%		3.9%		4.7%
Pricing spread (1)
Range		7.4% – 13.1%		7.6% – 13.1%		7.6% – 12.6%
Weighted average		7.4%		7.6%		7.6%
Effect on fair value of (2):
5% adverse change		$(14,450)		$(11,848)		$(1,347)
10% adverse change		$(28,487)		$(23,352)		$(2,655)
20% adverse change		$(55,385)		$(45,379)		$(5,162)
Prepayment speed (3)
Range		6.5% – 27.2%		7.1% – 27.1%		7.3% – 20.9%
Weighted average		8.0%		8.4%		11.1%
Life (in years)
Range		2.9 - 8.3		2.9 - 8.0		3.1 - 6.8
Weighted average			7.9		7.6		6.8
Effect on fair value of (2):
5% adverse change		$(13,939)		$(12,267)		$(1,954)
10% adverse change		$(27,417)		$(24,120)		$(3,827)
20% adverse change		$(53,083)		$(46,668)		$(7,352)
Annual per-loan cost of servicing
Range		$77 - $79		$78 – $79		$77 – $79
Weighted average		$79		$79		$79
Effect on fair value of (2):
5% adverse change		$(6,962)		$(5,721)		$(744)
10% adverse change		$(13,925)		$(11,441)		$(1,488)
20% adverse change		$(27,849)		$(22,883)		$(2,976)

(1) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs.

(2) For MSRs carried at fair value, an adverse change in one of the above-mentioned key inputs is expected to result in a recognized reduction in fair value which will be recorded in income. For MSRs carried at lower of amortized cost or fair value, an adverse change in one of the above-mentioned key inputs may have resulted in recognition of MSR impairment. The extent of the recognized MSR impairment depended on the relationship of fair value to the carrying value of such MSRs.

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

The preceding sensitivity analyses are limited in that they were performed as of a particular point in time; only account for the estimated effect of 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 events, 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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Mortgage Loans Acquired for Sale at Fair Value

3 Months Ended

Mar. 31, 2018

Mortgage Loans On Real Estate [Abstract]

Mortgage Loans Acquired for Sale at Fair Value

Note 7—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:

Loan type	March 31, 2018		December 31, 2017
	(in thousands)
Conventional:
Agency-eligible	$	837,994	$	971,910
Held for sale to PLS — Government insured or guaranteed		259,673		279,571
Commercial real estate		10,177		9,898
Repurchased pursuant to representations and warranties		7,690		8,136
	$	1,115,534	$	1,269,515
Mortgage loans pledged to secure:
Assets sold under agreements to repurchase	$	1,097,266	$	1,201,992
Mortgage loan participation purchase and sale agreements		—		47,285
	$	1,097,266	$	1,249,277

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 sellers to PLS, which is a Ginnie Mae-approved issuer, and earns a sourcing fee ranging from two to three and one-half basis points, generally based on the average number of calendar days that mortgage loans are held prior to purchase by PLS.

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Mortgage Loans at Fair Value

3 Months Ended

Mar. 31, 2018

Text Block [Abstract]

Mortgage Loans at Fair Value

Note 8—Mortgage Loans at Fair Value

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

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

	March 31, 2018				December 31, 2017
Loan type	Fair value		Unpaid principal balance		Fair value		Unpaid principal balance
	(in thousands)
Distressed mortgage loans:
Nonperforming mortgage loans	$	205,124	$	312,036	$	353,648	$	524,949
Performing mortgage loans:
Interest rate step-up		137,451		181,412		189,724		242,335
Fixed interest rate		102,605		128,737		186,929		236,840
Adjustable-rate/hybrid		23,207		24,036		38,132		39,834
		263,263		334,185		414,785		519,009
		468,387		646,221		768,433		1,043,958
Fixed interest rate jumbo mortgage loans held in a VIE		311,102		312,730		321,040		316,684
	$	779,489	$	958,951	$	1,089,473	$	1,360,642
Mortgage loans at fair value pledged to secure:
Assets sold under agreements to repurchase	$	459,809			$	760,853
Asset-backed financing of a VIE at fair value		311,102				321,040
	$	770,911			$	1,081,893

Following is a summary of certain concentrations of credit risk in the portfolio of distressed mortgage loans at fair value:

Concentration	March 31, 2018	December 31, 2017
	(percentages are of fair value)
Portion of mortgage loans originated between 2005 and 2007	73%	73%
Mortgage loans with unpaid-principal balance-to-current    -property-value in excess of 100%	38%	38%
States contributing 5% or more of mortgage loans	New York California New Jersey Florida Massachusetts	New York California New Jersey Florida Massachusetts

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Derivative Activities

3 Months Ended

Mar. 31, 2018

Derivative Instruments And Hedging Activities Disclosure [Abstract]

Derivative Activities

Note 9—Derivative Activities

The Company holds and issues derivative financial instruments in connection with its operating activities. Derivative financial instruments are created as a result of certain of the Company’s operations and the Company also enters into derivative transactions as part of its interest rate risk management activities.

Derivative financial instruments created as a result of the Company’s operations include:

• IRLCs that are created when the Company commits to purchase mortgage loans acquired for sale;

• CRT Agreements whereby the Company retains a Recourse Obligation relating to certain mortgage loans it sells into Fannie Mae guaranteed securitizations and an IO ownership interest in such mortgage loans; and

• Derivatives that are embedded in a master repurchase agreement that provides for the Company to receive interest expense offsets if it finances mortgage loans approved as satisfying certain consumer credit relief characteristics under the master repurchase agreement.

The Company engages in interest rate risk management activities in an effort to reduce the variability of earnings caused by the effects of changes in interest rates on the fair value of certain of its assets and liabilities. The Company is exposed to price risk relative to the IRLCs it issues to correspondent sellers and to the mortgage loans it purchases as a result of issuing the IRLCs. The Company bears price risk from the time an IRLC is issued to a correspondent seller until the time the purchased mortgage loan is sold. The Company is exposed to loss if market mortgage interest rates increase, because market interest rate increases generally cause the fair value of the IRLC or mortgage loan acquired for sale to decrease. The Company is exposed to losses related to its investment in MSRs if market mortgage interest rates decrease, because market interest rate decreases generally encourage mortgage refinancing activity, which reduces the expected life of the mortgage loans underlying the MSRs, causing the fair value of MSRs to decrease.

To manage the price risk resulting from interest rate risk, the Company uses derivative financial instruments 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, inventory of mortgage loans acquired for sale, mortgage loans held in a VIE, IRLCs and MSRs.

The Company records all derivative financial instruments at fair value and records changes in fair value in current period income.

Derivative Notional Amounts and Fair Value of Derivatives

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

	March 31, 2018								December 31, 2017
			Fair value								Fair value
	Notional		Derivative			Derivative			Notional		Derivative			Derivative
Instrument	amount		assets			liabilities			amount		assets			liabilities
	(in thousands)
Derivatives not designated as hedging    instruments:
Not subject to master netting arrangements:
Interest rate lock commitments		1,067,009	$	3,220		$	511			1,250,803	$	4,859		$	227
CRT Agreements		29,726,369		103,995			—			26,845,392		98,640			—
Repurchase agreement derivatives				5,892			—					3,748			—
Subject to master netting agreements─used     for hedging purposes:
Forward purchase contracts		2,510,700		11,400			1			1,996,235		4,343			248
Forward sale contracts		2,297,802		6			8,345			2,565,271		387			2,830
MBS put options		1,750,000		4,086			—			2,375,000		3,170			—
Call options on interest rate futures		150,000		492			—			—		—			—
Put options on interest rate futures		275,000		367			—			550,000		656			—
Swap futures		—		—			—			275,000		—			—
Bond futures		450,000		—			—			—		—			—
Eurodollar future contracts		847,664		—			—			937,000		—			—
Total derivative instruments before netting				129,458			8,857					115,803			3,305
Netting				(6,940	)		(5,221	)				(1,922	)		(1,999	)
			$	122,518		$	3,636				$	113,881		$	1,306
Margin deposits (received from) placed with    derivatives counterparties included in Other    assets (Accounts payable and accrued liabilities)			$	(1,718	)						$	76
Derivative assets pledged to secure assets sold     under agreements to repurchase			$	24,423							$	26,058

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

		Quarter ended March 31, 2018
		Amount,							Amount,
		beginning				Dispositions/			end
Instrument		of quarter		Additions		expirations			of quarter
	(in thousands)
Forward purchase contracts			1,996,235		19,833,104		(19,318,639	)		2,510,700
Forward sales contracts			2,565,271		24,410,334		(24,677,803	)		2,297,802
MBS put options			2,375,000		4,125,000		(4,750,000	)		1,750,000
Call options on interest rate futures			—		150,000		—			150,000
Put options on interest rate futures			550,000		3,325,000		(3,600,000	)		275,000
Swap futures			275,000		—		(275,000	)		—
Bond futures			—		450,000		—			450,000
Eurodollar future sale contracts			937,000		114,597		(203,933	)		847,664

	Quarter ended March 31, 2017
	Amount,							Amount,
	beginning				Dispositions/			end
Instrument	of quarter		Additions		expirations			of quarter
	(in thousands)
Forward purchase contracts		4,840,707		18,906,029		(19,631,577	)		4,115,159
Forward sales contracts		6,148,242		24,225,103		(24,699,931	)		5,673,414
MBS put options		925,000		1,400,000		(1,375,000	)		950,000
MBS call options		750,000		—		(750,000	)		—
Call options on interest rate futures		200,000		62,500		—			262,500
Put options on interest rate futures		550,000		1,750,000		(1,800,000	)		500,000
Swap futures		150,000		300,000		(300,000	)		150,000
Eurodollar future sale contracts		1,351,000		101,000		(212,000	)		1,240,000
Treasury future buy contracts		—		49,300		(49,300	)		—
Treasury future sale contracts		—		49,300		(49,300	)		—

Netting of Financial Instruments

The Company has elected to net derivative asset and liability positions, and cash collateral placed with or received from 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, CRT Agreement derivatives and repurchase agreement derivatives. As of March 31, 2018 and December 31, 2017, 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:

	March 31, 2018								December 31, 2017
	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)
Derivative assets:
Not subject to master netting arrangements:
Interest rate lock commitments	$	3,220	$	—		$	3,220		$	4,859	$	—		$	4,859
CRT Agreement derivatives		103,995		—			103,995			98,640		—			98,640
Repurchase agreement derivatives		5,892		—			5,892			3,748		—			3,748
		113,107		—			113,107			107,247		—			107,247
Subject to master netting arrangements:
Forward purchase contracts		11,400		—			11,400			4,343		—			4,343
Forward sale contracts		6		—			6			387		—			387
MBS put options		4,086		—			4,086			3,170		—			3,170
Call options on interest rate futures		492		—			492			—		—			—
Put options on interest rate futures		367		—			367			656		—			656
Netting		—		(6,940	)		(6,940	)		—		(1,922	)		(1,922	)
		16,351		(6,940	)		9,411			8,556		(1,922	)		6,634
	$	129,458	$	(6,940	)	$	122,518		$	115,803	$	(1,922	)	$	113,881

Derivative Assets, Financial Instruments 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 setoff accounting:

	March 31, 2018								December 31, 2017
	Net amount of assets presented in the		Gross amounts not offset in the consolidated balance sheet						Net amount of assets presented in the		Gross amounts not offset in the consolidated balance sheet
	consolidated balance sheet		Financial instruments		Cash collateral received		Net amount		consolidated balance sheet		Financial instruments		Cash collateral received		Net amount
	(in thousands)
CRT Agreements	$	103,995	$	—	$	—	$	103,995	$	98,640	$	—	$	—	$	98,640
Interest rate lock commitments		3,220		—		—		3,220		4,859		—		—		4,859
J.P. Morgan Securities LLC		6,294		—		—		6,294		2,020		—		—		2,020
Deutsche Bank Securities LLC		5,892		—		—		5,892		3,748		—		—		3,748
Federal National Mortgage Association		1,073		—		—		1,073		1,606		—		—		1,606
RJ O’Brien & Associates, LLC		859		—		—		859		656		—		—		656
Barclays Capital Inc.		324		—		—		324		—		—		—		—
Credit Suisse Securities (USA) LLC		227		—		—		227		809		—		—		809
Mitsubishi UFJ Sec		155		—		—		155		193		—		—		193
RBC Capital Markets, L.P.		151		—		—		151		—		—		—		—
KGS Alpha Capital Markets LP		131		—		—		131		—		—		—		—
PNC Capital Markets LLC		100		—		—		100		—		—		—		—
Wells Fargo Securities, LLC		90		—		—		90		146		—		—		146
Morgan Stanley & Co. LLC		—		—		—		—		457		—		—		457
Citigroup Global Markets Inc.		—		—		—		—		429		—		—		429
Jefferies & Company, Inc.		—		—		—		—		160		—		—		160
Other		7		—		—		7		158		—		—		158
	$	122,518	$	—	$	—	$	122,518	$	113,881	$	—	$	—	$	113,881

Offsetting of Derivative Liabilities and Financial Liabilities

Following is a summary of net derivative liabilities and assets sold under agreements to repurchase. Assets sold under agreements to repurchase do not qualify for setoff accounting.

	March 31, 2018									December 31, 2017
	Gross amounts of recognized liabilities			Gross amounts offset in the consolidated balance sheet			Net amounts of liabilities presented in the consolidated balance sheet			Gross amounts of recognized liabilities			Gross amounts offset in the consolidated balance sheet			Net amounts of liabilities presented in the consolidated balance sheet
	(in thousands)
Derivative liabilities:
Not subject to master netting arrangements:
Interest rate lock commitments	$	511		$	—		$	511		$	227		$	—		$	227
		511			—			511			227			—			227
Subject to master netting arrangements:
Forward purchase contracts		1			—			1			248			—			248
Forward sales contracts		8,345			—			8,345			2,830			—			2,830
Netting		—			(5,221	)		(5,221	)		—			(1,999	)		(1,999	)
		8,346			(5,221	)		3,125			3,078			(1,999	)		1,079
		8,857			(5,221	)		3,636			3,305			(1,999	)		1,306
Assets sold under agreements to repurchase:
UPB		3,409,440			—			3,409,440			3,182,504			—			3,182,504
Unamortized debt issuance costs		(1,157	)		—			(1,157	)		(1,618	)		—			(1,618	)
		3,408,283			—			3,408,283			3,180,886			—			3,180,886
	$	3,417,140		$	(5,221	)	$	3,411,919		$	3,184,191		$	(1,999	)	$	3,182,192

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 setoff accounting. All assets sold under agreements to repurchase represent sufficient collateral or exceed the liability amount recorded on the consolidated balance sheet.

	March 31, 2018										December 31, 2017
	Net amount of liabilities presented in the			Gross amounts not offset in the consolidated balance sheet							Net amount of liabilities presented in the			Gross amounts not offset in the consolidated balance sheet
	consolidated balance sheet			Financial instruments			Cash collateral pledged		Net amount		consolidated balance sheet			Financial instruments			Cash collateral pledged		Net amount
	(in thousands)
Interest rate lock commitments	$	511		$	—		$	—	$	511	$	227		$	—		$	—	$	227
Bank of America, N.A.		1,110,861			(1,109,449	)		—		1,412		839,057			(838,771	)		—		286
Credit Suisse Securities (USA) LLC		917,667			(917,667	)		—		—		845,567			(845,567	)		—		—
J.P. Morgan Securities LLC		274,748			(274,748	)		—		—		373,186			(373,186	)		—		—
Deutsche Bank Securities LLC		266,238			(266,238	)		—		—		374,526			(374,526	)		—		—
Daiwa Capital Markets		264,386			(264,077	)		—		309		153,833			(153,730	)		—		103
Morgan Stanley & Co. LLC		231,591			(231,227	)		—		364		164,530			(164,530	)		—		—
Citigroup Global Markets Inc.		159,593			(159,593	)		—		—		235,541			(235,319	)		—		222
RBC Capital Markets, L.P.		93,872			(93,872	)		—		—		92,014			(91,805	)		—		209
Wells Fargo Securities, LLC		49,216			(49,216	)		—		—		50,360			(50,360	)		—		—
BNP Paribas		43,612			(43,353	)		—		259		45,411			(45,411	)		—		—
Goldman Sachs		549			—			—		549		164			—			—		164
Barclays Capital Inc.		—			—			—		—		9,374			(9,299	)		—		75
Other		232			—			—		232		20			—			—		20
Unamortized debt issuance costs		(1,157	)		1,157			—		—		(1,618	)		1,618			—		—
	$	3,411,919		$	(3,408,283	)	$	—	$	3,636	$	3,182,192		$	(3,180,886	)	$	—	$	1,306

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

		Quarter ended March 31,
Derivative activity	Income statement line	2018			2017
		(in thousands)
Interest rate lock commitments	Net gain on mortgage loans     acquired for sale	$	(14,858	)	$	28,933
Hedged item:
Interest rate lock commitments and     mortgage loans acquired for sale	Net gain on mortgage loans     acquired for sale	$	32,810		$	(3,592	)
Mortgage servicing rights	Net mortgage loan servicing fees	$	(20,848	)	$	(8,698	)
Fixed-rate assets and LIBOR- indexed     repurchase agreements	Net gain (loss) on investments	$	1,460		$	(4,144	)
CRT agreements	Net gain (loss) on investments	$	24,684		$	20,307
Repurchase agreement derivatives	Interest expense	$	(12	)	$	—

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Real Estate Acquired in Settlement of Loans

3 Months Ended

Mar. 31, 2018

Banking And Thrift [Abstract]

Real Estate Acquired in Settlement of Loans

Note 10—Real Estate Acquired in Settlement of Loans

Following is a summary of financial information relating to REO:

	Quarter ended March 31,
	2018			2017
	(in thousands)
Balance at beginning of quarter	$	162,865		$	274,069
Transfers from mortgage loans at fair value and advances		16,363			24,876
Transfer of real estate acquired in settlement of    mortgage loans to real estate held for investment		(2,059	)		(6,644	)
Results of REO:
Valuation adjustments, net		(5,359	)		(8,175	)
Gain on sale, net		2,133			3,929
		(3,226	)		(4,246	)
Proceeds from sales		(32,437	)		(63,224	)
Balance at end of quarter	$	141,506		$	224,831
	March 31, 2018			December 31, 2017
	(in thousands)
REO pledged to secure assets sold under agreements to repurchase	$	67,720		$	76,037
REO held in a consolidated subsidiary whose stock    is pledged to secure financings of such properties		37,764			48,495
	$	105,484		$	124,532

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Mortgage Servicing Rights

3 Months Ended

Mar. 31, 2018

Text Block [Abstract]

Mortgage Servicing Rights

Note 11—Mortgage Servicing Rights

Carried at Fair Value:

Following is a summary of MSRs carried at fair value: 

	Quarter ended March 31,
	2018			2017
	(in thousands)
Balance at beginning of quarter	$	91,459		$	64,136
Transfer of mortgage servicing rights from mortgage servicing    rights carried at lower of amortized cost or fair value pursuant    to a change in accounting principle		773,035			—
Balance after reclassification		864,494			64,136
Purchases		—			62
MSRs resulting from mortgage loan sales		66,546			7,478
Changes in fair value:
Due to changes in valuation inputs used in valuation model (1)		52,611			32
Other changes in fair value (2)		(26,638	)		(2,025	)
		25,973			(1,993	)
Balance at end of quarter	$	957,013		$	69,683
	March 31, 2018			December 31, 2017
	(in thousands)
MSRs carried at fair value pledged to secure:
Assets sold under agreements to repurchase	$	745,965		$	66,813
Notes payable		195,721			23,471
	$	941,686		$	90,284

(1) Principally reflects changes in pricing spread (discount rate) and prepayment speed inputs, primarily due to changes in market 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 March 31,
	2018			2017
	(in thousands)
Amortized Cost:
Balance at beginning of quarter	$	772,870		$	606,103
Transfer of mortgage servicing right to mortgage servicing rights    carried at fair value pursuant to a change in accounting principle		(772,870	)		—
Balance after reclassification		—			606,103
MSRs resulting from mortgage loan sales		—			51,210
Amortization		—			(17,858	)
Balance at end of quarter		—			639,455
Valuation Allowance:
Balance at beginning of quarter		(19,548	)		(13,672	)
Reduction resulting from change in accounting principle		19,548			—
Balance after reclassification		—			(13,672	)
Reversal of impairment valuation allowance		—			1,504
Balance at end of quarter		—			(12,168	)
MSRs, net	$	—		$	627,287
Fair value at beginning of quarter				$	626,334
Fair value at end of quarter				$	662,584
				December 31, 2017
				(in thousands)
MSRs carried at lower of cost or fair value pledged to secure:
Assets sold under agreements to repurchase				$	584,762
Notes payable					156,846
				$	741,608

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

	Quarter ended March 31,
	2018		2017
	(in thousands)
Contractually-specified servicing fees	$	48,732	$	37,281
Ancillary and other fees:
Late charges		214		187
Other		1,489		1,037
	$	50,435	$	38,505

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Assets Sold Under Agreements to Repurchase

3 Months Ended

Mar. 31, 2018

Brokers And Dealers [Abstract]

Assets Sold Under Agreements to Repurchase

Note 12—Assets Sold Under Agreements to Repurchase

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

	Quarter ended March 31,
	2018			2017
	(dollars in thousands)
Weighted-average interest rate (1)		3.20	%		2.57	%
Average balance	$	3,077,914		$	3,267,864
Total interest expense	$	24,507		$	22,182
Maximum daily amount outstanding	$	3,655,250		$	4,330,825

(1) Excludes the effect of amortization of net issuance premiums of $169,000 for the quarter ended March 31, 2018 and net debt issuance costs of $2.3 million for the quarter ended March 31, 2017.

	March 31, 2018			December 31, 2017
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	3,409,440		$	3,182,504
Unamortized debt issuance costs and premiums, net		(1,157	)		(1,618	)
	$	3,408,283		$	3,180,886
Weighted-average interest rate		2.80	%		2.77	%
Available borrowing capacity:
Committed	$	767,553		$	749,650
Uncommitted		1,673,718			2,030,607
	$	2,441,271		$	2,780,257
Margin deposits placed with counterparties included in Other assets	$	40,114		$	28,154
Assets securing agreements to repurchase:
Mortgage-backed securities	$	1,436,456		$	989,461
Mortgage loans acquired for sale at fair value	$	1,097,266		$	1,201,992
Mortgage loans at fair value	$	459,809		$	760,853
CRT Agreements:
Deposits securing CRT agreements	$	392,453		$	400,778
Derivative assets	$	24,423		$	26,058
Real estate acquired in settlement of loans	$	105,484		$	124,532
Real estate held for investment	$	31,899		$	31,128
MSRs	$	745,965		$	651,575

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

Remaining maturity at March 31, 2018	Contractual balance
	(in thousands)
Within 30 days	$	1,373,877
Over 30 to 90 days		1,177,854
Over 90 days to 180 days		231,227
Over 180 days to 1 year		441,442
Over one year to two years		185,040
	$	3,409,440
Weighted average maturity (in months)		3.8

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

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 pledged asset and counterparty below as of March 31, 2018:

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

Counterparty	Amountat risk		Weighted-average maturity	Facility maturity
	(in thousands)
Credit Suisse First Boston Mortgage Capital LLC	$	468,728	June 18, 2018	April 27, 2018
Bank of America, N.A.	$	10,624	April 14, 2018	May 25, 2018
Citibank, N.A.	$	60,502	April 22, 2018	May 1, 2018
JPMorgan Chase & Co.	$	36,428	March 14, 2019	March 14, 2019
JPMorgan Chase & Co.	$	3,420	May 18, 2018	October 12, 2018
Morgan Stanley	$	11,132	June 17, 2018	August 24, 2018
Deutsche Bank	$	13,282	June 20, 2018	September 30, 2018

Securities sold under agreements to repurchase

Counterparty	Amount at risk		Weighted average maturity
	(in thousands)
Bank of America, N.A.	$	46,492	May 2, 2018
JPMorgan Chase & Co.	$	8,745	April 8, 2018
Daiwa Capital Markets America Inc.	$	18,151	April 20, 2018
Royal Bank of Canada	$	7,640	April 16, 2018
Wells Fargo, N.A.	$	2,670	April 12, 2018

CRT Agreements sold under agreements to repurchase

Counterparty	Amount at risk		Weighted average maturity
	(in thousands)
Credit Suisse First Boston Mortgage Capital LLC	$	51,226	April 16, 2018
Bank of America, N.A.	$	27,592	April 16, 2018
BNP Paribas Corporate & Institutional Banking	$	18,160	April 9, 2018

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Mortgage Loan Participation Purchase and Sale Agreements

3 Months Ended

Mar. 31, 2018

Text Block [Abstract]

Mortgage Loan Participation Purchase and Sale Agreements

Note 13—Mortgage Loan Participation Purchase and Sale Agreements

Certain borrowing facilities secured by mortgage loans acquired for sale are in the form of mortgage loan participation purchase and sale agreements. 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 a lender pending the securitization of such mortgage loans and the sale of the resulting security. The commitment between the Company and a nonaffiliate 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. The holdback amount 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.

Mortgage loan participation purchase and sale agreements are summarized below:

	Quarter ended March 31,
	2018			2017
	(dollars in thousands)
Weighted-average interest rate (1)		2.49	%		2.08	%
Average balance	$	45,561		$	64,498
Total interest expense	$	314		$	366
Maximum daily amount outstanding	$	77,407		$	97,404

(1) Excludes the effect of amortization of debt issuance costs of $31,000 for the quarter ended March 31, 2017. There was no amortization of debt issuance costs during the quarter ended March 31, 2018.

	March 31, 2018		December 31, 2017
	(dollars inthousands)
Carrying value:
Amount outstanding	$	—	$	44,550
Unamortized debt issuance costs		—		(62	)
	$	—	$	44,488
Weighted-average interest rate		—		2.82	%
Mortgage loans acquired for sale pledged to secure    mortgage loan participation purchase and sale agreements	$	—	$	47,285

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Notes Payable

3 Months Ended

Mar. 31, 2018

Text Block [Abstract]

Notes Payable

Note 14—Notes Payable

On March 24, 2017, the Company, through PMC and PMH, entered into a second Amended and Restated Loan and Security Agreement with Citibank, N.A., pursuant to which PMC and PMH finance certain MSRs (inclusive of any related excess servicing spread and/or junior excess strips arising therefrom and that may be transferred from PMC to PMH from time to time) relating to mortgage loans pooled into Fannie Mae securities (collectively, the “Fannie MSRs”) in an aggregate loan amount not to exceed $400 million, all of which is committed. The note was redeemed and terminated in December 2017.

On March 24, 2017, the Company, through PMC and PMH, entered into a Loan and Security Agreement with Barclays Bank PLC (“Barclays”), pursuant to which PMC and PMH may finance certain mortgage servicing rights (inclusive of any related excess servicing spread arising therefrom and that may be transferred from PMC to PMH from time to time) relating to mortgage loans pooled into Freddie Mac securities (collectively, the “Freddie MSRs”), in an aggregate loan amount not to exceed $170 million, all of which is committed. The note matured and was repaid on February 1, 2018.

On February 1, 2018, the Company, through PMC and PMH, entered into a Loan and Security Agreement with Credit Suisse First Boston Mortgage Capital LLC (“Credit Suisse”), pursuant to which PMC and PMH may finance certain mortgage servicing rights (inclusive of any related excess servicing spread arising therefrom and that may be transferred from PMC to PMH from time to time) relating to mortgage loans pooled into Freddie Mac securities (collectively, the “Freddie MSRs”), in an aggregate loan amount not to exceed $175 million, all of which is committed. The note matures on February 1, 2020.

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

	Quarter ended March 31,
	2018		2017
	(dollarsin thousands)
Weighted-average interest rate (1)		—		5.13	%
Average balance	$	—	$	260,384
Total interest expense	$	—	$	4,305
Maximum daily amount outstanding	$	—	$	275,106

(1) Excludes the effect of amortization of debt issuance costs of $998,000 for the quarter ended March 31, 2018.

	March 31, 2018		December 31, 2017
	(dollars in thousands)
Carrying value:
Amount outstanding	$	—	$	—
Unamortized debt issuance costs		—		—
	$	—	$	—
Weighted-average interest rate		—		—
MSRs pledged to secure notes payable	$	195,721	$	180,317

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

3 Months Ended

Mar. 31, 2018

Text Block [Abstract]

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

Note 15—Asset-Backed Financing of a Variable Interest Entity at Fair Value

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

	Quarter ended March 31,
	2018			2017
	(dollars in thousands)
Weighted-average fair value	$	297,682		$	347,854
Total interest expense	$	2,296		$	3,409
Weighted-average effective interest rate		3.54	%		3.48	%

	March 31, 2018			December 31, 2017
	(dollars in thousands)
Fair value	$	296,982		$	307,419
UPB	$	312,730		$	316,684
Weighted-average interest rate		3.51	%		3.51	%

The asset-backed financing of a VIE 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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Exchangeable Senior Notes

3 Months Ended

Mar. 31, 2018

Text Block [Abstract]

Exchangeable Senior Notes

Note 16—Exchangeable Senior Notes

PMC issued in a private offering $250 million aggregate principal amount of exchangeable senior notes (“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 33.8667 common shares per $1,000 principal amount of the Exchangeable Notes as of March 31, 2018, which is an increase over the initial exchange rate of 33.5149. The increase in the calculated exchange rate was the result of quarterly cash dividends exceeding the quarterly dividend threshold amount of $0.57 per share in prior reporting periods, as provided in the related indenture.

Following is financial information relating to the Exchangeable Notes:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Weighted-average UPB	$	250,000	$	250,000
Total interest expense	$	3,644	$	3,627

	March 31, 2018			December 31, 2017
	(in thousands)
Carrying value:
UPB	$	250,000		$	250,000
Unamortized debt issuance costs		(2,529	)		(2,814	)
	$	247,471		$	247,186

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Liability for Losses Under Representations and Warranties

3 Months Ended

Mar. 31, 2018

Text Block [Abstract]

Liability for Losses Under Representations and Warranties

Note 17—Liability for Losses Under Representations and Warranties

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

	Quarter ended March 31,
	2018			2017
	(in thousands)
Balance, beginning of quarter	$	8,678		$	15,350
Provision for losses:
Pursuant to mortgage loan sales		572			673
Reduction in liability due to change in estimate		(1,042	)		(4,576	)
Recoveries, net		41			—
Balance, end of quarter	$	8,249		$	11,447
UPB of mortgage loans subject to representations and    warranties at end of quarter	$	74,554,838		$	58,797,849

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Commitments and Contingencies

3 Months Ended

Mar. 31, 2018

Commitments And Contingencies Disclosure [Abstract]

Commitments and Contingencies

Note 18—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 March 31, 2018, the Company was not involved in any such proceedings, claims or legal actions that in the Manager’s view would reasonably be likely to have a material adverse effect on the Company.

Commitments

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

	March 31, 2018
	(in thousands)
Commitments to purchase mortgage loans acquired for sale	$	1,067,009
Commitments to fund Deposits securing CRT agreements (1)	$	552,957

(1) Certain deposits of cash collateral on CRT Agreements are made upon the first to occur of fulfillment of the aggregation obligation or the lapse of the aggregation period.

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Shareholders' Equity

3 Months Ended

Mar. 31, 2018

Equity [Abstract]

Shareholders' Equity

Note 19—Shareholders’ Equity

Preferred Shares of Beneficial Interest

Preferred shares of beneficial interest are summarized below:

Series	Description (1)	Number of shares		Liquidation preference		Issuance discount		Carrying value
		(in thousands)
A	8.125% fixed-to-floating rate cumulative redeemable preferred,    issued March 2017		4,600	$	115,000	$	3,828	$	111,172
B	8.00% fixed-to-floating rate cumulative redeemable preferred,    issued July 2017		7,800		195,000		6,465		188,535
			12,400	$	310,000	$	10,293	$	299,707

(1) Par value is $0.01 per share for both series.

During March 2017, the Company issued 4.6 million of its 8.125% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Shares of Beneficial Interest, $0.01 par value per share (the “Series A Preferred Shares”). From, and including, the date of original issuance to, but not including, March 15, 2024, the Company pays cumulative dividends on the Series A Preferred Shares at a fixed rate of 8.125% per annum based on the $25.00 per share liquidation preference. From, and including, March 15, 2024 and thereafter, the Company will pay cumulative dividends on the Series A Preferred Shares at a floating rate equal to three-month LIBOR as calculated on each applicable dividend determination date plus a spread of 5.831% per annum based on the $25.00 per share liquidation preference. The Company paid dividends of $0.51 per Series A Preferred Share during the quarter ended March 31, 2018.

The Series A Preferred Shares will not be redeemable before March 15, 2024, except in connection with the Company’s qualification as a REIT for U.S. federal income tax purposes or upon the occurrence of a change of control of the Company as described in the prospectus supplement filed with the SEC on March 6, 2017. On or after March 15, 2024 or within 120 days of the occurrence of a change in control, the Company may, at its option, redeem any or all of the Series A Preferred Shares at $25.00 per share plus any accumulated and unpaid dividends thereon to, but not including, the redemption date.

During July 2017, the Company issued 7.8 million of its 8.00% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Shares of Beneficial Interest, $0.01 par value per share (the “Series B Preferred Shares” and, together with the Series A Preferred Shares, the “Preferred Shares”). From, and including, the date of original issuance to, but not including, June 15, 2024, the Company pays cumulative dividends on the Series B Preferred Shares at a fixed rate of 8.00% per annum based on the $25.00 per share liquidation preference. From, and including, June 15, 2024 and thereafter, the Company will pay cumulative dividends on the Series B Preferred Shares at a floating rate equal to three-month LIBOR as calculated on each applicable dividend determination date plus a spread of 5.99% per annum based on the $25.00 per share liquidation preference. The Company paid dividends of $0.50 per Series B Preferred Share for the quarter ended March 31, 2018.

The Series B Preferred Shares will not be redeemable before June 15, 2024, except in connection with the Company’s qualification as a REIT for U.S. federal income tax purposes and except as described below upon the occurrence of a change of control. On or after June 15, 2024, or 120 days after the first date on which such change of control occurred, the Company may, at its option, redeem any or all of the Series B Preferred Shares at $25.00 per share plus any accumulated and unpaid dividends thereon to, but not including, the redemption date.

The Company pays quarterly cumulative dividends on its Preferred Shares on the 15^th day of each March, June, September and December, provided that if any dividend payment date is not a business day, then the dividend that would otherwise be payable on that dividend payment date may be paid on the following business day. The Preferred Shares have no stated maturity, are not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless redeemed or repurchased by the Company or converted into common shares in connection with a change of control by the holders of the Preferred Shares.

Common Share Repurchases

During August 2015, the Company’s board of trustees authorized a common share repurchase program. Under the program, as amended, the Company may repurchase up to $300 million of its outstanding common shares.

The following table summarizes the Company’s share repurchase activity:  

	Quarter ended March 31,
	2018		2017		Cumulative total (1)
	(in thousands)
Common shares repurchased		671		139		14,731
Cost of common shares repurchased	$	10,719	$	2,307	$	216,625

(1) Amounts represent the share repurchase program total from its inception in August 2015 through March 31, 2018.

The repurchased common shares were canceled upon settlement of the repurchase transactions and returned to the authorized but unissued common share pool.

Conditional Reimbursement of IPO Underwriting Costs

As more fully described in Note 4—Transactions with Related Parties, on February 1, 2013, the Company entered into a Reimbursement Agreement, by and among the Company, the Operating Partnership and the Manager. The Reimbursement Agreement provides that, to the extent the Company is required to pay the Manager performance incentive fees under the management agreement, the Company will reimburse the Manager for underwriting costs it paid on the IPO offering date at a rate of $10 in reimbursement for every $100 of performance incentive fees earned. The 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. No reimbursements were made during the quarters ended March 31, 2018, and March 31, 2017.

The Reimbursement Agreement also provides for the payment to the IPO underwriters of the amount that the Company agreed to pay to them at the time of the IPO if the Company satisfied certain performance measures over a specified period of time. As the Manager earns performance incentive fees under the 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. No payments were made during the quarters ended March 31, 2018, and March 31, 2017. The Reimbursement Agreement expires on February 1, 2019.

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Net Gain on Mortgage Loans Acquired for Sale

3 Months Ended

Mar. 31, 2018

Text Block [Abstract]

Net Gain on Mortgage Loans Acquired for Sale

Note 20—Net Gain on Mortgage Loans Acquired for Sale

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

	Quarter ended March 31,
	2018			2017
	(in thousands)
From non-affiliates:
Cash loss:
Mortgage loans	$	(95,767	)	$	(55,907	)
Hedging activities		33,746			16,258
		(62,021	)		(39,649	)
Non cash gain:
Receipt of MSRs in mortgage loan sale transactions		66,546			58,688
Provision for losses relating to representations and warranties provided in mortgage    loan sales:
Pursuant to mortgage loans sales		(572	)		(673	)
Reduction in liability due to change in estimate		1,042			4,576
Change in fair value of financial instruments held at end of quarter:
IRLCs		(1,924	)		4,945
Mortgage loans		2,851			8,587
Hedging derivatives		(936	)		(19,850	)
		(9	)		(6,318	)
Total from non-affiliates		4,986			16,624
From PFSI—cash gain		2,641			2,401
	$	7,627		$	19,025

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Net Gain (Loss) on Investments

3 Months Ended

Mar. 31, 2018

Investments Debt And Equity Securities [Abstract]

Net Gain (Loss) on Investments

Note 21—Net Gain (Loss) on Investments

Net gain (loss) on investments is summarized below:

	Quarter ended March 31,
	2018			2017
	(in thousands)
From non-affiliates:
Mortgage-backed securities	$	(22,397	)	$	140
Distressed mortgage loans at fair value		(9,951	)		3,216
Mortgage loans held in a VIE at fair value		(5,579	)		316
CRT Agreements		22,551			18,587
Asset-backed financing of a VIE at fair value		6,183			(24	)
Hedging derivatives		1,460			(4,144	)
		(7,733	)		18,091
From PFSI—ESS		7,751			(1,370	)
	$	18		$	16,721

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Net Mortgage Loan Servicing Fees

3 Months Ended

Mar. 31, 2018

Text Block [Abstract]

Net Mortgage Loan Servicing Fees

Note 22—Net Mortgage Loan Servicing Fees

Net mortgage loan servicing fees are summarized below:

	Quarter ended March 31,
	2018			2017
	(in thousands)
From non-affiliates:
Servicing fees (1)	$	48,732		$	37,281
Ancillary and other fees		1,703			1,224
Effect of MSRs:
Carried at fair value—change in fair value		25,973			(1,993	)
Carried at lower of amortized cost or fair value:
Amortization		—			(17,858	)
Additions to impairment valuation allowance		—			1,504
Losses on hedging derivatives, net		(20,848	)		(8,698	)
		5,125			(27,045	)
		55,560			11,460
From PFSI—MSR recapture income		595			292
Net mortgage loan servicing fees	$	56,155		$	11,752
Average servicing portfolio	$	73,694,438		$	57,927,056

(1) Includes contractually specified servicing fees, net of Agency guarantee fees.

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Net Interest Income

3 Months Ended

Mar. 31, 2018

Banking And Thrift Interest [Abstract]

Net Interest Income

Note 23—Net Interest Income

Net interest income is summarized below:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Interest income:
From nonaffiliates:
Short-term investments	$	73	$	281
Mortgage-backed securities		8,791		6,772
Mortgage loans acquired for sale at fair value		11,332		11,502
Mortgage loans at fair value:
Distressed		7,899		19,651
Held in a VIE		2,603		3,729
Placement fees relating to custodial funds		4,215		1,071
Deposits securing CRT Agreements		2,031		408
Other		102		39
		37,046		43,453
From PFSI—ESS		3,934		4,647
		40,980		48,100
Interest expense:
To nonaffiliates:
Assets sold under agreements to repurchase (1)		24,507		22,182
Mortgage loan participation purchase and sale agreements		314		366
Notes payable		—		4,305
Asset-backed financings of VIEs at fair value		2,296		3,409
Exchangeable Notes		3,644		3,627
Interest shortfall on repayments of mortgage loans serviced for    Agency securitizations		1,594		1,062
Interest on mortgage loan impound deposits		485		423
		32,840		35,374
To PFSI—Assets sold under agreement to repurchase		1,976		1,805
		34,816		37,179
Net interest income	$	6,164	$	10,921

(1) In 2017, the Company entered into a master repurchase agreement that provides the Company with incentives to finance mortgage loans approved for satisfying certain consumer relief characteristics as provided in the agreement. During the quarter ended March 31, 2018, the Company included $2.4 million of such incentives as a reduction of Interest expense. The master repurchase agreement has an initial term of six months, renewable for three additional six-month terms at the option of the lender and was renewed for six months on April 18, 2018. There can be no assurance whether the lender will further renew this agreement upon its maturity.

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Share-Based Compensation Plans

3 Months Ended

Mar. 31, 2018

Disclosure Of Compensation Related Costs Sharebased Payments [Abstract]

Share-Based Compensation Plans

Note 24—Share-Based Compensation Plans

As of March 31, 2018 and December 31, 2017, the Company had one share-based compensation plan. The following table summarizes the Company’s share-based compensation activity:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Grants:
Restricted share units		129		134
Performance share units		116		126
Total share units granted		245		260
Grant date fair value:
Restricted share units granted	$	2,300	$	2,281
Performance share units granted		1,542		1,722
Total fair value of share units granted	$	3,842	$	4,003
Vestings:
Restricted share units		192		153
Performance share units		28		—
Total share units vested		220		153
Forfeitures:
Restricted share units		—		—
Performance share units		—		—
Total share units forfeited		—		—
Compensation expense relating to share-based grants	$	899	$	1,527

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Other Expenses

3 Months Ended

Mar. 31, 2018

Other Income And Expenses [Abstract]

Other Expenses

Note 25—Other Expenses

Other expenses are summarized below:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Common overhead allocation from PFSI	$	1,001	$	1,434
Technology		378		318
Insurance		305		338
Other		966		1,413
	$	2,650	$	3,503

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Income Taxes

3 Months Ended

Mar. 31, 2018

Income Tax Disclosure [Abstract]

Income Taxes

Note 26—Income Taxes

The Company’s effective tax rate was 25.5% and (27.1)% for the quarters ended March 31, 2018 and 2017, respectively. The Company’s taxable REIT subsidiary (“TRS”) recognized a tax expense of $9.4 million on income of $34.6 million while the Company’s reported consolidated pretax income was $37.8 million for the quarter ended March 31, 2018. For the same periods in 2017, the Company’s TRS recognized tax benefit of $6.6 million on a loss of $14.8 million while the Company’s reported consolidated pretax income was $22.6 million. The relative values between the tax benefit or expense at the TRS and the Company’s consolidated pretax income drive the fluctuation in the effective tax rate. The primary difference between the Company’s effective tax rate and the statutory tax rate is due to nontaxable REIT income resulting from the dividends paid deduction.

In general, cash dividends declared by the Company will be considered ordinary income to the shareholders for income tax purposes. Some portion of the dividends may be characterized as capital gain distributions or a return of capital. For tax years beginning after December 31, 2017, the 2017 Tax Cuts and Jobs Act (the “Tax Act”) (subject to certain limitations) provides a 20% deduction from taxable income for ordinary REIT dividends.

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Earnings Per Share

3 Months Ended

Mar. 31, 2018

Earnings Per Share [Abstract]

Earnings Per Share

Note 27—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 available to common shareholders, 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 Notes, by the weighted-average common shares outstanding, assuming all dilutive securities were issued.

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

	Quarter ended March 31,
	2018			2017
	(in thousands except per share amounts)
Net income	$	28,186		$	28,737
Dividends on preferred shares		(6,234	)		(571	)
Effect of participating securities—share-based compensation awards		(202	)		(298	)
Net income attributable to common shareholders	$	21,750		$	27,868
Net income attributable to common shareholders	$	21,750		$	27,868
Interest on Exchangeable Notes, net of income taxes		2,655			2,186
Diluted net income attributable to common shareholders	$	24,405		$	30,054
Weighted-average basic shares outstanding		60,761			66,719
Dilutive securities:
Shares issuable under share-based compensation plan		647			—
Shares issuable pursuant to exchange of the Exchangeable Notes		8,467			8,467
Diluted weighted-average number of shares outstanding		69,875			75,186
Basic earnings per share	$	0.36		$	0.42
Diluted earnings per share	$	0.35		$	0.40

Calculation of diluted earnings per share requires certain potentially dilutive shares to be excluded based on whether the inclusion of such shares in the diluted earnings per share calculation would be antidilutive. The following table summarizes the potentially dilutive shares excluded from the diluted earnings per share calculation, as inclusion of such shares would have been antidilutive:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Shares issuable under share-based compensation plan		—		661

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Segments

3 Months Ended

Mar. 31, 2018

Segment Reporting [Abstract]

Segments

Note 28—Segments

The correspondent production segment includes 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. The Credit sensitive investment strategies segment includes investments in distressed mortgage loans, REO, CRT Agreements, non-Agency subordinated bonds and small balance commercial real estate mortgage loans. The Interest rate sensitive strategies segment includes investments in MSRs, ESS, Agency and senior non-Agency MBS and the related interest rate hedging activities. The corporate segment includes certain interest income, management fee and corporate expense amounts.

Financial highlights by operating segment are summarized below:

Quarter ended March 31, 2018	Correspondent production			Credit sensitive strategies			Interest rate sensitive strategies			Corporate			Total
	(in thousands)
Net investment income:
Net gain on mortgage loans acquired for sale	$	7,599		$	28		$	—		$	—		$	7,627
Net gain (loss) on investments		—			12,414			(12,396	)		—			18
Net mortgage loan servicing fees		—			7			56,148			—			56,155
Net interest income:
Interest income		11,169			10,208			19,428			175			40,980
Interest expense		(6,798	)		(10,664	)		(17,354	)		—			(34,816	)
		4,371			(456	)		2,074			175			6,164
Other income (loss)		7,073			(1,389	)		—			25			5,709
		19,043			10,604			45,826			200			75,673
Expenses:
Mortgage loan fulfillment and servicing fees    payable to PFSI		11,944			3,085			7,934			—			22,963
Management fees		—			—			—			5,696			5,696
Other		469			3,913			108			4,686			9,176
		12,413			6,998			8,042			10,382			37,835
Pre-tax income (loss)	$	6,630		$	3,606		$	37,784		$	(10,182	)	$	37,838
Total assets at end of quarter	$	1,141,457		$	1,485,492		$	2,989,692		$	173,845		$	5,790,486

Quarter ended March 31, 2017	Correspondent production			Credit sensitive strategies			Interest rate sensitive strategies			Corporate			Total
	(in thousands)
Net investment income:
Net gain on mortgage loans acquired for sale	$	19,011		$	14		$	—		$	—		$	19,025
Net gain (loss) on investments		—			21,994			(5,273	)		—			16,721
Net mortgage loan servicing fees		—			14			11,738			—			11,752
Net interest income:
Interest income		11,357			20,321			16,102			320			48,100
Interest expense		(7,901	)		(14,272	)		(15,006	)		—			(37,179	)
		3,456			6,049			1,096			320			10,921
Other income (loss)		8,317			(2,268	)		—			6			6,055
		30,784			25,803			7,561			326			64,474
Expenses:
Mortgage loan fulfillment and servicing fees    payable to PFSI		16,575			4,348			6,133			—			27,056
Management fees		—			—			—			5,008			5,008
Other		1,737			2,028			684			5,353			9,802
		18,312			6,376			6,817			10,361			41,866
Pre-tax income (loss)	$	12,472		$	19,427		$	744		$	(10,035	)	$	22,608
Total assets at end of quarter	$	1,292,513		$	2,137,531		$	2,432,419		$	140,483		$	6,002,946

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Supplemental Cash Flow Information

3 Months Ended

Mar. 31, 2018

Supplemental Cash Flow Elements [Abstract]

Supplemental Cash Flow Information

Note 29—Supplemental Cash Flow Information

	Quarter ended March 31,
	2018		2017
	(in thousands)
Income tax payments, net of refunds	$	—	$	31
Interest payments	$	32,112	$	35,838
Cumulative effect on accumulated deficit of conversion to fair value    accounting	$	19,713	$	—
Non-cash investing activities:
Capitalization of servicing advances pursuant to mortgage loan    modifications	$	1,677	$	6,349
Receipt of excess servicing spread pursuant to recapture agreement    with PennyMac Financial Services, Inc.	$	904	$	1,573
Transfer of mortgage loans and advances to real estate    acquired in settlement of loans	$	16,363	$	24,876
Transfer of real estate acquired in settlement of mortgage    loans to real estate held for investment	$	2,059	$	6,644
Receipt of mortgage servicing rights as proceeds from sales of    mortgage loans	$	66,546	$	58,688
Non-cash financing activities:
Recognition of financing premium arising from repurchase    agreement derivatives	$	2,164	$	—
Dividends declared, not paid	$	28,818	$	31,652

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Regulatory Capital and Liquidity Requirements

3 Months Ended

Mar. 31, 2018

Mortgage Banking [Abstract]

Regulatory Capital and Liquidity Requirements

Note 30—Regulatory Capital and Liquidity Requirements

PMC is a seller/servicer for Fannie Mae and Freddie Mac. The Company is required to comply with the following minimum capital and liquidity eligibility requirements to remain in good standing with each Agency:

• A minimum net worth of $2.5 million plus 25 basis points of UPB for all 1-4 unit residential mortgage loans serviced;

• A tangible net worth/total assets ratio greater than or equal to 6%; and

• Liquidity equal to or exceeding 3.5 basis points multiplied by the aggregate UPB of all mortgages secured by 1-4 unit residential properties serviced for Freddie Mac and Fannie Mae (“Agency Mortgage Servicing”) plus 200 basis points multiplied by the sum of nonperforming (90 or more days delinquent) Agency Mortgage Servicing that exceeds 6% of Agency Mortgage Servicing.

Such Agencies’ capital and liquidity amounts and requirements, the calculations of which are defined by each entity, are summarized below:

	March 31, 2018
	Net Worth (1)				Tangible Net Worth / Total Assets Ratio (1)						Liquidity (1)
Fannie Mae and Freddie Mac	Actual		Required		Actual			Required			Actual		Required
	(in thousands)										(in thousands)
March 31, 2018	$	527,072	$	190,654		14	%		6	%	$	72,381	$	26,342
December 31, 2017	$	487,535	$	182,818		12	%		6	%	$	73,252	$	25,245

(1) Calculated in accordance with the Agencies’ requirements.

Noncompliance with the Agencies’ capital and liquidity requirements can result in the Agencies taking various remedial actions up to and including removing the Company’s ability to sell loans to and service loans on behalf of the Agencies.

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Subsequent Events

3 Months Ended

Mar. 31, 2018

Subsequent Events [Abstract]

Subsequent Events

Note 31—Subsequent Events

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

• On April 17, 2018, the Company, through PMC and POP (collectively, the “Sellers”), entered into a master repurchase agreement, by and among Royal Bank of Canada (“RBC”), on the one hand, and the Sellers, on the other hand (the “RBC Repurchase Agreement”), pursuant to which Sellers may sell to, and later repurchase from, RBC newly originated mortgage loans in an aggregate principal amount of up to $100 million.

• On April 17, 2018, the Company, through PMC, also entered into an amendment (the “Amendment”) to that certain master repurchase agreement, dated as of August 18, 2017, by and among Deutsche Bank AG, Cayman Islands Branch (“Deutsche Bank”), on the one hand, and PMC, on the other hand (the “DB Repurchase Agreement”), pursuant to which PMC may sell to, and later repurchase from, Deutsche Bank certain residential mortgage loans. The primary purpose of the Amendment was to increase the maximum aggregate principal amount provided for under the DB Repurchase Agreement from $500 million to $750 million.

• On April 25, 2018,  the Company, through its indirect subsidiary, PMT ISSUER TRUST—FMSR (“FMSR Issuer Trust”), issued an aggregate principal amount of $450 million in secured term notes (the “2018-FT1 Notes”) to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended.  The 2018-FT1 Notes bear interest at a rate equal to one-month LIBOR plus 2.35% per annum, payable each month beginning in May 2018, on the 25th day of such month or, if such 25th day is not a business day, the next business day. The 2018-FT1 Notes will mature on April 25, 2023 or, if extended pursuant to the terms of the related term note indenture supplement, April 25, 2025 (unless earlier redeemed in accordance with their terms). The 2018-FT1 Notes have been assigned an investment grade rating of BBB- by Kroll Bond Rating Agency and will rank pari passu with the Series 2017-VF1 Notes dated December 20, 2017 (the “FMSR VFN”) issued by FMSR Issuer Trust to PMC and, in turn, pledged by PMC to Credit Suisse under an agreement to repurchase. The 2018-FT1 Notes and the FMSR VFN are secured by certain participation certificates relating to Fannie Mae MSRs and excess servicing spread relating to such MSRs.

• All agreements to repurchase assets that matured between March 31, 2018 and the date of this Report were extended or renewed.

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Organization and Basis of Presentation (Policies)

3 Months Ended

Mar. 31, 2018

Organization Consolidation And Presentation Of Financial Statements [Abstract]

Segment Reporting

The Company operates in four segments: correspondent production, credit sensitive strategies, interest rate sensitive strategies and corporate:

• 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”), both indirect controlled 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 credit sensitive strategies segment represents the Company’s investments in distressed mortgage loans, real estate acquired in settlement of mortgage loans (“REO”), real estate held for investment, credit risk transfer agreements (“CRT Agreements”), non-Agency subordinated bonds and small balance commercial real estate mortgage loans.

• The interest rate sensitive strategies segment represents the Company’s investments in mortgage servicing rights (“MSRs”), excess servicing spread (“ESS”), Agency and senior non-Agency MBS and the related interest rate hedging activities.  

• The corporate segment includes certain interest income, management fee and corporate expense amounts.

Basis of Presentation

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, 2017.

The accompanying unaudited consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, results of operations, 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.

Accounting Changes

Mortgage Servicing Rights

Effective January 1, 2018, the Company has elected to change the accounting for the classes of MSRs it accounted for using the amortization method through December 31, 2017, to the fair value method as allowed in the Transfers and Servicing topic of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”). The Manager determined that a single accounting treatment across all MSRs is consistent with lender valuation under its financing arrangements and simplifies hedging activities. As the result of this change, the Company recorded an adjustment to increase its investment in MSRs by $19.7 million, an increase in its liability for income taxes payable of $5.3 million and in increase in shareholders’ equity of $14.4 million.

Revenue

Revenue

As disclosed in Note 33 – Recently Issued Accounting Pronouncements to the consolidated financial statements included in the Company’s Annual Report of form 10-K for the fiscal year ended December 31, 2017, the Manager has concluded that the Company’s revenues are not subject to ASU 2014-09 as they are financial instruments or other contractual rights and obligations accounted for under the Receivables, Investments and Debt and Equity Securities, Transfers and Servicing, Financial Instruments and Derivatives and Hedging topics of the FASB’s ASC.

Cash Flows

Cash Flows

During the quarter ended March 31, 2018, the Company adopted FASB Accounting Standards Update 2016-18, Statement of Cash Flows (Topic 230) – Restricted Cash (“ASU 2016-18”). ASU 2016-18 requires that a statement of cash flows explain the change during the reporting period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statement of cash flows. Accordingly, the Company retrospectively changed the presentation of its statements of cash flows to conform to the requirements of ASU 2016-18. The adoption of ASU 2016-18 had no effect on previously reported statements of cash flows.

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.

The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the inputs used to determine fair value. These levels are:

• Level 1—Quoted prices in active markets for identical assets or liabilities.

• Level 2—Prices determined or determinable using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the Company. These may include quoted prices for similar assets or liabilities, interest rates, prepayment speeds, credit risk and other inputs.

• Level 3—Prices determined using significant unobservable inputs. In situations where significant observable inputs are unavailable, unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing assets and liabilities, and are based on the best information available in the circumstances.

As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” fair value assets and liabilities, the Manager is required to make judgments regarding these items’ fair values. Different persons in possession of the same facts may reasonably arrive at different conclusions as to the inputs to be applied in valuing these assets and liabilities and to their fair values. Likewise, due to the general illiquidity of some of these assets and liabilities, subsequent transactions may be at values significantly different from those reported.

Fair Value Accounting Elections

The Manager identified all of the Company’s non-cash financial assets and MSRs to be accounted for at fair value. The Manager has elected to account for these assets 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 asset-backed financing of a VIE and interest only security payable at fair value 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 assets at fair value collateralizing these financings. For other borrowings, 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 facility, thereby matching the debt issuance cost to the periods benefiting from the availability of the debt. Before January 1, 2018, originated MSRs backed by mortgage loans with initial interest rates of less than or equal to 4.5% were accounted for using the amortization method. Beginning January 1, 2018, the Company elected to account for all MSRs at fair value prospectively.

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 available to common shareholders, 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 Notes, by the weighted-average common shares outstanding, assuming all dilutive securities were issued.

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Concentration of Risks (Tables)

3 Months Ended

Mar. 31, 2018

Risks And Uncertainties [Abstract]

Summary of Holdings of Assets Purchased

Most of the distressed mortgage loans and REO has been acquired by the Company in prior years from or through one or more subsidiaries of JPMorgan Chase & Co., Citigroup Inc., and Bank of America Corporation, as presented in the following summary:

	March 31, 2018		December 31, 2017
	(in thousands)
JPMorgan Chase & Co.
Mortgage loans at fair value	$	185,224	$	315,437
REO		59,178		66,294
		244,402		381,731
Citigroup Inc.
Mortgage loans at fair value		181,334		280,488
REO		21,091		26,702
		202,425		307,190
Bank of America Corporation
Mortgage loans at fair value		86,478		143,969
REO		26,050		27,970
		112,528		171,939
	$	559,355	$	860,860
Total carrying value of distressed mortgage loans at fair value and REO	$	609,893	$	931,298

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Transactions with Related Parties (Tables)

3 Months Ended

Mar. 31, 2018

Related Party Transactions [Abstract]

Summary of Correspondent Production Activity

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

	Quarter ended March 31,
	2018		2017
	(in thousands)
Purchases of mortgage loans acquired for sale from PLS	$	781,326	$	21,530
Mortgage loans fulfillment fees earned by PLS	$	11,944	$	16,570
UPB of mortgage loans fulfilled by PLS	$	4,225,631	$	4,631,906
Sourcing fees received from PLS included in    Net gain on mortgage loans acquired for sale	$	2,641	$	2,871
UPB of mortgage loans sold to PLS	$	8,847,873	$	9,574,717
Early purchase program fees paid to PLS included    in Mortgage loan servicing fees	$	—	$	5
Tax service fee paid to PLS included in Other expense	$	1,208	$	1,379

	March 31, 2018		December 31, 2017
	(in thousands)
Mortgage loans included in Mortgage loans acquired    for sale at fair value pending sale to PLS	$	259,673	$	279,571

Summary of Mortgage Loan Servicing Fees Earned and Mortgage Servicing Rights Recaptured Income Earned

Following is a summary of mortgage loan servicing fees earned by PLS and MSR recapture income earned from PLS:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Mortgage loans servicing fees:
Mortgage loans acquired for sale at fair value:
Base	$	56	$	65
Activity-based		122		143
		178		208
Mortgage loans at fair value:
Distressed mortgage loans:
Base		1,005		1,958
Activity-based		2,080		2,390
		3,085		4,348
Mortgage loans held in VIE:
Base		34		31
Activity-based		—		—
		34		31
MSRs:
Base		7,615		5,806
Activity-based		107		93
		7,722		5,899
	$	11,019	$	10,486
Average investment in:
Mortgage loans acquired for sale at fair value	$	1,046,289	$	1,099,406
Mortgage loans at fair value:
Distressed mortgage loans	$	738,333	$	1,327,421
Mortgage loans held in a VIE	$	314,717	$	361,110
Average MSR portfolio	$	73,694,438	$	57,927,056
MSR recapture income recognized included in Net    mortgage loan servicing fees - from PennyMac Financial Service, Inc.	$	595	$	292

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 March 31,
	2018		2017
	(in thousands)
Base management	$	5,696	$	5,008
Performance incentive		—		—
	$	5,696	$	5,008

Summary of Expenses

Following is a summary of the Company’s reimbursements to PCM and its affiliates for expenses:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Reimbursement of:
Common overhead incurred by PCM and its affiliates	$	1,121	$	1,434
Expenses incurred on the Company’s behalf, net		573		255
	$	1,694	$	1,689
Payments and settlements during the quarter (1)	$	7,658	$	24,393

(1) Payments and settlements include payments and netting settlements made pursuant to master netting agreements between the Company and PFSI for operating, investment and financing activities itemized in this Note.

Summary of Investing Activity

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

	Quarter ended March 31,
	2018		2017
	(in thousands)
ESS:
Received pursuant to a recapture agreement	$	904	$	1,573
Repayments and sales	$	12,291	$	14,632
Interest income	$	3,934	$	4,647
Net gain (loss) included in Net gain (loss) on investments:
Valuation changes	$	6,921	$	(2,773	)
Recapture income		830		1,403
	$	7,751	$	(1,370	)

Summary Of Financing Transactions

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

	Quarter ended March 31,
	2018		2017
	(in thousands)
Interest expense	$	1,976	$	1,805

	March 31, 2018		December 31, 2017
	(in thousands)
Assets sold to PFSI under agreement to repurchase	$	142,938	$	144,128
Conditional Reimbursement payable to PFSI included in Accounts payable    and accrued liabilities	$	870	$	870

Summary of Amounts Receivable From and Payable to PFSI

Amounts receivable from and payable to PFSI are summarized below:

	March 31, 2018		December 31, 2017
	(in thousands)
Due from PFSI:
MSR recapture receivable	$	207	$	282
Other		106		3,872
	$	313	$	4,154
Due to PFSI:
Allocated expenses and expenses paid by PFSI on PMT’s behalf	$	8,806	$	11,542
Management fees		5,696		5,901
Mortgage loan servicing fees		5,562		6,583
Fulfillment fees		4,471		346
Correspondent production fees		1,825		1,735
Conditional Reimbursement		870		870
Interest on Assets sold to PFSI under agreement to repurchase		126		142
	$	27,356	$	27,119

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Loan Sales and Variable Interest Entities (Tables)

3 Months Ended

Mar. 31, 2018

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 of mortgage loans that are accounted for as sales where the Company maintains continuing involvement with the mortgage loans:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Cash flows:
Proceeds from sales	$	5,200,584	$	4,858,845
Mortgage loan servicing fees received (1)	$	48,732	$	37,281

(1) Net of guarantee fees

Summary of Unpaid Balance Information for Mortgage Loans Accounted for Sales

The following table summarizes unpaid principal balance (“UPB”) information for mortgage loans that are accounted for as sales for the dates presented:

	March 31, 2018		December 31, 2017
	(in thousands)
UPB of mortgage loans outstanding	$	74,783,511	$	71,639,351
Delinquent mortgage loans:
30-89 days delinquent	$	360,518	$	532,673
90 or more days delinquent:
Not in foreclosure	$	288,653	$	280,786
In foreclosure	$	31,989	$	25,258
Bankruptcy	$	56,032	$	52,202
Custodial funds managed by the Company (1)	$	1,005,744	$	879,321

(1) Custodial funds include borrower and investor custodial cash accounts relating to mortgage loans serviced under the servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the mortgage loans’ investors, which are included in Interest income in the Company’s consolidated statements of income.

Summary of Credit Risk Transfer Agreements

Following is a summary of the CRT Agreements:

	Quarter ended March 31,
	2018			2017
	(in thousands)
UPB of mortgage loans sold under CRT Agreements	$	3,210,478		$	1,834,295
Deposits securing CRT Agreements	$	41,789		$	15,793
Increase in commitments to fund Deposits securing CRT Agreements    resulting from sale of mortgage loans under CRT Agreements	$	70,486		$	48,150
Interest earned on Deposits securing CRT Agreements	$	2,031		$	408
Gains recognized on CRT Agreements included in Net gain (loss) on investments
Realized	$	19,329		$	10,288
Resulting from valuation changes		5,355			10,019
		24,684			20,307
Change in fair value of interest-only security payable at fair value		(2,133	)		(1,720	)
	$	22,551		$	18,587
Payments made to settle losses	$	828		$	149

	March 31, 2018		December 31, 2017
	(in thousands)
UPB of mortgage loans subject to credit guarantee obligations	$	29,726,369	$	26,845,392
Delinquency status (in UPB):
Current	$	29,456,524	$	26,540,953
30—89 days delinquent	$	130,583	$	179,144
90—180 days delinquent	$	90,418	$	101,114
180 or more days delinquent	$	26,343	$	5,146
Foreclosure	$	8,335	$	5,463
Bankruptcy	$	14,166	$	13,572
Carrying value of CRT Agreements:
Derivative assets	$	103,995	$	98,640
Deposits securing CRT agreements	$	622,330	$	588,867
Interest-only security payable at fair value	$	7,796	$	7,070
CRT Agreement assets pledged to secure assets sold    under agreements to repurchase:
Deposits securing CRT Agreements	$	392,453	$	400,778
Derivative assets	$	24,423	$	26,058
Commitments to fund Deposits securing credit risk transfer agreements	$	552,957	$	482,471

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Fair Value (Tables)

3 Months Ended

Mar. 31, 2018

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:

	March 31, 2018
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	71,044	$	—	$	—	$	71,044
Mortgage-backed securities at fair value		—		1,436,456		—		1,436,456
Mortgage loans acquired for sale at fair value		—		1,107,844		7,690		1,115,534
Mortgage loans at fair value		—		311,102		468,387		779,489
Excess servicing spread purchased from PFSI		—		—		236,002		236,002
Derivative assets:
Interest rate lock commitments		—		—		3,220		3,220
CRT Agreements		—		—		103,995		103,995
Repurchase agreement derivatives		—		—		5,892		5,892
Forward purchase contracts				11,400		—		11,400
Forward sale contracts		—		6		—		6
MBS put options		—		4,086		—		4,086
Call options on interest rate futures		492		—		—		492
Put options on interest rate futures		367		—		—		367
Total derivative assets before netting		859		15,492		113,107		129,458
Netting		—		—		—		(6,940	)
Total derivative assets after netting		859		15,492		113,107		122,518
Mortgage servicing rights at fair value		—		—		957,013		957,013
	$	71,903	$	2,870,894	$	1,782,199	$	4,718,056
Liabilities:
Asset-backed financing of a VIE at fair value	$	—	$	296,982	$	—	$	296,982
Interest-only security payable at fair value		—		—		7,796		7,796
Derivative liabilities:
Interest rate lock commitments		—		—		511		511
Forward purchase contracts		—		1		—		1
Forward sales contracts		—		8,345		—		8,345
Total derivative liabilities before netting		—		8,346		511		8,857
Netting		—		—		—		(5,221	)
Total derivative liabilities after netting		—		8,346		511		3,636
	$	—	$	305,328	$	8,307	$	308,414

	December 31, 2017
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	18,398	$	—	$	—	$	18,398
Mortgage-backed securities at fair value		—		989,461		—		989,461
Mortgage loans acquired for sale at fair value		—		1,261,380		8,135		1,269,515
Mortgage loans at fair value		—		321,040		768,433		1,089,473
Excess servicing spread purchased from PFSI		—		—		236,534		236,534
Derivative assets:
Interest rate lock commitments		—		—		4,859		4,859
CRT Agreements		—		—		98,640		98,640
Repurchase agreement derivatives		—		—		3,748		3,748
Forward purchase contracts		—		4,343		—		4,343
Forward sale contracts		—		387		—		387
MBS put options		—		3,170		—		3,170
Put options on interest rate futures		656		—		—		656
Total derivative assets before netting		656		7,900		107,247		115,803
Netting		—		—		—		(1,922	)
Total derivative assets after netting		656		7,900		107,247		113,881
Mortgage servicing rights at fair value		—		—		91,459		91,459
	$	19,054	$	2,579,781	$	1,211,808	$	3,808,721
Liabilities:
Asset-backed financing of a VIE at fair value	$	—	$	307,419	$	—	$	307,419
Interest-only security payable at fair value		—		—		7,070		7,070
Derivative liabilities:
Interest rate lock commitments		—		—		227		227
Forward purchase contracts		—		248		—		248
Forward sales contracts		—		2,830		—		2,830
Total derivative liabilities before netting		—		3,078		227		3,305
Netting		—		—		—		(1,999	)
Total derivative liabilities after netting		—		3,078		227		1,306
	$	—	$	310,497	$	7,297	$	315,795

Summary of Changes in Items Measured Using Level 3 Inputs on Recurring Basis

The following is a summary of changes in items measured at fair value on a recurring basis using Level 3 inputs that are significant to the estimation of the fair values of the assets and liabilities at either the beginning or end of the years presented:

	Quarter ended March 31, 2018
	Mortgage loans acquired for sale at fair value			Mortgage loans at fair value			Excess servicing spread			Interest rate lock commitments (1)			CRT Agreements			Repurchase agreement derivatives			Mortgage servicing rights		Total
	(in thousands)
Assets:
Balance, December 31, 2017	$	8,135		$	768,433		$	236,534		$	4,632		$	98,640		$	3,748		$	91,459	$	1,211,581
Cumulative effect of a change in    accounting principle — Adoption of fair    value accounting for mortgage servicing    rights		—			—			—			—			—			—			773,035		773,035
Balance, January 1, 2018		8,135			768,433			236,534			4,632			98,640			3,748			864,494		1,984,616
Purchases and issuances		2,831			—			—			4,609			—			2,164			—		9,604
Repayments and sales		(3,539	)		(272,513	)		(12,291	)		—			(19,329	)		(8	)		—		(307,680	)
Capitalization of interest		—			2,180			3,934			—			—			—			—		6,114
Capitalization of advances		—			1,677			—			—			—			—			—		1,677
ESS received pursuant to a recapture    agreement with PFSI		—			—			904			—			—			—			—		904
Servicing received as proceeds from sales    of mortgage loans		—			—			—			—			—			—			66,546		66,546
Changes in fair value included in income    arising from:
Changes in instrument-specific credit    risk		—			2,681			—			—			—			—			—		2,681
Other factors		103			(12,632	)		6,921			(19,467	)		24,684			(12	)		25,973		25,570
		103			(9,951	)		6,921			(19,467	)		24,684			(12	)		25,973		28,251
Transfers of mortgage loans to REO and    real estate held for investment		—			(21,439	)		—			—			—			—			—		(21,439	)
Transfers of mortgage loans acquired for    sale at fair value from "Level 2" to    "Level 3" (2)		160			—			—			—			—			—			—		160
Transfers of interest rate lock    commitments to mortgage loans    acquired for sale		—			—			—			12,935			—			—			—		12,935
Balance, March 31, 2018	$	7,690		$	468,387		$	236,002		$	2,709		$	103,995		$	5,892		$	957,013	$	1,781,688
Changes in fair value recognized during    the quarter relating to assets still held at    March 31, 2018	$	(14	)	$	(9,040	)	$	6,921		$	2,709		$	5,355		$	77		$	25,973	$	31,981

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

(2) During the quarter ended March 31, 2018, the Manager identified certain “Level 2” fair value mortgage loans that were not salable into the prime mortgage market and therefore transferred them to “Level 3”.

	Quarter ended March 31, 2018
	Interest-only
	security payable
	(in thousands)
Liabilities:
Balance, December 31, 2017	$	7,070
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		—
Other factors		726
		726
Balance, March 31, 2018	$	7,796
Changes in fair value recognized during the quarter relating to liability outstanding at    March 31, 2018	$	726

	Quarter ended March 31, 2017
	Mortgage			Excess			Interest						Mortgage
	loans			servicing			rate lock			CRT			servicing
	at fair value			spread			commitments (1)			Agreements			rights			Total
	(in thousands)
Assets:
Balance, December 31, 2016	$	1,354,572		$	288,669		$	3,777		$	15,610		$	64,136		$	1,726,764
Purchases and issuances		—			—			17,762			—			62			17,824
Repayments and sales		(113,576	)		(14,632	)		—			(10,288	)		—			(138,496	)
Capitalization of interest		9,903			4,647			—			—			—			14,550
Capitalization of advances		6,349			—			—			—			—			6,349
ESS received pursuant to a recapture agreement    with PFSI		—			1,573			—			—			—			1,573
Servicing received as proceeds from sales of    mortgage loans		—			—			—			—			7,478			7,478
Changes in fair value included in income arising    from:
Changes in instrument-specific credit risk		4,970			—			—			—			—			4,970
Other factors		(1,754	)		(2,773	)		11,171			20,307			(1,993	)		24,958
		3,216			(2,773	)		11,171			20,307			(1,993	)		29,928
Transfers of mortgage loans to REO and real estate    held for investment		(30,911	)		—			—			—			—			(30,911	)
Transfers of interest rate lock commitments to    mortgage loans acquired for sale		—			—			(23,989	)		—			—			(23,989	)
Balance, March 31, 2017	$	1,229,553		$	277,484		$	8,721		$	25,629		$	69,683		$	1,611,070
Changes in fair value recognized during the quarter    relating to assets still held at March 31, 2017	$	485		$	(2,773	)	$	8,721		$	10,019		$	(1,993	)	$	14,459

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

	Quarter ended March 31, 2017
	Interest-only
	security payable
	(in thousands)
Liabilities:
Balance, December 31, 2016	$	4,114
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		—
Other factors		487
		487
Balance, March 31, 2017	$	4,601
Changes in fair value recognized during the quarter relating to liability outstanding at    March 31, 2017	$	487

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 held in a consolidated VIE, and distressed mortgage loans at fair value): 

	March 31, 2018							December 31, 2017
	Fair value		Principal amount due upon maturity		Difference			Fair value		Principal amount due upon maturity		Difference
	(in thousands)
Mortgage loans acquired for sale at fair value:
Current through 89 days delinquent:	$	1,114,282	$	1,084,121	$	30,161		$	1,268,121	$	1,221,125	$	46,996
90 or more days delinquent:
Not in foreclosure		606		725		(119	)		950		1,120		(170	)
In foreclosure		646		683		(37	)		444		496		(52	)
		1,252		1,408		(156	)		1,394		1,616		(222	)
	$	1,115,534	$	1,085,529	$	30,005		$	1,269,515	$	1,222,741	$	46,774
Mortgage loans at fair value:
Mortgage loans held in a consolidated VIE:
Current through 89 days delinquent:	$	311,102	$	312,730	$	(1,628	)	$	321,040	$	316,684	$	4,356
90 or more days delinquent:
Not in foreclosure		—		—		—			—		—		—
In foreclosure		—		—		—			—		—		—
		—		—		—			—		—		—
		311,102		312,730		(1,628	)		321,040		316,684		4,356
Distressed mortgage loans at fair value:
Current through 89 days delinquent:		263,263		334,185		(70,922	)		414,785		519,009		(104,224	)
90 or more days delinquent:
Not in foreclosure		97,971		155,224		(57,253	)		166,749		257,038		(90,289	)
In foreclosure		107,153		156,812		(49,659	)		186,899		267,911		(81,012	)
		205,124		312,036		(106,912	)		353,648		524,949		(171,301	)
		468,387		646,221		(177,834	)		768,433		1,043,958		(275,525	)
	$	779,489	$	958,951	$	(179,462	)	$	1,089,473	$	1,360,642	$	(271,169	)

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 March 31, 2018
	Net gain on						Net
	mortgage						mortgage
	loans			Net gain			loan		Net
	acquired			(loss) on			servicing		interest
	for sale			investments			fees		income		Total
	(in thousands)
Assets:
Short-term investments	$	—		$	—		$	—	$	—	$	—
Mortgage-backed securities at fair value		—			(22,397	)		—		440		(21,957	)
Mortgage loans acquired for sale at fair value		(23,678	)		—			—		—		(23,678	)
Mortgage loans at fair value		—			(15,530	)		—		1,774		(13,756	)
ESS at fair value		—			6,921			—		3,934		10,855
MSRs at fair value		—			—			25,973		—		25,973
	$	(23,678	)	$	(31,006	)	$	25,973	$	6,148	$	(22,563	)
Liabilities:
Interest-only security payable	$	—		$	726		$	—	$	—	$	726
Asset-backed financing of a VIE at fair value		—			6,183			—		339		6,522
	$	—		$	6,909		$	—	$	339	$	7,248

	Quarter ended March 31, 2017
	Net gain on					Net
	mortgage					mortgage
	loans		Net gain			loan			Net
	acquired		on			servicing			interest
	for sale		investments			fees			income			Total
	(in thousands)
Assets:
Short-term investments	$	—	$	—		$	—		$	—		$	—
Mortgage-backed securities at fair value		—		140			—			(1,318	)		(1,178	)
Mortgage loans acquired for sale at fair value		14,158		—			—			—			14,158
Mortgage loans at fair value		—		3,532			—			10,201			13,733
ESS at fair value		—		(2,773	)		—			4,647			1,874
MSRs at fair value		—		—			(1,993	)		—			(1,993	)
	$	14,158	$	899		$	(1,993	)	$	13,530		$	26,594
Liabilities:
Interest-only security payable	$	—	$	(487	)	$	—		$	—		$	(487	)
Asset-backed financing of a VIE at fair value		—		(24	)		—			(387	)		(411	)
	$	—	$	(511	)	$	—		$	(387	)	$	(898	)

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

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

	March 31, 2018
	Level 1		Level 2		Level 3		Total
	(in thousands)
Real estate acquired in settlement of loans	$	—	$	—	$	57,675	$	57,675
	$	—	$	—	$	57,675	$	57,675

	December 31, 2017
	Level 1		Level 2		Level 3		Total
	(in thousands)
Real estate acquired in settlement of loans	$	—	$	—	$	71,380	$	71,380
MSRs at lower of amortized cost or fair value		—		—		312,995		312,995
	$	—	$	—	$	384,375	$	384,375

Summary of Changes in Fair Value Recognized in Assets that Remeasured at Fair Value on a Nonrecurring Basis

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

	Quarter ended March 31,
	2018			2017
	(in thousands)
Real estate asset acquired in settlement of loans	$	(4,769	)	$	(7,060	)
MSRs at lower of amortized cost or fair value		—			1,504
	$	(4,769	)	$	(5,556	)

Quantitative Summary of Key Inputs Used in Valuation of Mortgage Loans at Fair Value (Excluding Loans Held in a VIE)

Following is a quantitative summary of key inputs used in the valuation of mortgage loans at fair value (excluding loans held in a VIE):

Key inputs	March 31, 2018	December 31, 2017
Discount rate
Range	3.2% – 15.0%	2.9% – 15.0%
Weighted average	6.7%	6.9%
Twelve-month projected housing price index change
Range	2.2% – 3.3%	3.6% – 4.6%
Weighted average	3.1%	4.4%
Prepayment speed (1)
Range	3.1% – 6.6%	3.2% – 11.0%
Weighted average	4.2%	4.2%
Total prepayment speed (2)
Range	10.6% – 22.8%	10.8% – 23.8%
Weighted average	16.2%	16.5%

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

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

Summary of Key Inputs Used in Determining Fair Value of ESS

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

Key inputs	March 31, 2018		December 31, 2017
UPB of underlying mortgage loans (in thousands)	$	26,236,839	$	27,217,199
Average servicing fee rate (in basis points)		34		34
Average ESS rate (in basis points)		19		19
Pricing spread (1)
Range	3.6% - 4.1%		3.8% - 4.3%
Weighted average	3.9%		4.1%
Annual total prepayment speed (2)
Range	8.0% - 52.4%		8.4% - 41.4%
Weighted average	9.9%		10.8%
Life (in years)
Range	1.1 - 7.8		1.4 - 7.7
Weighted average		6.8		6.5

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

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

Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments

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

Key inputs	March 31, 2018		December 31, 2017
Pull-through rate
Range	57.5% – 100%		58.0% - 100%
Weighted average	88.0%		90.3%
MSR value expressed as
Servicing fee multiple
Range	2.6 - 5.9		2.1 - 5.8
Weighted average		4.7		4.9
Percentage of UPB
Range	0.0% – 2.6%		0.0% - 2.4%
Weighted average	1.2%		1.3%

Quantitative Summary of Key Unobservable Inputs Used in Valuation of CRT Agreements

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

Key inputs	March 31, 2018	December 31, 2017
Discount rate
Range	5.6% – 6.6%	5.1% – 6.2%
Weighted average	6.1%	5.6%
Voluntary Prepayment speed (1)
Range	8.6% – 10.4%	12.1% – 15.0%
Weighted average	9.1%	13.0%
Involuntary prepayment speed (2)
Range	0.3% – 0.3%	0.3% – 0.3%
Weighted average	0.3%	0.3%

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

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

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 March 31,
	2018			2017
	Fair value			Amortized cost		Fair value
	(MSR recognized and UPB of underlying mortgage loan amounts in thousands)
MSR recognized	$		66,546	$	51,210	$	7,478
Key inputs
UPB of underlying mortgage loans	$		5,114,741	$	4,092,267	$	660,586
Weighted-average annual servicing fee rate    (in basis points)		26		25		25
Pricing spread (1)
Range		7.4% – 12.6%		7.6% – 12.6%		7.6% – 7.6%
Weighted average		7.5%		7.6%		7.6%
Annual total prepayment speed (2)
Range		3.2% – 22.8%		3.2% – 28.7%		7.9% – 20.7%
Weighted average		8.1%		7.5%		10.9%
Life (in years)
Range		3.5 - 11.9		2.7 – 11.9		4.0 – 8.5
Weighted average		8.4			8.3		7.2
Annual per-loan cost of servicing
Range		$79 - $79		$79 – $79		$79 – $79
Weighted average		$79		$79		$79

(1) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs.

(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: 

	March 31, 2018			December 31, 2017
	Fair value			Amortized cost		Fair value
	(Carrying value, UPB of underlying mortgage loans and effect on fair value amounts in thousands)
Carrying value	$		957,013	$	753,322	$	91,459
Key inputs:
UPB of underlying mortgage loans	$		75,261,574	$	63,853,606	$	8,273,696
Weighted-average annual servicing fee rate    (in basis points)		25			25		25
Weighted-average note interest rate		4.0%		3.9%		4.7%
Pricing spread (1)
Range		7.4% – 13.1%		7.6% – 13.1%		7.6% – 12.6%
Weighted average		7.4%		7.6%		7.6%
Effect on fair value of (2):
5% adverse change		$(14,450)		$(11,848)		$(1,347)
10% adverse change		$(28,487)		$(23,352)		$(2,655)
20% adverse change		$(55,385)		$(45,379)		$(5,162)
Prepayment speed (3)
Range		6.5% – 27.2%		7.1% – 27.1%		7.3% – 20.9%
Weighted average		8.0%		8.4%		11.1%
Life (in years)
Range		2.9 - 8.3		2.9 - 8.0		3.1 - 6.8
Weighted average			7.9		7.6		6.8
Effect on fair value of (2):
5% adverse change		$(13,939)		$(12,267)		$(1,954)
10% adverse change		$(27,417)		$(24,120)		$(3,827)
20% adverse change		$(53,083)		$(46,668)		$(7,352)
Annual per-loan cost of servicing
Range		$77 - $79		$78 – $79		$77 – $79
Weighted average		$79		$79		$79
Effect on fair value of (2):
5% adverse change		$(6,962)		$(5,721)		$(744)
10% adverse change		$(13,925)		$(11,441)		$(1,488)
20% adverse change		$(27,849)		$(22,883)		$(2,976)

(1) The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs.

(2) For MSRs carried at fair value, an adverse change in one of the above-mentioned key inputs is expected to result in a recognized reduction in fair value which will be recorded in income. For MSRs carried at lower of amortized cost or fair value, an adverse change in one of the above-mentioned key inputs may have resulted in recognition of MSR impairment. The extent of the recognized MSR impairment depended on the relationship of fair value to the carrying value of such MSRs.

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

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Mortgage Loans Acquired for Sale at Fair Value (Tables)

3 Months Ended

Mar. 31, 2018

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:

Loan type	March 31, 2018		December 31, 2017
	(in thousands)
Conventional:
Agency-eligible	$	837,994	$	971,910
Held for sale to PLS — Government insured or guaranteed		259,673		279,571
Commercial real estate		10,177		9,898
Repurchased pursuant to representations and warranties		7,690		8,136
	$	1,115,534	$	1,269,515
Mortgage loans pledged to secure:
Assets sold under agreements to repurchase	$	1,097,266	$	1,201,992
Mortgage loan participation purchase and sale agreements		—		47,285
	$	1,097,266	$	1,249,277

XML

Mortgage Loans at Fair Value (Tables)

3 Months Ended

Mar. 31, 2018

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:

	March 31, 2018				December 31, 2017
Loan type	Fair value		Unpaid principal balance		Fair value		Unpaid principal balance
	(in thousands)
Distressed mortgage loans:
Nonperforming mortgage loans	$	205,124	$	312,036	$	353,648	$	524,949
Performing mortgage loans:
Interest rate step-up		137,451		181,412		189,724		242,335
Fixed interest rate		102,605		128,737		186,929		236,840
Adjustable-rate/hybrid		23,207		24,036		38,132		39,834
		263,263		334,185		414,785		519,009
		468,387		646,221		768,433		1,043,958
Fixed interest rate jumbo mortgage loans held in a VIE		311,102		312,730		321,040		316,684
	$	779,489	$	958,951	$	1,089,473	$	1,360,642
Mortgage loans at fair value pledged to secure:
Assets sold under agreements to repurchase	$	459,809			$	760,853
Asset-backed financing of a VIE at fair value		311,102				321,040
	$	770,911			$	1,081,893

Summary of Certain Concentrations of Credit Risk in Portfolio of Distressed Mortgage Loans at Fair Value

Following is a summary of certain concentrations of credit risk in the portfolio of distressed mortgage loans at fair value:

Concentration	March 31, 2018	December 31, 2017
	(percentages are of fair value)
Portion of mortgage loans originated between 2005 and 2007	73%	73%
Mortgage loans with unpaid-principal balance-to-current    -property-value in excess of 100%	38%	38%
States contributing 5% or more of mortgage loans	New York California New Jersey Florida Massachusetts	New York California New Jersey Florida Massachusetts

XML

Derivative Activities (Tables)

3 Months Ended

Mar. 31, 2018

Derivative Assets and Liabilities Recorded within Derivative Assets and Derivative Liabilities and Related Margin Deposits Recorded in Other Assets

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

	March 31, 2018								December 31, 2017
			Fair value								Fair value
	Notional		Derivative			Derivative			Notional		Derivative			Derivative
Instrument	amount		assets			liabilities			amount		assets			liabilities
	(in thousands)
Derivatives not designated as hedging    instruments:
Not subject to master netting arrangements:
Interest rate lock commitments		1,067,009	$	3,220		$	511			1,250,803	$	4,859		$	227
CRT Agreements		29,726,369		103,995			—			26,845,392		98,640			—
Repurchase agreement derivatives				5,892			—					3,748			—
Subject to master netting agreements─used     for hedging purposes:
Forward purchase contracts		2,510,700		11,400			1			1,996,235		4,343			248
Forward sale contracts		2,297,802		6			8,345			2,565,271		387			2,830
MBS put options		1,750,000		4,086			—			2,375,000		3,170			—
Call options on interest rate futures		150,000		492			—			—		—			—
Put options on interest rate futures		275,000		367			—			550,000		656			—
Swap futures		—		—			—			275,000		—			—
Bond futures		450,000		—			—			—		—			—
Eurodollar future contracts		847,664		—			—			937,000		—			—
Total derivative instruments before netting				129,458			8,857					115,803			3,305
Netting				(6,940	)		(5,221	)				(1,922	)		(1,999	)
			$	122,518		$	3,636				$	113,881		$	1,306
Margin deposits (received from) placed with    derivatives counterparties included in Other    assets (Accounts payable and accrued liabilities)			$	(1,718	)						$	76
Derivative assets pledged to secure assets sold     under agreements to repurchase			$	24,423							$	26,058

Summary of Net Derivative Assets

Following is a summary of net derivative assets:

	March 31, 2018								December 31, 2017
	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)
Derivative assets:
Not subject to master netting arrangements:
Interest rate lock commitments	$	3,220	$	—		$	3,220		$	4,859	$	—		$	4,859
CRT Agreement derivatives		103,995		—			103,995			98,640		—			98,640
Repurchase agreement derivatives		5,892		—			5,892			3,748		—			3,748
		113,107		—			113,107			107,247		—			107,247
Subject to master netting arrangements:
Forward purchase contracts		11,400		—			11,400			4,343		—			4,343
Forward sale contracts		6		—			6			387		—			387
MBS put options		4,086		—			4,086			3,170		—			3,170
Call options on interest rate futures		492		—			492			—		—			—
Put options on interest rate futures		367		—			367			656		—			656
Netting		—		(6,940	)		(6,940	)		—		(1,922	)		(1,922	)
		16,351		(6,940	)		9,411			8,556		(1,922	)		6,634
	$	129,458	$	(6,940	)	$	122,518		$	115,803	$	(1,922	)	$	113,881

Summary of Derivative Assets, Financial Instruments 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 setoff accounting:

	March 31, 2018								December 31, 2017
	Net amount of assets presented in the		Gross amounts not offset in the consolidated balance sheet						Net amount of assets presented in the		Gross amounts not offset in the consolidated balance sheet
	consolidated balance sheet		Financial instruments		Cash collateral received		Net amount		consolidated balance sheet		Financial instruments		Cash collateral received		Net amount
	(in thousands)
CRT Agreements	$	103,995	$	—	$	—	$	103,995	$	98,640	$	—	$	—	$	98,640
Interest rate lock commitments		3,220		—		—		3,220		4,859		—		—		4,859
J.P. Morgan Securities LLC		6,294		—		—		6,294		2,020		—		—		2,020
Deutsche Bank Securities LLC		5,892		—		—		5,892		3,748		—		—		3,748
Federal National Mortgage Association		1,073		—		—		1,073		1,606		—		—		1,606
RJ O’Brien & Associates, LLC		859		—		—		859		656		—		—		656
Barclays Capital Inc.		324		—		—		324		—		—		—		—
Credit Suisse Securities (USA) LLC		227		—		—		227		809		—		—		809
Mitsubishi UFJ Sec		155		—		—		155		193		—		—		193
RBC Capital Markets, L.P.		151		—		—		151		—		—		—		—
KGS Alpha Capital Markets LP		131		—		—		131		—		—		—		—
PNC Capital Markets LLC		100		—		—		100		—		—		—		—
Wells Fargo Securities, LLC		90		—		—		90		146		—		—		146
Morgan Stanley & Co. LLC		—		—		—		—		457		—		—		457
Citigroup Global Markets Inc.		—		—		—		—		429		—		—		429
Jefferies & Company, Inc.		—		—		—		—		160		—		—		160
Other		7		—		—		7		158		—		—		158
	$	122,518	$	—	$	—	$	122,518	$	113,881	$	—	$	—	$	113,881

Schedule of Offsetting of Derivative Liabilities and Financial Liabilities

Following is a summary of net derivative liabilities and assets sold under agreements to repurchase. Assets sold under agreements to repurchase do not qualify for setoff accounting.

	March 31, 2018									December 31, 2017
	Gross amounts of recognized liabilities			Gross amounts offset in the consolidated balance sheet			Net amounts of liabilities presented in the consolidated balance sheet			Gross amounts of recognized liabilities			Gross amounts offset in the consolidated balance sheet			Net amounts of liabilities presented in the consolidated balance sheet
	(in thousands)
Derivative liabilities:
Not subject to master netting arrangements:
Interest rate lock commitments	$	511		$	—		$	511		$	227		$	—		$	227
		511			—			511			227			—			227
Subject to master netting arrangements:
Forward purchase contracts		1			—			1			248			—			248
Forward sales contracts		8,345			—			8,345			2,830			—			2,830
Netting		—			(5,221	)		(5,221	)		—			(1,999	)		(1,999	)
		8,346			(5,221	)		3,125			3,078			(1,999	)		1,079
		8,857			(5,221	)		3,636			3,305			(1,999	)		1,306
Assets sold under agreements to repurchase:
UPB		3,409,440			—			3,409,440			3,182,504			—			3,182,504
Unamortized debt issuance costs		(1,157	)		—			(1,157	)		(1,618	)		—			(1,618	)
		3,408,283			—			3,408,283			3,180,886			—			3,180,886
	$	3,417,140		$	(5,221	)	$	3,411,919		$	3,184,191		$	(1,999	)	$	3,182,192

Summary of 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 setoff accounting. All assets sold under agreements to repurchase represent sufficient collateral or exceed the liability amount recorded on the consolidated balance sheet.

	March 31, 2018										December 31, 2017
	Net amount of liabilities presented in the			Gross amounts not offset in the consolidated balance sheet							Net amount of liabilities presented in the			Gross amounts not offset in the consolidated balance sheet
	consolidated balance sheet			Financial instruments			Cash collateral pledged		Net amount		consolidated balance sheet			Financial instruments			Cash collateral pledged		Net amount
	(in thousands)
Interest rate lock commitments	$	511		$	—		$	—	$	511	$	227		$	—		$	—	$	227
Bank of America, N.A.		1,110,861			(1,109,449	)		—		1,412		839,057			(838,771	)		—		286
Credit Suisse Securities (USA) LLC		917,667			(917,667	)		—		—		845,567			(845,567	)		—		—
J.P. Morgan Securities LLC		274,748			(274,748	)		—		—		373,186			(373,186	)		—		—
Deutsche Bank Securities LLC		266,238			(266,238	)		—		—		374,526			(374,526	)		—		—
Daiwa Capital Markets		264,386			(264,077	)		—		309		153,833			(153,730	)		—		103
Morgan Stanley & Co. LLC		231,591			(231,227	)		—		364		164,530			(164,530	)		—		—
Citigroup Global Markets Inc.		159,593			(159,593	)		—		—		235,541			(235,319	)		—		222
RBC Capital Markets, L.P.		93,872			(93,872	)		—		—		92,014			(91,805	)		—		209
Wells Fargo Securities, LLC		49,216			(49,216	)		—		—		50,360			(50,360	)		—		—
BNP Paribas		43,612			(43,353	)		—		259		45,411			(45,411	)		—		—
Goldman Sachs		549			—			—		549		164			—			—		164
Barclays Capital Inc.		—			—			—		—		9,374			(9,299	)		—		75
Other		232			—			—		232		20			—			—		20
Unamortized debt issuance costs		(1,157	)		1,157			—		—		(1,618	)		1,618			—		—
	$	3,411,919		$	(3,408,283	)	$	—	$	3,636	$	3,182,192		$	(3,180,886	)	$	—	$	1,306

Net Gains (Losses) Recognized on Derivative Financial Instruments

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

		Quarter ended March 31,
Derivative activity	Income statement line	2018			2017
		(in thousands)
Interest rate lock commitments	Net gain on mortgage loans     acquired for sale	$	(14,858	)	$	28,933
Hedged item:
Interest rate lock commitments and     mortgage loans acquired for sale	Net gain on mortgage loans     acquired for sale	$	32,810		$	(3,592	)
Mortgage servicing rights	Net mortgage loan servicing fees	$	(20,848	)	$	(8,698	)
Fixed-rate assets and LIBOR- indexed     repurchase agreements	Net gain (loss) on investments	$	1,460		$	(4,144	)
CRT agreements	Net gain (loss) on investments	$	24,684		$	20,307
Repurchase agreement derivatives	Interest expense	$	(12	)	$	—

Derivative Arising From Derivative Contracts [Member]

Summary of Activity in Notional Amount for Derivative Contracts

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

		Quarter ended March 31, 2018
		Amount,							Amount,
		beginning				Dispositions/			end
Instrument		of quarter		Additions		expirations			of quarter
	(in thousands)
Forward purchase contracts			1,996,235		19,833,104		(19,318,639	)		2,510,700
Forward sales contracts			2,565,271		24,410,334		(24,677,803	)		2,297,802
MBS put options			2,375,000		4,125,000		(4,750,000	)		1,750,000
Call options on interest rate futures			—		150,000		—			150,000
Put options on interest rate futures			550,000		3,325,000		(3,600,000	)		275,000
Swap futures			275,000		—		(275,000	)		—
Bond futures			—		450,000		—			450,000
Eurodollar future sale contracts			937,000		114,597		(203,933	)		847,664

	Quarter ended March 31, 2017
	Amount,							Amount,
	beginning				Dispositions/			end
Instrument	of quarter		Additions		expirations			of quarter
	(in thousands)
Forward purchase contracts		4,840,707		18,906,029		(19,631,577	)		4,115,159
Forward sales contracts		6,148,242		24,225,103		(24,699,931	)		5,673,414
MBS put options		925,000		1,400,000		(1,375,000	)		950,000
MBS call options		750,000		—		(750,000	)		—
Call options on interest rate futures		200,000		62,500		—			262,500
Put options on interest rate futures		550,000		1,750,000		(1,800,000	)		500,000
Swap futures		150,000		300,000		(300,000	)		150,000
Eurodollar future sale contracts		1,351,000		101,000		(212,000	)		1,240,000
Treasury future buy contracts		—		49,300		(49,300	)		—
Treasury future sale contracts		—		49,300		(49,300	)		—

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Real Estate Acquired in Settlement of Loans (Tables)

3 Months Ended

Mar. 31, 2018

Banking And Thrift [Abstract]

Summary of Financial Information Relating to REO

Following is a summary of financial information relating to REO:

	Quarter ended March 31,
	2018			2017
	(in thousands)
Balance at beginning of quarter	$	162,865		$	274,069
Transfers from mortgage loans at fair value and advances		16,363			24,876
Transfer of real estate acquired in settlement of    mortgage loans to real estate held for investment		(2,059	)		(6,644	)
Results of REO:
Valuation adjustments, net		(5,359	)		(8,175	)
Gain on sale, net		2,133			3,929
		(3,226	)		(4,246	)
Proceeds from sales		(32,437	)		(63,224	)
Balance at end of quarter	$	141,506		$	224,831
	March 31, 2018			December 31, 2017
	(in thousands)
REO pledged to secure assets sold under agreements to repurchase	$	67,720		$	76,037
REO held in a consolidated subsidiary whose stock    is pledged to secure financings of such properties		37,764			48,495
	$	105,484		$	124,532

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Mortgage Servicing Rights (Tables)

3 Months Ended

Mar. 31, 2018

Summary of MSRs Carried at Fair Value

Following is a summary of MSRs carried at fair value: 

	Quarter ended March 31,
	2018			2017
	(in thousands)
Balance at beginning of quarter	$	91,459		$	64,136
Transfer of mortgage servicing rights from mortgage servicing    rights carried at lower of amortized cost or fair value pursuant    to a change in accounting principle		773,035			—
Balance after reclassification		864,494			64,136
Purchases		—			62
MSRs resulting from mortgage loan sales		66,546			7,478
Changes in fair value:
Due to changes in valuation inputs used in valuation model (1)		52,611			32
Other changes in fair value (2)		(26,638	)		(2,025	)
		25,973			(1,993	)
Balance at end of quarter	$	957,013		$	69,683
	March 31, 2018			December 31, 2017
	(in thousands)
MSRs carried at fair value pledged to secure:
Assets sold under agreements to repurchase	$	745,965		$	66,813
Notes payable		195,721			23,471
	$	941,686		$	90,284

(1) Principally reflects changes in pricing spread (discount rate) and prepayment speed inputs, primarily due to changes in market 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 March 31,
	2018			2017
	(in thousands)
Amortized Cost:
Balance at beginning of quarter	$	772,870		$	606,103
Transfer of mortgage servicing right to mortgage servicing rights    carried at fair value pursuant to a change in accounting principle		(772,870	)		—
Balance after reclassification		—			606,103
MSRs resulting from mortgage loan sales		—			51,210
Amortization		—			(17,858	)
Balance at end of quarter		—			639,455
Valuation Allowance:
Balance at beginning of quarter		(19,548	)		(13,672	)
Reduction resulting from change in accounting principle		19,548			—
Balance after reclassification		—			(13,672	)
Reversal of impairment valuation allowance		—			1,504
Balance at end of quarter		—			(12,168	)
MSRs, net	$	—		$	627,287
Fair value at beginning of quarter				$	626,334
Fair value at end of quarter				$	662,584
				December 31, 2017
				(in thousands)
MSRs carried at lower of cost or fair value pledged to secure:
Assets sold under agreements to repurchase				$	584,762
Notes payable					156,846
				$	741,608

Mortgage service rights [Member]

Summary of Net Mortgage Loan Servicing Fees Relating to MSRs

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

	Quarter ended March 31,
	2018		2017
	(in thousands)
Contractually-specified servicing fees	$	48,732	$	37,281
Ancillary and other fees:
Late charges		214		187
Other		1,489		1,037
	$	50,435	$	38,505

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Assets Sold Under Agreements to Repurchase (Tables)

3 Months Ended

Mar. 31, 2018

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 March 31,
	2018			2017
	(dollars in thousands)
Weighted-average interest rate (1)		3.20	%		2.57	%
Average balance	$	3,077,914		$	3,267,864
Total interest expense	$	24,507		$	22,182
Maximum daily amount outstanding	$	3,655,250		$	4,330,825

(1) Excludes the effect of amortization of net issuance premiums of $169,000 for the quarter ended March 31, 2018 and net debt issuance costs of $2.3 million for the quarter ended March 31, 2017.

	March 31, 2018			December 31, 2017
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	3,409,440		$	3,182,504
Unamortized debt issuance costs and premiums, net		(1,157	)		(1,618	)
	$	3,408,283		$	3,180,886
Weighted-average interest rate		2.80	%		2.77	%
Available borrowing capacity:
Committed	$	767,553		$	749,650
Uncommitted		1,673,718			2,030,607
	$	2,441,271		$	2,780,257
Margin deposits placed with counterparties included in Other assets	$	40,114		$	28,154
Assets securing agreements to repurchase:
Mortgage-backed securities	$	1,436,456		$	989,461
Mortgage loans acquired for sale at fair value	$	1,097,266		$	1,201,992
Mortgage loans at fair value	$	459,809		$	760,853
CRT Agreements:
Deposits securing CRT agreements	$	392,453		$	400,778
Derivative assets	$	24,423		$	26,058
Real estate acquired in settlement of loans	$	105,484		$	124,532
Real estate held for investment	$	31,899		$	31,128
MSRs	$	745,965		$	651,575

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 March 31, 2018	Contractual balance
	(in thousands)
Within 30 days	$	1,373,877
Over 30 to 90 days		1,177,854
Over 90 days to 180 days		231,227
Over 180 days to 1 year		441,442
Over one year to two years		185,040
	$	3,409,440
Weighted average maturity (in months)		3.8

Summary of Assets Sold under Agreements to Repurchase by Counterparty

Securities sold under agreements to repurchase

Counterparty	Amount at risk		Weighted average maturity
	(in thousands)
Bank of America, N.A.	$	46,492	May 2, 2018
JPMorgan Chase & Co.	$	8,745	April 8, 2018
Daiwa Capital Markets America Inc.	$	18,151	April 20, 2018
Royal Bank of Canada	$	7,640	April 16, 2018
Wells Fargo, N.A.	$	2,670	April 12, 2018

CRT Agreements sold under agreements to repurchase [Member]

Summary of Assets Sold under Agreements to Repurchase by Counterparty

CRT Agreements sold under agreements to repurchase

Counterparty	Amount at risk		Weighted average maturity
	(in thousands)
Credit Suisse First Boston Mortgage Capital LLC	$	51,226	April 16, 2018
Bank of America, N.A.	$	27,592	April 16, 2018
BNP Paribas Corporate & Institutional Banking	$	18,160	April 9, 2018

Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member]

Summary of Assets Sold under Agreements to Repurchase by Counterparty

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

Counterparty	Amountat risk		Weighted-average maturity	Facility maturity
	(in thousands)
Credit Suisse First Boston Mortgage Capital LLC	$	468,728	June 18, 2018	April 27, 2018
Bank of America, N.A.	$	10,624	April 14, 2018	May 25, 2018
Citibank, N.A.	$	60,502	April 22, 2018	May 1, 2018
JPMorgan Chase & Co.	$	36,428	March 14, 2019	March 14, 2019
JPMorgan Chase & Co.	$	3,420	May 18, 2018	October 12, 2018
Morgan Stanley	$	11,132	June 17, 2018	August 24, 2018
Deutsche Bank	$	13,282	June 20, 2018	September 30, 2018

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Mortgage Loan Participation Purchase and Sale Agreements (Tables)

3 Months Ended

Mar. 31, 2018

Text Block [Abstract]

Summary of Mortgage Loan Participation Purchase and Sale Agreements

Mortgage loan participation purchase and sale agreements are summarized below:

	Quarter ended March 31,
	2018			2017
	(dollars in thousands)
Weighted-average interest rate (1)		2.49	%		2.08	%
Average balance	$	45,561		$	64,498
Total interest expense	$	314		$	366
Maximum daily amount outstanding	$	77,407		$	97,404

(1) Excludes the effect of amortization of debt issuance costs of $31,000 for the quarter ended March 31, 2017. There was no amortization of debt issuance costs during the quarter ended March 31, 2018.

	March 31, 2018		December 31, 2017
	(dollars inthousands)
Carrying value:
Amount outstanding	$	—	$	44,550
Unamortized debt issuance costs		—		(62	)
	$	—	$	44,488
Weighted-average interest rate		—		2.82	%
Mortgage loans acquired for sale pledged to secure    mortgage loan participation purchase and sale agreements	$	—	$	47,285

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Notes Payable (Tables)

3 Months Ended

Mar. 31, 2018

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 March 31,
	2018		2017
	(dollarsin thousands)
Weighted-average interest rate (1)		—		5.13	%
Average balance	$	—	$	260,384
Total interest expense	$	—	$	4,305
Maximum daily amount outstanding	$	—	$	275,106

(1) Excludes the effect of amortization of debt issuance costs of $998,000 for the quarter ended March 31, 2018.

	March 31, 2018		December 31, 2017
	(dollars in thousands)
Carrying value:
Amount outstanding	$	—	$	—
Unamortized debt issuance costs		—		—
	$	—	$	—
Weighted-average interest rate		—		—
MSRs pledged to secure notes payable	$	195,721	$	180,317

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

3 Months Ended

Mar. 31, 2018

Text Block [Abstract]

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

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

	Quarter ended March 31,
	2018			2017
	(dollars in thousands)
Weighted-average fair value	$	297,682		$	347,854
Total interest expense	$	2,296		$	3,409
Weighted-average effective interest rate		3.54	%		3.48	%

	March 31, 2018			December 31, 2017
	(dollars in thousands)
Fair value	$	296,982		$	307,419
UPB	$	312,730		$	316,684
Weighted-average interest rate		3.51	%		3.51	%

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Exchangeable Senior Notes (Tables)

3 Months Ended

Mar. 31, 2018

Text Block [Abstract]

Summary of Financial Information Relating to Exchangeable Notes

Following is financial information relating to the Exchangeable Notes:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Weighted-average UPB	$	250,000	$	250,000
Total interest expense	$	3,644	$	3,627

	March 31, 2018			December 31, 2017
	(in thousands)
Carrying value:
UPB	$	250,000		$	250,000
Unamortized debt issuance costs		(2,529	)		(2,814	)
	$	247,471		$	247,186

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Liability for Losses Under Representations and Warranties (Tables)

3 Months Ended

Mar. 31, 2018

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 March 31,
	2018			2017
	(in thousands)
Balance, beginning of quarter	$	8,678		$	15,350
Provision for losses:
Pursuant to mortgage loan sales		572			673
Reduction in liability due to change in estimate		(1,042	)		(4,576	)
Recoveries, net		41			—
Balance, end of quarter	$	8,249		$	11,447
UPB of mortgage loans subject to representations and    warranties at end of quarter	$	74,554,838		$	58,797,849

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Commitments and Contingencies (Tables)

3 Months Ended

Mar. 31, 2018

Commitments And Contingencies Disclosure [Abstract]

Company's Outstanding Contractual Commitments

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

	March 31, 2018
	(in thousands)
Commitments to purchase mortgage loans acquired for sale	$	1,067,009
Commitments to fund Deposits securing CRT agreements (1)	$	552,957

(1) Certain deposits of cash collateral on CRT Agreements are made upon the first to occur of fulfillment of the aggregation obligation or the lapse of the aggregation period.

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Shareholders' Equity (Tables)

3 Months Ended

Mar. 31, 2018

Equity [Abstract]

Schedule of Preferred Shares of Beneficial Interest

Preferred shares of beneficial interest are summarized below:

Series	Description (1)	Number of shares		Liquidation preference		Issuance discount		Carrying value
		(in thousands)
A	8.125% fixed-to-floating rate cumulative redeemable preferred,    issued March 2017		4,600	$	115,000	$	3,828	$	111,172
B	8.00% fixed-to-floating rate cumulative redeemable preferred,    issued July 2017		7,800		195,000		6,465		188,535
			12,400	$	310,000	$	10,293	$	299,707

(1) Par value is $0.01 per share for both series.

Summary of Share Repurchase Activity

The following table summarizes the Company’s share repurchase activity:  

	Quarter ended March 31,
	2018		2017		Cumulative total (1)
	(in thousands)
Common shares repurchased		671		139		14,731
Cost of common shares repurchased	$	10,719	$	2,307	$	216,625

(1) Amounts represent the share repurchase program total from its inception in August 2015 through March 31, 2018.

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Net Gain on Mortgage Loans Acquired for Sale (Tables)

3 Months Ended

Mar. 31, 2018

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 March 31,
	2018			2017
	(in thousands)
From non-affiliates:
Cash loss:
Mortgage loans	$	(95,767	)	$	(55,907	)
Hedging activities		33,746			16,258
		(62,021	)		(39,649	)
Non cash gain:
Receipt of MSRs in mortgage loan sale transactions		66,546			58,688
Provision for losses relating to representations and warranties provided in mortgage    loan sales:
Pursuant to mortgage loans sales		(572	)		(673	)
Reduction in liability due to change in estimate		1,042			4,576
Change in fair value of financial instruments held at end of quarter:
IRLCs		(1,924	)		4,945
Mortgage loans		2,851			8,587
Hedging derivatives		(936	)		(19,850	)
		(9	)		(6,318	)
Total from non-affiliates		4,986			16,624
From PFSI—cash gain		2,641			2,401
	$	7,627		$	19,025

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Net Gain (Loss) on Investments (Tables)

3 Months Ended

Mar. 31, 2018

Investments Debt And Equity Securities [Abstract]

Summary of Net Gain (Loss) on Investments

Net gain (loss) on investments is summarized below:

	Quarter ended March 31,
	2018			2017
	(in thousands)
From non-affiliates:
Mortgage-backed securities	$	(22,397	)	$	140
Distressed mortgage loans at fair value		(9,951	)		3,216
Mortgage loans held in a VIE at fair value		(5,579	)		316
CRT Agreements		22,551			18,587
Asset-backed financing of a VIE at fair value		6,183			(24	)
Hedging derivatives		1,460			(4,144	)
		(7,733	)		18,091
From PFSI—ESS		7,751			(1,370	)
	$	18		$	16,721

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Net Mortgage Loan Servicing Fees (Tables)

3 Months Ended

Mar. 31, 2018

Text Block [Abstract]

Summary of Net Mortgage Loan Servicing Fees

Net mortgage loan servicing fees are summarized below:

	Quarter ended March 31,
	2018			2017
	(in thousands)
From non-affiliates:
Servicing fees (1)	$	48,732		$	37,281
Ancillary and other fees		1,703			1,224
Effect of MSRs:
Carried at fair value—change in fair value		25,973			(1,993	)
Carried at lower of amortized cost or fair value:
Amortization		—			(17,858	)
Additions to impairment valuation allowance		—			1,504
Losses on hedging derivatives, net		(20,848	)		(8,698	)
		5,125			(27,045	)
		55,560			11,460
From PFSI—MSR recapture income		595			292
Net mortgage loan servicing fees	$	56,155		$	11,752
Average servicing portfolio	$	73,694,438		$	57,927,056

(1) Includes contractually specified servicing fees, net of Agency guarantee fees.

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Net Interest Income (Tables)

3 Months Ended

Mar. 31, 2018

Banking And Thrift Interest [Abstract]

Summary of Net Interest Income

Net interest income is summarized below:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Interest income:
From nonaffiliates:
Short-term investments	$	73	$	281
Mortgage-backed securities		8,791		6,772
Mortgage loans acquired for sale at fair value		11,332		11,502
Mortgage loans at fair value:
Distressed		7,899		19,651
Held in a VIE		2,603		3,729
Placement fees relating to custodial funds		4,215		1,071
Deposits securing CRT Agreements		2,031		408
Other		102		39
		37,046		43,453
From PFSI—ESS		3,934		4,647
		40,980		48,100
Interest expense:
To nonaffiliates:
Assets sold under agreements to repurchase (1)		24,507		22,182
Mortgage loan participation purchase and sale agreements		314		366
Notes payable		—		4,305
Asset-backed financings of VIEs at fair value		2,296		3,409
Exchangeable Notes		3,644		3,627
Interest shortfall on repayments of mortgage loans serviced for    Agency securitizations		1,594		1,062
Interest on mortgage loan impound deposits		485		423
		32,840		35,374
To PFSI—Assets sold under agreement to repurchase		1,976		1,805
		34,816		37,179
Net interest income	$	6,164	$	10,921

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Share-Based Compensation Plans (Tables)

3 Months Ended

Mar. 31, 2018

Disclosure Of Compensation Related Costs Sharebased Payments [Abstract]

Summary of Share-Based Compensation Activity

The following table summarizes the Company’s share-based compensation activity:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Grants:
Restricted share units		129		134
Performance share units		116		126
Total share units granted		245		260
Grant date fair value:
Restricted share units granted	$	2,300	$	2,281
Performance share units granted		1,542		1,722
Total fair value of share units granted	$	3,842	$	4,003
Vestings:
Restricted share units		192		153
Performance share units		28		—
Total share units vested		220		153
Forfeitures:
Restricted share units		—		—
Performance share units		—		—
Total share units forfeited		—		—
Compensation expense relating to share-based grants	$	899	$	1,527

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Other Expenses (Tables)

3 Months Ended

Mar. 31, 2018

Other Income And Expenses [Abstract]

Summary of Other Expenses

Other expenses are summarized below:

	Quarter ended March 31,
	2018		2017
	(in thousands)
Common overhead allocation from PFSI	$	1,001	$	1,434
Technology		378		318
Insurance		305		338
Other		966		1,413
	$	2,650	$	3,503

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Earnings Per Share (Tables)

3 Months Ended

Mar. 31, 2018

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 March 31,
	2018			2017
	(in thousands except per share amounts)
Net income	$	28,186		$	28,737
Dividends on preferred shares		(6,234	)		(571	)
Effect of participating securities—share-based compensation awards		(202	)		(298	)
Net income attributable to common shareholders	$	21,750		$	27,868
Net income attributable to common shareholders	$	21,750		$	27,868
Interest on Exchangeable Notes, net of income taxes		2,655			2,186
Diluted net income attributable to common shareholders	$	24,405		$	30,054
Weighted-average basic shares outstanding		60,761			66,719
Dilutive securities:
Shares issuable under share-based compensation plan		647			—
Shares issuable pursuant to exchange of the Exchangeable Notes		8,467			8,467
Diluted weighted-average number of shares outstanding		69,875			75,186
Basic earnings per share	$	0.36		$	0.42
Diluted earnings per share	$	0.35		$	0.40

Summary of Potentially Dilutive Shares Excluded from Computation of Diluted Earnings Per Share

	Quarter ended March 31,
	2018		2017
	(in thousands)
Shares issuable under share-based compensation plan		—		661

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Segments (Tables)

3 Months Ended

Mar. 31, 2018

Segment Reporting [Abstract]

Financial Highlights by Operating Segment

Financial highlights by operating segment are summarized below:

Quarter ended March 31, 2018	Correspondent production			Credit sensitive strategies			Interest rate sensitive strategies			Corporate			Total
	(in thousands)
Net investment income:
Net gain on mortgage loans acquired for sale	$	7,599		$	28		$	—		$	—		$	7,627
Net gain (loss) on investments		—			12,414			(12,396	)		—			18
Net mortgage loan servicing fees		—			7			56,148			—			56,155
Net interest income:
Interest income		11,169			10,208			19,428			175			40,980
Interest expense		(6,798	)		(10,664	)		(17,354	)		—			(34,816	)
		4,371			(456	)		2,074			175			6,164
Other income (loss)		7,073			(1,389	)		—			25			5,709
		19,043			10,604			45,826			200			75,673
Expenses:
Mortgage loan fulfillment and servicing fees    payable to PFSI		11,944			3,085			7,934			—			22,963
Management fees		—			—			—			5,696			5,696
Other		469			3,913			108			4,686			9,176
		12,413			6,998			8,042			10,382			37,835
Pre-tax income (loss)	$	6,630		$	3,606		$	37,784		$	(10,182	)	$	37,838
Total assets at end of quarter	$	1,141,457		$	1,485,492		$	2,989,692		$	173,845		$	5,790,486

Quarter ended March 31, 2017	Correspondent production			Credit sensitive strategies			Interest rate sensitive strategies			Corporate			Total
	(in thousands)
Net investment income:
Net gain on mortgage loans acquired for sale	$	19,011		$	14		$	—		$	—		$	19,025
Net gain (loss) on investments		—			21,994			(5,273	)		—			16,721
Net mortgage loan servicing fees		—			14			11,738			—			11,752
Net interest income:
Interest income		11,357			20,321			16,102			320			48,100
Interest expense		(7,901	)		(14,272	)		(15,006	)		—			(37,179	)
		3,456			6,049			1,096			320			10,921
Other income (loss)		8,317			(2,268	)		—			6			6,055
		30,784			25,803			7,561			326			64,474
Expenses:
Mortgage loan fulfillment and servicing fees    payable to PFSI		16,575			4,348			6,133			—			27,056
Management fees		—			—			—			5,008			5,008
Other		1,737			2,028			684			5,353			9,802
		18,312			6,376			6,817			10,361			41,866
Pre-tax income (loss)	$	12,472		$	19,427		$	744		$	(10,035	)	$	22,608
Total assets at end of quarter	$	1,292,513		$	2,137,531		$	2,432,419		$	140,483		$	6,002,946

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Supplemental Cash Flow Information (Tables)

3 Months Ended

Mar. 31, 2018

Supplemental Cash Flow Elements [Abstract]

Summary of Supplemental Cash Flow Information

	Quarter ended March 31,
	2018		2017
	(in thousands)
Income tax payments, net of refunds	$	—	$	31
Interest payments	$	32,112	$	35,838
Cumulative effect on accumulated deficit of conversion to fair value    accounting	$	19,713	$	—
Non-cash investing activities:
Capitalization of servicing advances pursuant to mortgage loan    modifications	$	1,677	$	6,349
Receipt of excess servicing spread pursuant to recapture agreement    with PennyMac Financial Services, Inc.	$	904	$	1,573
Transfer of mortgage loans and advances to real estate    acquired in settlement of loans	$	16,363	$	24,876
Transfer of real estate acquired in settlement of mortgage    loans to real estate held for investment	$	2,059	$	6,644
Receipt of mortgage servicing rights as proceeds from sales of    mortgage loans	$	66,546	$	58,688
Non-cash financing activities:
Recognition of financing premium arising from repurchase    agreement derivatives	$	2,164	$	—
Dividends declared, not paid	$	28,818	$	31,652

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Regulatory Capital and Liquidity Requirements (Tables)

3 Months Ended

Mar. 31, 2018

Mortgage Banking [Abstract]

Summary of Capital and Liquidity Amounts and Requirements by Agencies

Such Agencies’ capital and liquidity amounts and requirements, the calculations of which are defined by each entity, are summarized below:

	March 31, 2018
	Net Worth (1)				Tangible Net Worth / Total Assets Ratio (1)						Liquidity (1)
Fannie Mae and Freddie Mac	Actual		Required		Actual			Required			Actual		Required
	(in thousands)										(in thousands)
March 31, 2018	$	527,072	$	190,654		14	%		6	%	$	72,381	$	26,342
December 31, 2017	$	487,535	$	182,818		12	%		6	%	$	73,252	$	25,245

(1) Calculated in accordance with the Agencies’ requirements.

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Organization - Additional Information (Detail)	3 Months Ended
	Mar. 31, 2018 Segment
Accounting Policies [Abstract]
Number of business segments	4
Percentage of taxable income for distributions	90.00%

XML

Basis of Presentation and Accounting Changes - Additional Information (Detail) - Accounting Standards Update 2014-11 Transfers and Servicing [Member] $ in Millions	Jan. 01, 2018 USD ($)
Basis Of Pesentation And Accounting Changes [Line Items]
Change in accounting principle, increase in income taxes payable	$ 5.3
Change in accounting principle, increase in shareholders equity	14.4
MSRs [Member]
Basis Of Pesentation And Accounting Changes [Line Items]
Change in accounting principle, increase in investment	$ 19.7

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Concentration of Risks - Summary of Holdings of Assets Purchased (Detail) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2018	Dec. 31, 2017
Investment portfolio purchases through one or more subsidiaries of Citigroup Inc. and JPMorgan Chase & Co. as of:
Investment portfolio purchases above through one or more subsidiaries total	$ 559,355	$ 860,860
Total carrying value of distressed mortgage loans at fair value and REO	609,893	931,298
Assets Purchased From JPMorgan Chase & Co [Member]
Investment portfolio purchases through one or more subsidiaries of Citigroup Inc. and JPMorgan Chase & Co. as of:
Investment portfolio purchases above through one or more subsidiaries Mortgage loans at fair value	185,224	315,437
Investment portfolio purchases above through one or more subsidiaries REO	59,178	66,294
Investment portfolio purchases above through one or more subsidiaries total	244,402	381,731
Assets Purchased from Citigroup [Member]
Investment portfolio purchases through one or more subsidiaries of Citigroup Inc. and JPMorgan Chase & Co. as of:
Investment portfolio purchases above through one or more subsidiaries Mortgage loans at fair value	181,334	280,488
Investment portfolio purchases above through one or more subsidiaries REO	21,091	26,702
Investment portfolio purchases above through one or more subsidiaries total	202,425	307,190
Assets Purchased from Bank of America Corporation [Member]
Investment portfolio purchases through one or more subsidiaries of Citigroup Inc. and JPMorgan Chase & Co. as of:
Investment portfolio purchases above through one or more subsidiaries Mortgage loans at fair value	86,478	143,969
Investment portfolio purchases above through one or more subsidiaries REO	26,050	27,970
Investment portfolio purchases above through one or more subsidiaries total	$ 112,528	$ 171,939

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Transactions with Related Parties - Correspondent Production Activities - Additional Information (Detail)	3 Months Ended
	Mar. 31, 2018 USD ($)
Mortgage Loans On Real Estate [Line Items]
Servicing agreement expiration date	Sep. 12, 2020
Renewal period of servicing agreement	18 months
Maximum [Member]
Mortgage Loans On Real Estate [Line Items]
Interest income and sourcing fee	0.035%
Minimum [Member]
Mortgage Loans On Real Estate [Line Items]
Interest income and sourcing fee	0.02%
Penny Mac Loan Services Llc | Fannie Mae Or Freddie Mac Mortgage Loans | Maximum [Member]
Mortgage Loans On Real Estate [Line Items]
Basis point for monthly fulfillment fee	0.35%
Penny Mac Loan Services Llc | Mortgage Loans Sold And Securitized | Maximum [Member]
Mortgage Loans On Real Estate [Line Items]
Basis point for monthly fulfillment fee	0.50%
Mortgage banking services [Member]
Mortgage Loans On Real Estate [Line Items]
Mortgage loan fees per annum	$ 1,500
Mortgage loan fees per loan	$ 35
Servicing agreement expiration date	Sep. 12, 2020
Renewal period of servicing agreement	18 months
Warehouse services [Member]
Mortgage Loans On Real Estate [Line Items]
Servicing agreement expiration date	Sep. 12, 2020
Renewal period of servicing agreement	18 months

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Transactions with Related Parties - Summary of Correspondent Production Activity (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017	Dec. 31, 2017
Related Party Transaction [Line Items]
Purchases of mortgage loans acquired for sale from PLS	$ 781,326	$ 21,530
Mortgage loans fulfillment fees earned by PLS	11,944	16,570
Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS	1,115,534		$ 1,269,515
PennyMac Loan Services, LLC [Member]
Related Party Transaction [Line Items]
Purchases of mortgage loans acquired for sale from PLS	781,326	21,530
Mortgage loans fulfillment fees earned by PLS	11,944	16,570
UPB of mortgage loans fulfilled by PLS	4,225,631	4,631,906
Sourcing fees received from PLS included in Net gain on mortgage loans acquired for sale	2,641	2,871
UPB of mortgage loans sold to PLS	8,847,873	9,574,717
Early purchase program fees paid to PLS included in Mortgage loan servicing fees	0	5
Tax service fee paid to PLS included in Other expense	1,208	$ 1,379
Mortgage loans included in Mortgage loans acquired for sale at fair value pending sale to PLS	$ 259,673		$ 279,571

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Transactions with Related Parties - Mortgage Loan Servicing Activities - Additional Information (Detail)	3 Months Ended
	Mar. 31, 2018 USD ($)
Mortgage Loans On Real Estate [Line Items]
Servicing agreement expiration date	Sep. 12, 2020
Renewal period of servicing agreement	18 months
Penny Mac Loan Services Llc
Mortgage Loans On Real Estate [Line Items]
Base servicing fees for REO per month	$ 75
REO rental fee	30
Lease renewal fee for REO	$ 100
Rental income percentage gross	9.00%
Penny Mac Loan Services Llc | Distressed mortgage loans [Member]
Mortgage Loans On Real Estate [Line Items]
Base servicing fees for REO per month	$ 75
Activity based fees	$ 500
Services agreement fees collection period	18 months
Penny Mac Loan Services Llc | Distressed mortgage loans [Member] | Minimum [Member]
Mortgage Loans On Real Estate [Line Items]
Base servicing fees per month	$ 30
Activity based fees	750
Penny Mac Loan Services Llc | Distressed mortgage loans [Member] | Maximum [Member]
Mortgage Loans On Real Estate [Line Items]
Base servicing fees per month	85
Activity based fees	1,750
Penny Mac Loan Services Llc | Subserviced loan [Member] | Fixed-Rate Mortgage Loans [Member]
Mortgage Loans On Real Estate [Line Items]
Base servicing fees per month	7.50
Penny Mac Loan Services Llc | Subserviced loan [Member] | Adjustable rate mortgage loans [Member]
Mortgage Loans On Real Estate [Line Items]
Base servicing fees per month	8.50
Penny Mac Loan Services Llc | Non-Distressed Mortgage Loans [Member]
Mortgage Loans On Real Estate [Line Items]
Base servicing fees for REO per month	75
Penny Mac Loan Services Llc | Non-Distressed Mortgage Loans [Member] | Minimum [Member]
Mortgage Loans On Real Estate [Line Items]
Additional servicing fees per loan per month	10
Penny Mac Loan Services Llc | Non-Distressed Mortgage Loans [Member] | Maximum [Member]
Mortgage Loans On Real Estate [Line Items]
Additional servicing fees per loan per month	55
Penny Mac Loan Services Llc | Whole loans [Member]
Mortgage Loans On Real Estate [Line Items]
Supplemental fee received per month	$ 25
PennyMac Financial Services, Inc. [Member]
Mortgage Loans On Real Estate [Line Items]
Percentage of cash in amount equal to fair market value of MSRs related to all loans	30.00%

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Transactions with Related Parties - Summary of Mortgage Loan Servicing Fees Earned and Mortgage Servicing Rights Recaptured Income Earned (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Related Party Transaction [Line Items]
Mortgage loan servicing fees	$ 11,019	$ 10,486
Average MSR portfolio	73,694,438	57,927,056
PennyMac Loan Services, LLC [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees	11,019	10,486
Average MSR portfolio	73,694,438	57,927,056
MSR recapture income recognized included in Net mortgage loan servicing fees - from PennyMac Financial Service, Inc.	595	292
PennyMac Loan Services, LLC [Member] | Mortgage loans acquired for sale at fair value [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees	178	208
Average MSR portfolio	1,046,289	1,099,406
PennyMac Loan Services, LLC [Member] | Distressed mortgage loans [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees	3,085	4,348
Average MSR portfolio	738,333	1,327,421
PennyMac Loan Services, LLC [Member] | Mortgage loans held in VIE [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees	34	31
Average MSR portfolio	314,717	361,110
PennyMac Loan Services, LLC [Member] | Mortgage servicing rights [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees	7,722	5,899
PennyMac Loan Services, LLC [Member] | Base [Member] | Mortgage loans acquired for sale at fair value [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees	56	65
PennyMac Loan Services, LLC [Member] | Base [Member] | Distressed mortgage loans [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees	1,005	1,958
PennyMac Loan Services, LLC [Member] | Base [Member] | Mortgage loans held in VIE [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees	34	31
PennyMac Loan Services, LLC [Member] | Base [Member] | Mortgage servicing rights [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees	7,615	5,806
PennyMac Loan Services, LLC [Member] | Activity-based [Member] | Mortgage loans acquired for sale at fair value [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees	122	143
PennyMac Loan Services, LLC [Member] | Activity-based [Member] | Distressed mortgage loans [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees	2,080	2,390
PennyMac Loan Services, LLC [Member] | Activity-based [Member] | Mortgage loans held in VIE [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees	0	0
PennyMac Loan Services, LLC [Member] | Activity-based [Member] | Mortgage servicing rights [Member]
Related Party Transaction [Line Items]
Mortgage loan servicing fees	$ 107	$ 93

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Transactions with Related Parties - Management Fees - Additional Information (Detail) - USD ($)	3 Months Ended
	Mar. 31, 2018	Aug. 04, 2009
PNMAC Capital Management LLC [Member]
Mortgage Loans On Real Estate [Line Items]
Percentage of change in net income due to quarterly adjustments	8.00%
Termination fees, description	The termination fee is equal to three times the sum of (a) the average annual base management fee, and (b) the average annual performance incentive fee earned by PCM, in each case during the 24-month period before termination.
PMT agreed to reimburse PCM for a payment	$ 120,000
PNMAC Capital Management LLC [Member] | 1.5% per annum of stockholders equity [Member]
Mortgage Loans On Real Estate [Line Items]
Base management fee annual rate	1.50%
PNMAC Capital Management LLC [Member] | 1.375% per annum of stockholders equity [Member]
Mortgage Loans On Real Estate [Line Items]
Base management fee annual rate	1.375%
PNMAC Capital Management LLC [Member] | 1.25% per annum of stockholders equity [Member]
Mortgage Loans On Real Estate [Line Items]
Base management fee annual rate	1.25%
PNMAC Capital Management LLC [Member] | Net income exceeds 10% [Member]
Mortgage Loans On Real Estate [Line Items]
Percentage of net income for calculation of performance incentive fees	10.00%
Percentage of return on equity	12.00%
PNMAC Capital Management LLC [Member] | Net income exceeds 15% [Member]
Mortgage Loans On Real Estate [Line Items]
Percentage of net income for calculation of performance incentive fees	15.00%
Percentage of return on equity	16.00%
PNMAC Capital Management LLC [Member] | Net income exceeds 20% [Member]
Mortgage Loans On Real Estate [Line Items]
Percentage of net income for calculation of performance incentive fees	20.00%
PNMAC Capital Management LLC [Member] | Maximum [Member]
Mortgage Loans On Real Estate [Line Items]
Percentage of performance incentive fee paid in Company's common shares	50.00%
PMT agreed to reimburse PCM for a payment		$ 2,900,000
PNMAC Capital Management LLC [Member] | Maximum [Member] | 1.5% per annum of stockholders equity [Member]
Mortgage Loans On Real Estate [Line Items]
Base management fee shareholders' equity limit	$ 2,000,000,000
PNMAC Capital Management LLC [Member] | Maximum [Member] | 1.375% per annum of stockholders equity [Member]
Mortgage Loans On Real Estate [Line Items]
Base management fee shareholders' equity limit	$ 5,000,000,000
PNMAC Capital Management LLC [Member] | Maximum [Member] | Net income exceeds 10% [Member]
Mortgage Loans On Real Estate [Line Items]
Percentage of return on equity	8.00%
PNMAC Capital Management LLC [Member] | Maximum [Member] | Net income exceeds 15% [Member]
Mortgage Loans On Real Estate [Line Items]
Percentage of return on equity	12.00%
PNMAC Capital Management LLC [Member] | Maximum [Member] | Net income exceeds 20% [Member]
Mortgage Loans On Real Estate [Line Items]
Percentage of return on equity	16.00%
PNMAC Capital Management LLC [Member] | Minimum [Member] | 1.375% per annum of stockholders equity [Member]
Mortgage Loans On Real Estate [Line Items]
Base management fee shareholders' equity limit	$ 2,000,000,000
PNMAC Capital Management LLC [Member] | Minimum [Member] | 1.25% per annum of stockholders equity [Member]
Mortgage Loans On Real Estate [Line Items]
Base management fee shareholders' equity limit	$ 5,000,000,000
PennyMac Financial Services, Inc. [Member]
Mortgage Loans On Real Estate [Line Items]
Performance incentive fee description	The performance incentive fee is calculated quarterly and 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.

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Transactions with Related Parties - Summary of Base Management and Performance Incentive Fees Payable (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Related Party Transaction [Line Items]
Total management fee incurred during the period	$ 5,696	$ 5,008
PNMAC Capital Management LLC [Member]
Related Party Transaction [Line Items]
Total management fee incurred during the period	5,696	5,008
PNMAC Capital Management LLC [Member] | Base [Member]
Related Party Transaction [Line Items]
Total management fee incurred during the period	5,696	5,008
PNMAC Capital Management LLC [Member] | Performance incentive [Member]
Related Party Transaction [Line Items]
Total management fee incurred during the period	$ 0	$ 0

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Transactions with Related Parties - Summary of Expenses (Detail) - PNMAC Capital Management LLC [Member] - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Related Party Transaction [Line Items]
Common overhead incurred by PCM and its affiliates	$ 1,121	$ 1,434
Expenses incurred on the Company’s behalf, net	573	255
Total expenses incurred in transaction with affiliates	1,694	1,689
Payments and settlements during the quarter	$ 7,658	$ 24,393

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Transactions with Related Parties - Note Payable to PLS - Additional Information (Detail) - USD ($)			3 Months Ended
	Dec. 19, 2016	Aug. 04, 2009	Mar. 31, 2018	Mar. 31, 2017	Dec. 31, 2017
Related Party Transaction [Line Items]
Recapture percentage loan fee rate and unpaid principal balance refinance mortgage loans	90.00%
Recapture percentage loan fee rate and unpaid principal balance modified mortgage loans	90.00%
VFN [Member]
Related Party Transaction [Line Items]
Maximum principal balance	$ 1,000,000,000
PennyMac Financial Services, Inc. [Member]
Related Party Transaction [Line Items]
Number of common shares held by affiliate			75,000		75,000
PNMAC Capital Management LLC [Member]
Related Party Transaction [Line Items]
PMT agreed to reimburse PCM for a payment			$ 120,000
Payment of contingent underwriting fees			$ 0	$ 0
Maximum [Member]
Related Party Transaction [Line Items]
Aggregate ESS transferred	$ 200,000
Maximum [Member] | PNMAC Capital Management LLC [Member]
Related Party Transaction [Line Items]
PMT agreed to reimburse PCM for a payment		$ 2,900,000
Payment of contingent underwriting fees		$ 5,900,000

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Transactions with Related Parties - Summary of Investing Activity (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
ESS:
Interest income	$ 40,980	$ 48,100
Net gain (loss) included in Net gain (loss) on investments:
Net (loss) gain on investments	18	16,721
PennyMac Financial Services, Inc. [Member]
ESS:
Received pursuant to a recapture agreement	904	1,573
Repayments and sales	12,291	14,632
Interest income	3,934	4,647
Net gain (loss) included in Net gain (loss) on investments:
Valuation changes	6,921	(2,773)
Recapture income	830	1,403
Net (loss) gain on investments	$ 7,751	$ (1,370)

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Transactions with Related Parties - Summary of Financing Activities (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017	Dec. 31, 2017
Related Party Transaction [Line Items]
Interest expense	$ 34,816	$ 37,179
PennyMac Financial Services, Inc. [Member]
Related Party Transaction [Line Items]
Interest expense	1,976	$ 1,805
Assets sold to PFSI under agreement to repurchase	142,938		$ 144,128
Conditional Reimbursement payable to PFSI included in Accounts payable and accrued liabilities	870		870
PennyMac Financial Services, Inc. [Member] | Accounts Payable and Accrued Liabilities [Member]
Related Party Transaction [Line Items]
Conditional Reimbursement payable to PFSI included in Accounts payable and accrued liabilities	$ 870		$ 870

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Transactions with Related Parties - Summary of Amounts Receivable From and Payable to PFSI (Detail) - PennyMac Financial Services, Inc. [Member] - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Due from PFSI:
MSR recapture receivable	$ 207	$ 282
Other	106	3,872
Due from Affiliates	313	4,154
Due to PFSI:
Allocated expenses and expenses paid by PFSI on PMT’s behalf	8,806	11,542
Management fees	5,696	5,901
Mortgage loan servicing fees	5,562	6,583
Fulfillment fees	4,471	346
Correspondent production fees	1,825	1,735
Conditional Reimbursement	870	870
Interest on Assets sold to PFSI under agreement to repurchase	126	142
Total expense due to affiliate	$ 27,356	$ 27,119

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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
	Mar. 31, 2018	Mar. 31, 2017
Cash flows:
Proceeds from sales	$ 5,200,584	$ 4,858,845
Mortgage loan servicing fees received	$ 48,732	$ 37,281

XML

Loan Sales and Variable Interest Entities - Summary of Unpaid Balance Information for Mortgage Loans Accounted for Sales (Detail) - Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member] - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Mortgage Loans On Real Estate [Line Items]
UPB of mortgage loans outstanding	$ 74,783,511	$ 71,639,351
Delinquent mortgage loans:
30-89 days delinquent	360,518	532,673
90 or more days delinquent:
Not in foreclosure	288,653	280,786
In foreclosure	31,989	25,258
Bankruptcy	56,032	52,202
Custodial funds managed by the Company	$ 1,005,744	$ 879,321

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Loan Sales and Variable Interest Entities - Summary of Credit Risk Transfer Agreements (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017	Dec. 31, 2017
Transfer Of Financial Assets Accounted For As Sales [Line Items]
Deposits securing CRT Agreements	$ 41,789	$ 15,793
Carrying value of CRT Agreements:
Deposits securing CRT agreements	622,330		$ 588,867
Interest-only security payable at fair value	7,796		7,070
CRT Agreement assets pledged to secure assets sold under agreements to repurchase:
Deposits securing CRT Agreements	392,453		400,778
Derivative assets	24,423		26,058
Commitments to fund Deposits securing credit risk transfer agreements	552,957
Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] | Credit Risk Transfer Agreements [Member]
Transfer Of Financial Assets Accounted For As Sales [Line Items]
UPB of mortgage loans sold under CRT Agreements	3,210,478	1,834,295
Deposits securing CRT Agreements	41,789	15,793
Increase in commitments to fund Deposits securing CRT Agreements resulting from sale of mortgage loans under CRT Agreements	70,486	48,150
Interest earned on Deposits securing CRT Agreements	2,031	408
Gains recognized on CRT Agreements included in Net gain (loss) on investments
Realized	19,329	10,288
Resulting from valuation changes	5,355	10,019
Gains (losses) recognized on gross derivative related to credit risk transactions	24,684	20,307
Change in fair value of interest-only security payable at fair value	(2,133)	(1,720)
Gains (losses) recognized on net derivative related to credit risk transactions	22,551	18,587
Payments made to settle losses	828	$ 149
UPB of mortgage loans subject to credit guarantee obligations	29,726,369		26,845,392
Delinquency status (in UPB):
Current	29,456,524		26,540,953
30—89 days delinquent	130,583		179,144
90—180 days delinquent	90,418		101,114
180 or more days delinquent	26,343		5,146
Foreclosure	8,335		5,463
Bankruptcy	14,166		13,572
Carrying value of CRT Agreements:
Deposits securing CRT agreements	622,330		588,867
Interest-only security payable at fair value	7,796		7,070
CRT Agreement assets pledged to secure assets sold under agreements to repurchase:
Deposits securing CRT Agreements	392,453		400,778
Commitments to fund Deposits securing credit risk transfer agreements	552,957		482,471
Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] | Credit Risk Transfer Agreements [Member] | Derivative Assets [Member]
Carrying value of CRT Agreements:
Derivative assets	103,995		98,640
CRT Agreement assets pledged to secure assets sold under agreements to repurchase:
Derivative assets	$ 24,423		$ 26,058

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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 ($) $ in Millions	Sep. 30, 2013	Mar. 31, 2018
Mortgage Loans on Real Estate [Line Items]
Certificates issued	$ 537.0
Weighted yield	3.90%
Fair value of certificates retained		$ 14.1

XML

Fair Value - Additional Information (Detail) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2018	Dec. 31, 2017
Mortgage Servicing Rights [Line Items]
Mortgage loans description	Note interest rate pools of 50 basis points
Basis point for mortgage loan	0.50%
Fair value of exchangeable senior notes	$ 249.5	$ 244.9
Repurchase Agreement Derivatives [Member] | Level 3 [Member]
Mortgage Servicing Rights [Line Items]
Ratio included in estimated fair value	97.00%	97.00%
Maximum [Member]
Mortgage Servicing Rights [Line Items]
Fixed-rate mortgage loans	4.50%
Minimum [Member]
Mortgage Servicing Rights [Line Items]
Fixed-rate mortgage loans	3.00%
MSRs Backed by Mortgage Loans [Member]
Mortgage Servicing Rights [Line Items]
Initial interest rates	less than or equal to 4.5%
MSRs Backed by Mortgage Loans [Member] | Maximum [Member]
Mortgage Servicing Rights [Line Items]
Interest rate	4.50%

XML

Fair Value - Summary of Financial Statement Items Measured at Fair Value on Recurring Basis (Detail) - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017	Mar. 31, 2017	Dec. 31, 2016
Assets:
Short-term investments	$ 71,044	$ 18,398
Mortgage-backed securities at fair value	1,436,456	989,461
Mortgage loans acquired for sale at fair value	1,115,534	1,269,515
Excess servicing spread purchased from PFSI	236,002	236,534
Derivative assets:
Derivative assets	129,458	115,803
Derivative assets, Netting	(6,940)	(1,922)
Total derivative assets after netting	122,518	113,881
Mortgage servicing rights at fair value	957,013	91,459	$ 69,683	$ 64,136
Liabilities:
Asset-backed financing of a VIE at fair value	296,982	307,419
Interest-only security payable at fair value	7,796	7,070
Derivative liabilities:
Derivative liabilities	8,857	3,305
Derivative liabilities, Netting	(5,221)	(1,999)
Total derivative liabilities after netting	3,636	1,306
CRT Agreements [Member]
Derivative assets:
Derivative assets	103,995	98,640
Derivative assets, Netting	0	0
Total derivative assets after netting	103,995	98,640
Derivative liabilities:
Derivative liabilities	0	0
Interest Rate Lock Commitments [Member]
Derivative assets:
Derivative assets	3,220	4,859
Total derivative assets after netting	3,220	4,859
Derivative liabilities:
Derivative liabilities	511	227
Forward Purchase Contracts [Member]
Derivative assets:
Derivative assets	11,400	4,343
Derivative assets, Netting	0	0
Total derivative assets after netting	11,400	4,343
Derivative liabilities:
Derivative liabilities	1	248
Forward Sales Contracts [Member]
Derivative assets:
Derivative assets	6	387
Derivative assets, Netting	0	0
Total derivative assets after netting	6	387
Derivative liabilities:
Derivative liabilities	8,345	2,830
MBS Put Options [Member]
Derivative assets:
Derivative assets	4,086	3,170
Derivative assets, Netting	0	0
Total derivative assets after netting	4,086	3,170
Derivative liabilities:
Derivative liabilities	0	0
Call Options on Interest Rate Futures [Member]
Derivative assets:
Derivative assets	492	0
Derivative assets, Netting	0	0
Total derivative assets after netting	492	0
Derivative liabilities:
Derivative liabilities	0	0
Put Options on Interest Rate Futures [Member]
Derivative assets:
Derivative assets	367	656
Derivative assets, Netting	0	0
Total derivative assets after netting	367	656
Derivative liabilities:
Derivative liabilities	0	0
Repurchase Agreement Derivatives [Member]
Derivative assets:
Derivative assets	5,892	3,748
Derivative assets, Netting	0	0
Total derivative assets after netting	5,892	3,748
Derivative liabilities:
Derivative liabilities	0	0
Recurring [Member]
Assets:
Short-term investments	71,044	18,398
Mortgage-backed securities at fair value	1,436,456	989,461
Mortgage loans acquired for sale at fair value	1,115,534	1,269,515
Mortgage loans at fair value	779,489	1,089,473
Excess servicing spread purchased from PFSI	236,002	236,534
Derivative assets:
Derivative assets	129,458	115,803
Derivative assets, Netting	(6,940)	(1,922)
Total derivative assets after netting	122,518	113,881
Mortgage servicing rights at fair value	957,013	91,459
Total Assets	4,718,056	3,808,721
Liabilities:
Asset-backed financing of a VIE at fair value	296,982	307,419
Interest-only security payable at fair value	7,796	7,070
Derivative liabilities:
Derivative liabilities	8,857	3,305
Derivative liabilities, Netting	(5,221)	(1,999)
Total derivative liabilities after netting	3,636	1,306
Total liabilities	308,414	315,795
Recurring [Member] | CRT Agreements [Member]
Derivative assets:
Derivative assets	103,995	98,640
Recurring [Member] | Interest Rate Lock Commitments [Member]
Derivative assets:
Derivative assets	3,220	4,859
Derivative liabilities:
Derivative liabilities	511	227
Recurring [Member] | Forward Purchase Contracts [Member]
Derivative assets:
Derivative assets	11,400	4,343
Derivative liabilities:
Derivative liabilities	1	248
Recurring [Member] | Forward Sales Contracts [Member]
Derivative assets:
Derivative assets	6	387
Derivative liabilities:
Derivative liabilities	8,345	2,830
Recurring [Member] | Level 1 [Member]
Assets:
Short-term investments	71,044	18,398
Mortgage-backed securities at fair value	0	0
Mortgage loans acquired for sale at fair value	0	0
Mortgage loans at fair value	0	0
Excess servicing spread purchased from PFSI	0	0
Derivative assets:
Derivative assets	859	656
Derivative assets, Netting	0	0
Total derivative assets after netting	859	656
Mortgage servicing rights at fair value	0	0
Total Assets	71,903	19,054
Liabilities:
Asset-backed financing of a VIE at fair value	0	0
Interest-only security payable at fair value	0	0
Derivative liabilities:
Derivative liabilities	0	0
Derivative liabilities, Netting	0	0
Total derivative liabilities after netting	0	0
Total liabilities	0	0
Recurring [Member] | Level 1 [Member] | CRT Agreements [Member]
Derivative assets:
Derivative assets	0	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] | 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 2 [Member]
Assets:
Short-term investments	0	0
Mortgage-backed securities at fair value	1,436,456	989,461
Mortgage loans acquired for sale at fair value	1,107,844	1,261,380
Mortgage loans at fair value	311,102	321,040
Excess servicing spread purchased from PFSI	0	0
Derivative assets:
Derivative assets	15,492	7,900
Derivative assets, Netting	0	0
Total derivative assets after netting	15,492	7,900
Mortgage servicing rights at fair value	0	0
Total Assets	2,870,894	2,579,781
Liabilities:
Asset-backed financing of a VIE at fair value	296,982	307,419
Interest-only security payable at fair value	0	0
Derivative liabilities:
Derivative liabilities	8,346	3,078
Derivative liabilities, Netting	0	0
Total derivative liabilities after netting	8,346	3,078
Total liabilities	305,328	310,497
Recurring [Member] | Level 2 [Member] | CRT Agreements [Member]
Derivative assets:
Derivative assets	0	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] | Forward Purchase Contracts [Member]
Derivative assets:
Derivative assets	11,400	4,343
Derivative liabilities:
Derivative liabilities	1	248
Recurring [Member] | Level 2 [Member] | Forward Sales Contracts [Member]
Derivative assets:
Derivative assets	6	387
Derivative liabilities:
Derivative liabilities	8,345	2,830
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	7,690	8,135
Mortgage loans at fair value	468,387	768,433
Excess servicing spread purchased from PFSI	236,002	236,534
Derivative assets:
Derivative assets	113,107	107,247
Derivative assets, Netting	0	0
Total derivative assets after netting	113,107	107,247
Mortgage servicing rights at fair value	957,013	91,459
Total Assets	1,782,199	1,211,808
Liabilities:
Asset-backed financing of a VIE at fair value	0	0
Interest-only security payable at fair value	7,796	7,070
Derivative liabilities:
Derivative liabilities	511	227
Derivative liabilities, Netting	0	0
Total derivative liabilities after netting	511	227
Total liabilities	8,307	7,297
Recurring [Member] | Level 3 [Member] | CRT Agreements [Member]
Derivative assets:
Derivative assets	103,995	98,640
Recurring [Member] | Level 3 [Member] | Interest Rate Lock Commitments [Member]
Derivative assets:
Derivative assets	3,220	4,859
Derivative liabilities:
Derivative liabilities	511	227
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] | MBS Put Options [Member]
Derivative assets:
Derivative assets	4,086	3,170
Recurring [Member] | MBS Put Options [Member] | Level 1 [Member]
Derivative assets:
Derivative assets	0	0
Recurring [Member] | MBS Put Options [Member] | Level 2 [Member]
Derivative assets:
Derivative assets	4,086	3,170
Recurring [Member] | MBS Put Options [Member] | Level 3 [Member]
Derivative assets:
Derivative assets	0	0
Recurring [Member] | Call Options on Interest Rate Futures [Member]
Derivative assets:
Derivative assets	492
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 1 [Member]
Derivative assets:
Derivative assets	492
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 2 [Member]
Derivative assets:
Derivative assets	0
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 3 [Member]
Derivative assets:
Derivative assets	0
Recurring [Member] | Put Options on Interest Rate Futures [Member]
Derivative assets:
Derivative assets	367	656
Recurring [Member] | Put Options on Interest Rate Futures [Member] | Level 1 [Member]
Derivative assets:
Derivative assets	367	656
Recurring [Member] | Put Options on Interest Rate Futures [Member] | Level 2 [Member]
Derivative assets:
Derivative assets	0	0
Recurring [Member] | Put Options on Interest Rate Futures [Member] | Level 3 [Member]
Derivative assets:
Derivative assets	0	0
Recurring [Member] | Repurchase Agreement Derivatives [Member]
Derivative assets:
Derivative assets	5,892	3,748
Recurring [Member] | Repurchase Agreement Derivatives [Member] | Level 1 [Member]
Derivative assets:
Derivative assets	0	0
Recurring [Member] | Repurchase Agreement Derivatives [Member] | Level 2 [Member]
Derivative assets:
Derivative assets	0	0
Recurring [Member] | Repurchase Agreement Derivatives [Member] | Level 3 [Member]
Derivative assets:
Derivative assets	$ 5,892	$ 3,748

XML

Fair Value - Summary of Changes in Items Measured Using Level 3 Inputs on Recurring Basis (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Assets:
Servicing received as proceeds from sales of mortgage loans	$ 66,546	$ 7,478
Recurring [Member]
Assets:
Beginning balance	1,984,616	1,726,764
Purchases and issuances	9,604	17,824
Repayments and sales	(307,680)	(138,496)
Capitalization of interest	6,114	14,550
Capitalization of advances	1,677	6,349
ESS received pursuant to a recapture agreement with PFSI	904	1,573
Servicing received as proceeds from sales of mortgage loans	66,546	7,478
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk	2,681	4,970
Other factors	25,570	24,958
Total	28,251	29,928
Transfers of mortgage loans to REO and real estate held for investment	(21,439)	(30,911)
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2)	160
Transfers of interest rate lock commitments to mortgage loans acquired for sale	12,935	(23,989)
Ending balance	1,781,688	1,611,070
Changes in fair value recognized during the quarter relating to assets	31,981	14,459
Recurring [Member] | Accounting Standards Update 2014-11 Transfers and Servicing [Member]
Assets:
Beginning balance	773,035
Recurring [Member] | Previously Reported [Member]
Assets:
Beginning balance	1,211,581
Recurring [Member] | CRT Agreements [Member]
Assets:
Beginning balance	98,640	15,610
Purchases and issuances	0	0
Repayments and sales	(19,329)	(10,288)
Capitalization of interest	0	0
Capitalization of advances	0	0
ESS received pursuant to a recapture agreement with PFSI	0	0
Servicing received as proceeds from sales of mortgage loans	0	0
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk	0	0
Other factors	24,684	20,307
Total	24,684	20,307
Transfers of mortgage loans to REO and real estate held for investment	0	0
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2)	0
Transfers of interest rate lock commitments to mortgage loans acquired for sale	0	0
Ending balance	103,995	25,629
Changes in fair value recognized during the quarter relating to assets	5,355	10,019
Recurring [Member] | Mortgage loans acquired for sale at fair value [Member]
Assets:
Beginning balance	8,135
Purchases and issuances	2,831
Repayments and sales	(3,539)
Capitalization of interest	0
Capitalization of advances	0
ESS received pursuant to a recapture agreement with PFSI	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
Other factors	103
Total	103
Transfers of mortgage loans to REO and real estate held for investment	0
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2)	160
Transfers of interest rate lock commitments to mortgage loans acquired for sale	0
Ending balance	7,690
Changes in fair value recognized during the quarter relating to assets	(14)
Recurring [Member] | Interest Rate Lock Commitments [Member]
Assets:
Beginning balance	4,632	3,777
Purchases and issuances	4,609	17,762
Repayments and sales	0	0
Capitalization of interest	0	0
Capitalization of advances	0	0
ESS received pursuant to a recapture agreement with PFSI	0	0
Servicing received as proceeds from sales of mortgage loans	0	0
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk	0	0
Other factors	(19,467)	11,171
Total	(19,467)	11,171
Transfers of mortgage loans to REO and real estate held for investment	0	0
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2)	0
Transfers of interest rate lock commitments to mortgage loans acquired for sale	12,935	(23,989)
Ending balance	2,709	8,721
Changes in fair value recognized during the quarter relating to assets	2,709	8,721
Recurring [Member] | Interest-only security payable [Member]
Liabilities:
Beginning balance	7,070	4,114
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk	0	0
Other factors	726	487
Total	726	487
Ending balance	7,796	4,601
Changes in fair value recognized during the quarter relating to liability	726	487
Recurring [Member] | Mortgage loans at fair value [Member]
Assets:
Beginning balance	768,433	1,354,572
Purchases and issuances	0	0
Repayments and sales	(272,513)	(113,576)
Capitalization of interest	2,180	9,903
Capitalization of advances	1,677	6,349
ESS received pursuant to a recapture agreement with PFSI	0	0
Servicing received as proceeds from sales of mortgage loans	0	0
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk	2,681	4,970
Other factors	(12,632)	(1,754)
Total	(9,951)	3,216
Transfers of mortgage loans to REO and real estate held for investment	(21,439)	(30,911)
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2)	0
Transfers of interest rate lock commitments to mortgage loans acquired for sale	0	0
Ending balance	468,387	1,229,553
Changes in fair value recognized during the quarter relating to assets	(9,040)	485
Recurring [Member] | Excess servicing spread [Member]
Assets:
Beginning balance	236,534	288,669
Purchases and issuances	0	0
Repayments and sales	(12,291)	(14,632)
Capitalization of interest	3,934	4,647
Capitalization of advances	0	0
ESS received pursuant to a recapture agreement with PFSI	904	1,573
Servicing received as proceeds from sales of mortgage loans	0	0
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk	0	0
Other factors	6,921	(2,773)
Total	6,921	(2,773)
Transfers of mortgage loans to REO and real estate held for investment	0	0
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2)	0
Transfers of interest rate lock commitments to mortgage loans acquired for sale	0	0
Ending balance	236,002	277,484
Changes in fair value recognized during the quarter relating to assets	6,921	(2,773)
Recurring [Member] | Mortgage servicing rights [Member]
Assets:
Beginning balance	864,494	64,136
Purchases and issuances	0	62
Repayments and sales	0	0
Capitalization of interest	0	0
Capitalization of advances	0	0
ESS received pursuant to a recapture agreement with PFSI	0	0
Servicing received as proceeds from sales of mortgage loans	66,546	7,478
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk	0	0
Other factors	25,973	(1,993)
Total	25,973	(1,993)
Transfers of mortgage loans to REO and real estate held for investment	0	0
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2)	0
Transfers of interest rate lock commitments to mortgage loans acquired for sale	0	0
Ending balance	957,013	69,683
Changes in fair value recognized during the quarter relating to assets	25,973	$ (1,993)
Recurring [Member] | Mortgage servicing rights [Member] | Accounting Standards Update 2014-11 Transfers and Servicing [Member]
Assets:
Beginning balance	773,035
Recurring [Member] | Mortgage servicing rights [Member] | Previously Reported [Member]
Assets:
Beginning balance	91,459
Recurring [Member] | Repurchase Agreement Derivatives [Member]
Assets:
Beginning balance	3,748
Purchases and issuances	2,164
Repayments and sales	(8)
Capitalization of interest	0
Capitalization of advances	0
ESS received pursuant to a recapture agreement with PFSI	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
Other factors	(12)
Total	(12)
Transfers of mortgage loans to REO and real estate held for investment	0
Transfers of mortgage loans acquired for sale at fair value from "Level 2" to "Level 3" (2)	0
Transfers of interest rate lock commitments to mortgage loans acquired for sale	0
Ending balance	5,892
Changes in fair value recognized during the quarter relating to assets	$ 77

XML

Fair Value - Fair Values and Related Principal Amounts Due upon Maturity of Mortgage Loans Accounted for Under Fair Value Option (Detail) - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Fair Value Option Loans Held As Assets [Abstract]
Fair value option loans held as assets, Total	$ 779,489	$ 1,089,473
Mortgage loans at fair value	779,489	1,089,473
Mortgage Loans On Real Estate Other Required Disclosures [Abstract]
Unpaid principal balance of loans outstanding at period-end	958,951	1,360,642
Unpaid principal balance	958,951	1,360,642
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	(179,462)	(271,169)
Mortgage loans acquired for sale at fair value [Member]
Fair Value Option Loans Held As Assets [Abstract]
Fair value option loans held as assets ninety days or less past due	1,114,282	1,268,121
Not in foreclosure	606	950
In foreclosure	646	444
Fair value option loans held as assets, Total	1,252	1,394
Mortgage loans at fair value	1,115,534	1,269,515
Mortgage Loans On Real Estate Other Required Disclosures [Abstract]
Mortgage loans on real estate principal amount of delinquent loans less than ninety days	1,084,121	1,221,125
Not in foreclosure	725	1,120
In foreclosure	683	496
Unpaid principal balance of loans outstanding at period-end	1,085,529	1,222,741
Fair value option loans held as assets ninety days or less past due aggregate difference	30,161	46,996
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference
Not in foreclosure	(119)	(170)
In foreclosure	(37)	(52)
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total	30,005	46,774
Mortgage loans acquired for sale at fair value [Member] | Nonperforming mortgage loans [Member]
Mortgage Loans On Real Estate Other Required Disclosures [Abstract]
Unpaid principal balance of loans outstanding at period-end	1,408	1,616
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	(156)	(222)
Mortgage Loans at Fair Value Held in Consolidated VIE [Member]
Fair Value Option Loans Held As Assets [Abstract]
Fair value option loans held as assets ninety days or less past due	311,102	321,040
Not in foreclosure	0	0
In foreclosure	0	0
Mortgage loans at fair value	311,102	321,040
Mortgage Loans On Real Estate Other Required Disclosures [Abstract]
Mortgage loans on real estate principal amount of delinquent loans less than ninety days	312,730	316,684
Not in foreclosure	0	0
In foreclosure	0	0
Unpaid principal balance	312,730	316,684
Fair value option loans held as assets ninety days or less past due aggregate difference	(1,628)	4,356
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	(1,628)	4,356
Mortgage Loans at Fair Value Held in Consolidated VIE [Member] | Nonperforming mortgage loans [Member]
Fair Value Option Loans Held As Assets [Abstract]
Mortgage loans at fair value	0	0
Mortgage Loans On Real Estate Other Required Disclosures [Abstract]
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 Loans Held As Assets [Abstract]
Fair value option loans held as assets ninety days or less past due	263,263	414,785
Not in foreclosure	97,971	166,749
In foreclosure	107,153	186,899
Mortgage loans at fair value	468,387	768,433
Mortgage Loans On Real Estate Other Required Disclosures [Abstract]
Mortgage loans on real estate principal amount of delinquent loans less than ninety days	334,185	519,009
Not in foreclosure	155,224	257,038
In foreclosure	156,812	267,911
Unpaid principal balance	646,221	1,043,958
Fair value option loans held as assets ninety days or less past due aggregate difference	(70,922)	(104,224)
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due, Aggregate Difference
Not in foreclosure	(57,253)	(90,289)
In foreclosure	(49,659)	(81,012)
Fair Value, Option, Loans Held as Assets, Aggregate Difference, Total	(177,834)	(275,525)
Mortgage Loans and Mortgage Loans under Forward Purchase Agreements at Fair Value [Member] | Nonperforming mortgage loans [Member]
Fair Value Option Loans Held As Assets [Abstract]
Mortgage loans at fair value	205,124	353,648
Mortgage Loans On Real Estate Other Required Disclosures [Abstract]
Unpaid principal balance	312,036	524,949
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	$ (106,912)	$ (171,301)

XML

Fair Value - Summary of Changes in Fair Value Included in Current Period Income (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	$ 7,627	$ 19,025
Net gain (loss) on investments	18	16,721
Interest-only security payable [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	0	0
Net gain (loss) on investments	726	(487)
Net mortgage loan servicing fees	0	0
Net interest income	0	0
Total	726	(487)
Asset-Backed Financing of the VIE at Fair Value [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	0	0
Net gain (loss) on investments	6,183	(24)
Net mortgage loan servicing fees	0	0
Net interest income	339	(387)
Total	6,522	(411)
Liabilities, Total [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	0	0
Net gain (loss) on investments	6,909	(511)
Net mortgage loan servicing fees	0	0
Net interest income	339	(387)
Total	7,248	(898)
Short-term Investments [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	0	0
Net gain (loss) on investments	0	0
Net mortgage loan servicing fees	0	0
Net interest income	0	0
Total	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
Net gain (loss) on investments	(22,397)	140
Net mortgage loan servicing fees	0	0
Net interest income	440	(1,318)
Total	(21,957)	(1,178)
Mortgage loans acquired for sale at fair value [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	(23,678)	14,158
Net gain (loss) on investments	0	0
Net mortgage loan servicing fees	0	0
Net interest income	0	0
Total	(23,678)	14,158
Mortgage loans at fair value [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	0	0
Net gain (loss) on investments	(15,530)	3,532
Net mortgage loan servicing fees	0	0
Net interest income	1,774	10,201
Total	(13,756)	13,733
Excess servicing spread [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	0	0
Net gain (loss) on investments	6,921	(2,773)
Net mortgage loan servicing fees	0	0
Net interest income	3,934	4,647
Total	10,855	1,874
MSRs at fair value [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	0	0
Net gain (loss) on investments	0	0
Net mortgage loan servicing fees	25,973	(1,993)
Net interest income	0	0
Total	25,973	(1,993)
Assets, Total [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Net gain on mortgage loans acquired for sale	(23,678)	14,158
Net gain (loss) on investments	(31,006)	899
Net mortgage loan servicing fees	25,973	(1,993)
Net interest income	6,148	13,530
Total	$ (22,563)	$ 26,594

XML

Fair Value - Summary of Financial Statement Items Re-measured at Fair Value on Nonrecurring Basis (Detail) - Nonrecurring [Member] - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Real estate acquired in settlement of loans	$ 57,675	$ 71,380
Total Assets	57,675	384,375
MSRs at lower of amortized cost or fair value		312,995
Level 1 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Real estate acquired in settlement of loans	0	0
Total Assets	0	0
MSRs at lower of amortized cost or fair value		0
Level 2 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Real estate acquired in settlement of loans	0	0
Total Assets	0	0
MSRs at lower of amortized cost or fair value		0
Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Real estate acquired in settlement of loans	57,675	71,380
Total Assets	$ 57,675	384,375
MSRs at lower of amortized cost or fair value		$ 312,995

XML

Fair Value - Summary of Changes in Fair Value Recognized in Assets that Measured at Fair Value on a Nonrecurring Basis (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
MSRs at lower of amortized cost or fair value	$ 0	$ (1,504)
Nonrecurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Real estate asset acquired in settlement of loans	(4,769)	(7,060)
MSRs at lower of amortized cost or fair value	0	1,504
Total assets, gains (losses) recognized	$ (4,769)	$ (5,556)

XML

Fair Value - Quantitative Summary of Key Inputs Used in Valuation of Mortgage Loans at Fair Value (Detail) - Mortgage loans at fair value [Member]	3 Months Ended	12 Months Ended
	Mar. 31, 2018	Dec. 31, 2017
Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Discount rate	3.20%	2.90%
Twelve-month projected housing price index change	2.20%	3.60%
Prepayment speed	3.10%	3.20%
Total prepayment speed	10.60%	10.80%
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	3.30%	4.60%
Prepayment speed	6.60%	11.00%
Total prepayment speed	22.80%	23.80%
Weighted Average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Discount rate	6.70%	6.90%
Twelve-month projected housing price index change	3.10%	4.40%
Prepayment speed	4.20%	4.20%
Total prepayment speed	16.20%	16.50%

XML

Fair Value - Summary of Key Inputs Used in Determining Fair Value of ESS (Detail) - USD ($) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2018	Mar. 31, 2017	Dec. 31, 2017
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
UPB of underlying mortgage loans (in thousands)	$ 5,114,741	$ 660,586
Average servicing fee rate (in basis points)	0.26%	0.25%
Weighted Average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pricing spread	7.50%	7.60%
Annual total prepayment speed	8.00%		11.10%
Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pricing spread	7.40%	7.60%
Annual total prepayment speed	6.50%		7.30%
Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pricing spread	12.60%	7.60%
Annual total prepayment speed	27.20%		20.90%
Excess servicing spread [Member] | Weighted Average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
UPB of underlying mortgage loans (in thousands)	$ 26,236,839		$ 27,217,199
Average servicing fee rate (in basis points)	0.34%		0.34%
Average ESS rate (in basis points)	0.19%		0.19%
Pricing spread	3.90%		4.10%
Annual total prepayment speed	9.90%		10.80%
Life (in years)	6 years 9 months 18 days		6 years 6 months
Excess servicing spread [Member] | Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pricing spread	3.60%		3.80%
Annual total prepayment speed	8.00%		8.40%
Life (in years)	1 year 1 month 6 days		1 year 4 months 24 days
Excess servicing spread [Member] | Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pricing spread	4.10%		4.30%
Annual total prepayment speed	52.40%		41.40%
Life (in years)	7 years 9 months 18 days		7 years 8 months 12 days

XML

Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments (Detail)	Mar. 31, 2018	Dec. 31, 2017
Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pull-through rate	57.50%	58.00%
Servicing fee multiple	2.60%	2.10%
Percentage of UPB	0.00%	0.00%
Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pull-through rate	100.00%	100.00%
Servicing fee multiple	5.90%	5.80%
Percentage of UPB	2.60%	2.40%
Weighted Average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pull-through rate	88.00%	90.30%
Servicing fee multiple	4.70%	4.90%
Percentage of UPB	1.20%	1.30%

XML

Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Valuation of CRT Agreements (Detail) - CRT Agreements [Member]	3 Months Ended	12 Months Ended
	Mar. 31, 2018	Dec. 31, 2017
Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Discount rate	5.60%	5.10%
Voluntary prepayment speed	8.60%	12.10%
Involuntary prepayment speed	0.30%	0.30%
Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Discount rate	6.60%	6.20%
Voluntary prepayment speed	10.40%	15.00%
Involuntary prepayment speed	0.30%	0.30%
Weighted Average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Discount rate	6.10%	5.60%
Voluntary prepayment speed	9.10%	13.00%
Involuntary prepayment speed	0.30%	0.30%

XML

Fair Value - Key Assumptions Used in Determining Fair Value of MSRs at Time of Initial Recognition (Detail) - USD ($)	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value, MSR recognized	$ 66,546,000	$ 7,478,000
Fair value, UPB of underlying mortgage loans	$ 5,114,741,000	$ 660,586,000
Fair value, Weighted-average annual servicing fee rate (in basis points)	0.26%	0.25%
Amortized cost, MSR recognized	$ 0	$ 51,210,000
Amortized cost, UPB of underlying mortgage loans		$ 4,092,267,000
Amortized cost, Weighted-average annual servicing fee rate (in basis points)		0.25%
Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value inputs, Pricing spread during period	7.40%	7.60%
Fair value inputs, Annual prepayment speed during period	3.20%	7.90%
Fair value inputs, Weighted average life during period	3 years 6 months	4 years
Fair value inputs, Annual per loan cost of servicing during period	$ 79,000	$ 79,000
Amortized cost, Pricing spread during period		7.60%
Amortized cost, Annual prepayment speed during period		3.20%
Amortized cost, Life (in years)		2 years 8 months 12 days
Amortized cost, Annual per loan cost of servicing during period		$ 79,000
Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value inputs, Pricing spread during period	12.60%	7.60%
Fair value inputs, Annual prepayment speed during period	22.80%	20.70%
Fair value inputs, Weighted average life during period	11 years 10 months 24 days	8 years 6 months
Fair value inputs, Annual per loan cost of servicing during period	$ 79,000	$ 79,000
Amortized cost, Pricing spread during period		12.60%
Amortized cost, Annual prepayment speed during period		28.70%
Amortized cost, Life (in years)		11 years 10 months 24 days
Amortized cost, Annual per loan cost of servicing during period		$ 79,000
Weighted Average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value inputs, Pricing spread during period	7.50%	7.60%
Fair value inputs, Annual prepayment speed during period	8.10%	10.90%
Fair value inputs, Weighted average life during period	8 years 4 months 24 days	7 years 2 months 12 days
Fair value inputs, Annual per loan cost of servicing during period	$ 79,000	$ 79,000
Amortized cost, Pricing spread during period		7.60%
Amortized cost, Annual prepayment speed during period		7.50%
Amortized cost, Life (in years)		8 years 3 months 18 days
Amortized cost, Annual per loan cost of servicing during period		$ 79,000

XML

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	12 Months Ended
	Mar. 31, 2018	Dec. 31, 2017	Mar. 31, 2017	Dec. 31, 2016
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Balance at end of period	$ 957,013,000	$ 91,459,000	$ 69,683,000	$ 64,136,000
UPB of underlying mortgage loans, Fair Value	$ 75,261,574,000	$ 8,273,696,000
Weighted-average annual servicing fee rate (in basis points), Fair value input	0.25%	0.25%
Weighted-average note interest rate, Fair value	4.00%	4.70%
Carrying value, Amortized cost	$ 0	$ 753,322,000	$ 627,287,000
UPB of underlying mortgage loans, Amortized cost		$ 63,853,606,000
Weighted-average annual servicing fee rate (in basis points), Amortized cost		0.25%
Weighted-average note interest rate, Amortized cost		3.90%
Pricing Spread [Member] | Effect On Value Of Five Percentage Adverse Change
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Effect on value of percentage adverse change, Fair value input	(14,450,000)	$ (1,347,000)
Effect on value of percentage adverse change, Amortized cost		(11,848,000)
Pricing Spread [Member] | Effect On Value Of Ten Percentage Adverse Change
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Effect on value of percentage adverse change, Fair value input	(28,487,000)	(2,655,000)
Effect on value of percentage adverse change, Amortized cost		(23,352,000)
Pricing Spread [Member] | Effect On Value Of Twenty Percentage Adverse Change
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Effect on value of percentage adverse change, Fair value input	(55,385,000)	(5,162,000)
Effect on value of percentage adverse change, Amortized cost		(45,379,000)
Prepayment Speed [Member] | Effect On Value Of Five Percentage Adverse Change
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Effect on value of percentage adverse change, Fair value input	(13,939,000)	(1,954,000)
Effect on value of percentage adverse change, Amortized cost		(12,267,000)
Prepayment Speed [Member] | Effect On Value Of Ten Percentage Adverse Change
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Effect on value of percentage adverse change, Fair value input	(27,417,000)	(3,827,000)
Effect on value of percentage adverse change, Amortized cost		(24,120,000)
Prepayment Speed [Member] | Effect On Value Of Twenty Percentage Adverse Change
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Effect on value of percentage adverse change, Fair value input	(53,083,000)	(7,352,000)
Effect on value of percentage adverse change, Amortized cost		(46,668,000)
Cost of Servicing [Member] | Effect On Value Of Five Percentage Adverse Change
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Effect on value of percentage adverse change, Fair value input	(6,962,000)	(744,000)
Effect on value of percentage adverse change, Amortized cost		(5,721,000)
Cost of Servicing [Member] | Effect On Value Of Ten Percentage Adverse Change
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Effect on value of percentage adverse change, Fair value input	(13,925,000)	(1,488,000)
Effect on value of percentage adverse change, Amortized cost		(11,441,000)
Cost of Servicing [Member] | Effect On Value Of Twenty Percentage Adverse Change
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Effect on value of percentage adverse change, Fair value input	$ (27,849,000)	(2,976,000)
Effect on value of percentage adverse change, Amortized cost		$ (22,883,000)
Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Estimated fair value inputs, Pricing spread	7.40%	7.60%
Estimated fair value inputs, Prepayment speed	6.50%	7.30%
Estimated fair value inputs, Annual per-loan cost of servicing	$ 77,000	$ 77,000
Amortized cost, Pricing spread		7.60%
Amortized cost, Prepayment speed		7.10%
Amortized cost, Weighted average life (in years)		2 years 10 months 24 days
Amortized cost, Annual per-loan cost of servicing		$ 78,000
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)	2 years 10 months 24 days	3 years 1 month 6 days
Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Estimated fair value inputs, Pricing spread	13.10%	12.60%
Estimated fair value inputs, Prepayment speed	27.20%	20.90%
Estimated fair value inputs, Annual per-loan cost of servicing	$ 79,000	$ 79,000
Amortized cost, Pricing spread		13.10%
Amortized cost, Prepayment speed		27.10%
Amortized cost, Weighted average life (in years)		8 years
Amortized cost, Annual per-loan cost of servicing		$ 79,000
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)	8 years 3 months 18 days	6 years 9 months 18 days
Weighted Average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Estimated fair value inputs, Pricing spread	7.40%	7.60%
Estimated fair value inputs, Prepayment speed	8.00%	11.10%
Estimated fair value inputs, Annual per-loan cost of servicing	$ 79,000	$ 79,000
Amortized cost, Pricing spread		7.60%
Amortized cost, Prepayment speed		8.40%
Amortized cost, Weighted average life (in years)		7 years 7 months 6 days
Amortized cost, Annual per-loan cost of servicing		$ 79,000
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)	7 years 10 months 24 days	6 years 9 months 18 days

XML

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	Mar. 31, 2018	Dec. 31, 2017
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans acquired for sale at fair value	$ 1,115,534	$ 1,269,515
Mortgage loans pledged to secure: Assets sold under agreements to repurchase	1,097,266	1,249,277
Mortgage loans pledged to secure total	1,097,266	1,249,277
Penny Mac Loan Services Llc
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans acquired for sale at fair value	259,673	279,571
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	1,097,266	1,201,992
Mortgage loans pledged to secure mortgage loan participation purchase and sale agreements	0	47,285
Agency-Eligible [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans acquired for sale at fair value	837,994	971,910
Held for Sale to PLS - Government-Insured or Guaranteed [Member] | Penny Mac Loan Services Llc
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans acquired for sale at fair value	259,673	279,571
Commercial Real Estate [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage loans acquired for sale at fair value	10,177	9,898
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	$ 7,690	$ 8,136

XML

Mortgage Loans Acquired for Sale at Fair Value - Additional Information (Detail) - Penny Mac Loan Services Llc	3 Months Ended
	Mar. 31, 2018
Minimum [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Sourcing fee on average number of calendar days mortgage loans are held prior to purchase by PLS	0.02%
Maximum [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Sourcing fee on average number of calendar days mortgage loans are held prior to purchase by PLS	0.035%

XML

Mortgage Loans at Fair Value - Summary of Distribution of Company's Mortgage Loans at Fair Value (Detail) - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Financing Receivable, Recorded Investment [Line Items]
Fair value	$ 779,489	$ 1,089,473
Unpaid principal balance	958,951	1,360,642
Asset-backed financing of a VIE at fair value	311,102	321,040
Mortgage loans at fair value pledged to secure	770,911	1,081,893
Mortgage loans acquired for sale at fair value [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	1,115,534	1,269,515
Assets sold under agreements to repurchase	459,809	760,853
Fixed interest rate jumbo mortgage loans held in a VIE [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	311,102	321,040
Unpaid principal balance	312,730	316,684
Distressed mortgage loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	468,387	768,433
Unpaid principal balance	646,221	1,043,958
Distressed mortgage loans [Member] | Nonperforming mortgage loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	205,124	353,648
Unpaid principal balance	312,036	524,949
Distressed mortgage loans [Member] | Performing mortgage loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	263,263	414,785
Unpaid principal balance	334,185	519,009
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | Interest rate step-up [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	137,451	189,724
Unpaid principal balance	181,412	242,335
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | Fixed interest rate [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	102,605	186,929
Unpaid principal balance	128,737	236,840
Distressed mortgage loans [Member] | Performing mortgage loans [Member] | Adjustable-rate/hybrid [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	23,207	38,132
Unpaid principal balance	$ 24,036	$ 39,834

XML

Mortgage Loans at Fair Value - Summary of Certain Concentrations of Credit Risk in Portfolio of Distressed Mortgage Loans at Fair Value (Detail)	Mar. 31, 2018	Dec. 31, 2017
Risks And Uncertainties [Abstract]
Portion of mortgage loans originated between 2005 and 2007	73.00%	73.00%
Mortgage loans with unpaid-principal balance-to-current -property-value in excess of 100%	38.00%	38.00%

XML

Mortgage Loans at Fair Value - Summary of Certain Concentrations of Credit Risk in Portfolio of Distressed Mortgage Loans at Fair Value (Parenthetical) (Detail)	Mar. 31, 2018	Dec. 31, 2017
Risks And Uncertainties [Abstract]
Percentage of mortgage loans	100.00%	100.00%
Percentage of contribution by states in mortgage loans	5.00%	5.00%

XML

Derivative Activities - Derivative Assets and Liabilities Recorded within Derivative Assets and Derivative Liabilities and Related Margin Deposits Recorded in Other Assets (Detail) - USD ($)	Mar. 31, 2018	Dec. 31, 2017	Mar. 31, 2017	Dec. 31, 2016
Derivatives Fair Value [Line Items]
Total derivative assets instruments before netting	$ 129,458,000	$ 115,803,000
Derivative assets, Netting	(6,940,000)	(1,922,000)
Total derivative assets after netting	122,518,000	113,881,000
Margin deposits (received from) placed with derivatives counterparties included in Other assets (Accounts payable and accrued liabilities)	(1,718,000)	76,000
Derivative assets pledged to secure assets sold under agreements to repurchase	24,423,000	26,058,000
Total derivative liabilities	8,857,000	3,305,000
Derivative liabilities, Netting	(5,221,000)	(1,999,000)
Total derivative liabilities after netting	3,636,000	1,306,000
Repurchase Agreement Derivatives [Member]
Derivatives Fair Value [Line Items]
Notional amount	0	0
Total derivative assets instruments before netting	5,892,000	3,748,000
Derivative assets, Netting	0	0
Total derivative assets after netting	5,892,000	3,748,000
Total derivative liabilities	0	0
CRT Agreements [Member]
Derivatives Fair Value [Line Items]
Notional amount	29,726,369,000	26,845,392,000
Total derivative assets instruments before netting	103,995,000	98,640,000
Derivative assets, Netting	0	0
Total derivative assets after netting	103,995,000	98,640,000
Total derivative liabilities	0	0
Interest Rate Lock Commitments [Member]
Derivatives Fair Value [Line Items]
Notional amount	1,067,009,000	1,250,803,000
Total derivative assets instruments before netting	3,220,000	4,859,000
Total derivative assets after netting	3,220,000	4,859,000
Total derivative liabilities	511,000	227,000
Forward Purchase Contracts [Member]
Derivatives Fair Value [Line Items]
Notional amount	2,510,700,000	1,996,235,000	$ 4,115,159,000	$ 4,840,707,000
Total derivative assets instruments before netting	11,400,000	4,343,000
Derivative assets, Netting	0	0
Total derivative assets after netting	11,400,000	4,343,000
Total derivative liabilities	1,000	248,000
Forward Sale Contracts [Member]
Derivatives Fair Value [Line Items]
Notional amount	2,297,802,000	2,565,271,000	5,673,414,000	6,148,242,000
Total derivative assets instruments before netting	6,000	387,000
Derivative assets, Netting	0	0
Total derivative assets after netting	6,000	387,000
Total derivative liabilities	8,345,000	2,830,000
MBS Put Options [Member]
Derivatives Fair Value [Line Items]
Notional amount	1,750,000,000	2,375,000,000	950,000,000	925,000,000
Total derivative assets instruments before netting	4,086,000	3,170,000
Derivative assets, Netting	0	0
Total derivative assets after netting	4,086,000	3,170,000
Total derivative liabilities	0	0
Call Options on Interest Rate Futures [Member]
Derivatives Fair Value [Line Items]
Notional amount	150,000,000	0	262,500,000	200,000,000
Total derivative assets instruments before netting	492,000	0
Derivative assets, Netting	0	0
Total derivative assets after netting	492,000	0
Total derivative liabilities	0	0
Put Options on Interest Rate Futures [Member]
Derivatives Fair Value [Line Items]
Notional amount	275,000,000	550,000,000	500,000,000	550,000,000
Total derivative assets instruments before netting	367,000	656,000
Derivative assets, Netting	0	0
Total derivative assets after netting	367,000	656,000
Total derivative liabilities	0	0
Swap Futures [Member]
Derivatives Fair Value [Line Items]
Notional amount	0	275,000,000	$ 150,000,000	$ 150,000,000
Total derivative assets instruments before netting	0	0
Total derivative liabilities	0	0
Bond Futures [Member]
Derivatives Fair Value [Line Items]
Notional amount	450,000,000	0
Total derivative assets instruments before netting	0	0
Total derivative liabilities	0	0
Eurodollar Future Contracts [Member]
Derivatives Fair Value [Line Items]
Notional amount	847,664,000	937,000,000
Total derivative assets instruments before netting	0	0
Total derivative liabilities	$ 0	$ 0

XML

Derivative Activities - Summary of Activity in Notional Amount for Derivative Contracts (Detail) - USD ($)	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Forward Purchase Contracts [Member]
Derivatives Fair Value [Line Items]
Amount, beginning of quarter	$ 1,996,235,000	$ 4,840,707,000
Additions	19,833,104,000	18,906,029,000
Dispositions/expirations	(19,318,639,000)	(19,631,577,000)
Amount, end of quarter	2,510,700,000	4,115,159,000
Forward Sales Contracts [Member]
Derivatives Fair Value [Line Items]
Amount, beginning of quarter	2,565,271,000	6,148,242,000
Additions	24,410,334,000	24,225,103,000
Dispositions/expirations	(24,677,803,000)	(24,699,931,000)
Amount, end of quarter	2,297,802,000	5,673,414,000
MBS Put Options [Member]
Derivatives Fair Value [Line Items]
Amount, beginning of quarter	2,375,000,000	925,000,000
Additions	4,125,000,000	1,400,000,000
Dispositions/expirations	(4,750,000,000)	(1,375,000,000)
Amount, end of quarter	1,750,000,000	950,000,000
Call Options on Interest Rate Futures [Member]
Derivatives Fair Value [Line Items]
Amount, beginning of quarter	0	200,000,000
Additions	150,000,000	62,500,000
Dispositions/expirations	0	0
Amount, end of quarter	150,000,000	262,500,000
Put Options on Interest Rate Futures [Member]
Derivatives Fair Value [Line Items]
Amount, beginning of quarter	550,000,000	550,000,000
Additions	3,325,000,000	1,750,000,000
Dispositions/expirations	(3,600,000,000)	(1,800,000,000)
Amount, end of quarter	275,000,000	500,000,000
Bond Futures [Member]
Derivatives Fair Value [Line Items]
Amount, beginning of quarter	0
Additions	450,000,000
Dispositions/expirations	0
Amount, end of quarter	450,000,000
Swap Futures [Member]
Derivatives Fair Value [Line Items]
Amount, beginning of quarter	275,000,000	150,000,000
Additions	0	300,000,000
Dispositions/expirations	(275,000,000)	(300,000,000)
Amount, end of quarter	0	150,000,000
Eurodollar Future Sales Contracts [Member]
Derivatives Fair Value [Line Items]
Amount, beginning of quarter	937,000,000	1,351,000,000
Additions	114,597,000	101,000,000
Dispositions/expirations	(203,933,000)	(212,000,000)
Amount, end of quarter	$ 847,664,000	1,240,000,000
MBS Call Options [Member]
Derivatives Fair Value [Line Items]
Amount, beginning of quarter		750,000,000
Additions		0
Dispositions/expirations		(750,000,000)
Amount, end of quarter		0
Treasury Future Buy Contracts [Member]
Derivatives Fair Value [Line Items]
Amount, beginning of quarter		0
Additions		49,300,000
Dispositions/expirations		(49,300,000)
Amount, end of quarter		0
Treasury Future Sale Contracts [Member]
Derivatives Fair Value [Line Items]
Amount, beginning of quarter		0
Additions		49,300,000
Dispositions/expirations		(49,300,000)
Amount, end of quarter		$ 0

XML

Derivative Activities - Summary of Net Derivative Assets (Detail) - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Offsetting Assets [Line Items]
Gross amounts of recognized assets	$ 129,458	$ 115,803
Gross amounts offset in the consolidated balance sheet	(6,940)	(1,922)
Total derivative assets after netting	122,518	113,881
Net amounts of assets presented in the consolidated balance sheet	(6,940)	(1,922)
Repurchase Agreement Derivatives [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	5,892	3,748
Gross amounts offset in the consolidated balance sheet	0	0
Total derivative assets after netting	5,892	3,748
CRT Agreement Derivatives [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	103,995	98,640
Gross amounts offset in the consolidated balance sheet	0	0
Total derivative assets after netting	103,995	98,640
Interest Rate Lock Commitments [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	3,220	4,859
Total derivative assets after netting	3,220	4,859
Forward Purchase Contracts [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	11,400	4,343
Gross amounts offset in the consolidated balance sheet	0	0
Total derivative assets after netting	11,400	4,343
Forward Sale Contracts [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	6	387
Gross amounts offset in the consolidated balance sheet	0	0
Total derivative assets after netting	6	387
Derivatives Not Subject To Master Netting Adjustment [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	113,107	107,247
Gross amounts offset in the consolidated balance sheet	0	0
Total derivative assets after netting	113,107	107,247
Derivatives Not Subject To Master Netting Adjustment [Member] | Interest Rate Lock Commitments [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	3,220	4,859
Gross amounts offset in the consolidated balance sheet	0	0
Total derivative assets after netting	3,220	4,859
MBS Put Options [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	4,086	3,170
Gross amounts offset in the consolidated balance sheet	0	0
Total derivative assets after netting	4,086	3,170
Put Options on Interest Rate Futures [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	367	656
Gross amounts offset in the consolidated balance sheet	0	0
Total derivative assets after netting	367	656
Call Options on Interest Rate Futures [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	492	0
Gross amounts offset in the consolidated balance sheet	0	0
Total derivative assets after netting	492	0
Netting [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	0	0
Gross amounts offset in the consolidated balance sheet	(6,940)	(1,922)
Derivatives Subject to Master Netting Arrangements [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	16,351	8,556
Gross amounts offset in the consolidated balance sheet	(6,940)	(1,922)
Total derivative assets after netting	$ 9,411	$ 6,634

XML

Derivative Activities - Summary of Derivative Assets, Financial Instruments and Collateral Held by Counterparty (Detail) - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Offsetting Assets [Line Items]
Total derivative assets after netting	$ 122,518	$ 113,881
Financial instruments	0	0
Cash collateral received	0	0
Net amount	122,518	113,881
CRT Agreements [Member]
Offsetting Assets [Line Items]
Total derivative assets after netting	103,995	98,640
Financial instruments	0	0
Cash collateral received	0	0
Net amount	103,995	98,640
Interest Rate Lock Commitments [Member]
Offsetting Assets [Line Items]
Total derivative assets after netting	3,220	4,859
Financial instruments	0	0
Cash collateral received	0	0
Net amount	3,220	4,859
J.P. Morgan Securities LLC [member]
Offsetting Assets [Line Items]
Total derivative assets after netting	6,294	2,020
Financial instruments	0	0
Cash collateral received	0	0
Net amount	6,294	2,020
Deutsche Bank Securities LLC [Member]
Offsetting Assets [Line Items]
Total derivative assets after netting	5,892	3,748
Financial instruments	0	0
Cash collateral received	0	0
Net amount	5,892	3,748
RJ O'Brien & Associates, LLC [Member]
Offsetting Assets [Line Items]
Total derivative assets after netting	859	656
Financial instruments	0	0
Cash collateral received	0	0
Net amount	859	656
Federal National Mortgage Association [Member]
Offsetting Assets [Line Items]
Total derivative assets after netting	1,073	1,606
Financial instruments	0	0
Cash collateral received	0	0
Net amount	1,073	1,606
Barclays Capital Inc. [Member]
Offsetting Assets [Line Items]
Total derivative assets after netting	324	0
Financial instruments	0	0
Cash collateral received	0	0
Net amount	324	0
Credit Suisse Securities (USA) LLC [Member]
Offsetting Assets [Line Items]
Total derivative assets after netting	227	809
Financial instruments	0	0
Cash collateral received	0	0
Net amount	227	809
Mitsubishi UFJ Sec [Member]
Offsetting Assets [Line Items]
Total derivative assets after netting	155	193
Financial instruments	0	0
Cash collateral received	0	0
Net amount	155	193
RBC Capital Markets, L.P. [Member]
Offsetting Assets [Line Items]
Total derivative assets after netting	151	0
Financial instruments	0	0
Cash collateral received	0	0
Net amount	151	0
KGS Alpha Capital Markets LP [Member]
Offsetting Assets [Line Items]
Total derivative assets after netting	131	0
Financial instruments	0	0
Cash collateral received	0	0
Net amount	131	0
PNC Capital Markets LLC [Member]
Offsetting Assets [Line Items]
Total derivative assets after netting	100	0
Financial instruments	0	0
Cash collateral received	0	0
Net amount	100	0
Wells Fargo Securities, LLC [Member]
Offsetting Assets [Line Items]
Total derivative assets after netting	90	146
Financial instruments	0	0
Cash collateral received	0	0
Net amount	90	146
Morgan Stanley & Co. LLC [Member]
Offsetting Assets [Line Items]
Total derivative assets after netting	0	457
Financial instruments	0	0
Cash collateral received	0	0
Net amount	0	457
Other [Member]
Offsetting Assets [Line Items]
Total derivative assets after netting	7	158
Financial instruments	0	0
Cash collateral received	0	0
Net amount	7	158
Citigroup Global Markets Inc. [Member]
Offsetting Assets [Line Items]
Total derivative assets after netting	0	429
Financial instruments	0	0
Cash collateral received	0	0
Net amount	0	429
Jefferies & Company, Inc. [Member]
Offsetting Assets [Line Items]
Total derivative assets after netting	0	160
Financial instruments	0	0
Cash collateral received	0	0
Net amount	$ 0	$ 160

XML

Derivative Activities - Schedule of Offsetting of Derivative Liabilities and Financial Liabilities (Detail) - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	$ 3,417,140	$ 3,184,191
Gross amounts offset in the consolidated balance sheet	(5,221)	(1,999)
Net amounts of liabilities presented in the consolidated balance sheet	3,411,919	3,182,192
Unpaid Principal Balance [Member]
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	3,409,440	3,182,504
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	3,409,440	3,182,504
Interest Rate Lock Commitments [Member]
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	511	227
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	511	227
Forward Purchase Contracts [Member]
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	1	248
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	1	248
Forward Sales Contracts [Member]
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	8,345	2,830
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	8,345	2,830
Derivatives Not Subject To Master Netting Adjustment [Member]
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	511	227
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	511	227
Netting [Member]
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	0	0
Gross amounts offset in the consolidated balance sheet	(5,221)	(1,999)
Net amounts of liabilities presented in the consolidated balance sheet	(5,221)	(1,999)
Derivatives Subject to Master Netting Arrangements [Member]
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	8,346	3,078
Gross amounts offset in the consolidated balance sheet	(5,221)	(1,999)
Net amounts of liabilities presented in the consolidated balance sheet	3,125	1,079
Derivative Liabilities Before Netting [Member]
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	8,857	3,305
Gross amounts offset in the consolidated balance sheet	(5,221)	(1,999)
Net amounts of liabilities presented in the consolidated balance sheet	3,636	1,306
Unamortized Debt Issuance Costs [Member]
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	(1,157)	(1,618)
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	(1,157)	(1,618)
Security Sold Under Agreements to Repurchase [Member]
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	3,408,283	3,180,886
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	$ 3,408,283	$ 3,180,886

XML

Derivative Activities - Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty (Detail) - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	$ 3,411,919	$ 3,182,192
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(3,408,283)	(3,180,886)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	3,636	1,306
Interest Rate Lock Commitments [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	511	227
Gross amounts not offset in the consolidated balance sheet, Financial instruments	0	0
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	511	227
Bank of America, N.A. [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	1,110,861	839,057
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(1,109,449)	(838,771)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	1,412	286
Credit Suisse Securities (USA) LLC [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	917,667	845,567
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(917,667)	(845,567)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	0	0
J.P. Morgan Securities LLC [member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	274,748	373,186
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(274,748)	(373,186)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	0	0
Deutsche Bank Securities LLC [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	266,238	374,526
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(266,238)	(374,526)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	0	0
Morgan Stanley & Co. LLC [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	231,591	164,530
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(231,227)	(164,530)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	364	0
Daiwa Capital Markets [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	264,386	153,833
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(264,077)	(153,730)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	309	103
Citigroup Global Markets Inc. [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	159,593	235,541
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(159,593)	(235,319)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	0	222
RBC Capital Markets, L.P. [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	93,872	92,014
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(93,872)	(91,805)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	0	209
Wells Fargo Securities, LLC [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	49,216	50,360
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(49,216)	(50,360)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	0	0
BNP Paribas [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	43,612	45,411
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(43,353)	(45,411)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	259	0
Goldman Sachs [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	549	164
Gross amounts not offset in the consolidated balance sheet, Financial instruments	0	0
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	549	164
Barclays Capital Inc. [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	0	9,374
Gross amounts not offset in the consolidated balance sheet, Financial instruments	0	(9,299)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	0	75
Other [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	232	20
Gross amounts not offset in the consolidated balance sheet, Financial instruments	0	0
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	232	20
Unamortized Debt Issuance Costs [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	(1,157)	(1,618)
Gross amounts not offset in the consolidated balance sheet, Financial instruments	1,157	1,618
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	$ 0	$ 0

XML

Derivative Activities - Net Gains (Losses) Recognized on Derivative Financial Instruments (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Gain Loss on mortgage loans acquired for sale [Member] | Interest Rate Lock Commitments [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains on derivative financial instruments used as economic hedges	$ (14,858)	$ 28,933
Interest expense [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains on derivative financial instruments used as economic hedges	(12)	0
Fixed-rate assets and LIBOR- indexed repurchase agreements [Member] | Net gain (loss) on investments [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains on derivative financial instruments used as economic hedges	1,460	(4,144)
CRT Agreements [Member] | Net gain (loss) on investments [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains on derivative financial instruments used as economic hedges	24,684	20,307
Interest rate lock commitments and mortgage loans acquired for sale at fair value [Member] | Gain Loss on mortgage loans acquired for sale [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains on derivative financial instruments used as economic hedges	32,810	(3,592)
Mortgage service rights [Member] | Net loan servicing fees [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains on derivative financial instruments used as economic hedges	$ (20,848)	$ (8,698)

XML

Real Estate Acquired in Settlement of Loans - Summary of Financial Information Relating to REO (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017	Dec. 31, 2017
Real Estate [Abstract]
Balance at beginning of quarter	$ 162,865	$ 274,069
Transfers from mortgage loans at fair value and advances	16,363	24,876
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment	(2,059)	(6,644)
Results of REO:
Valuation adjustments, net	(5,359)	(8,175)
Gain on sale, net	2,133	3,929
Total gain (loss), net	(3,226)	(4,246)
Proceeds from sales	(32,437)	(63,224)
Balance at end of quarter	141,506	$ 224,831
REO pledged to secure assets sold under agreements to repurchase	67,720		$ 76,037
REO held in a consolidated subsidiary whose stock is pledged to secure financings of such properties	37,764		48,495
Real estate pledged to creditors	$ 105,484		$ 124,532

XML

Mortgage Servicing Rights - Summary of MSRs Carried at Fair Value (Detail) - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2018	Mar. 31, 2017	Dec. 31, 2017
Servicing Asset At Fair Value Changes In Fair Value [Abstract]
Balance at beginning of quarter		$ 91,459	$ 64,136
Transfer of mortgage servicing rights from mortgage servicing rights carried at lower of amortized cost or fair value pursuant to a change in accounting principle		773,035	0
Balance after reclassification		864,494	64,136
Purchases		0	62
MSRs resulting from mortgage loan sales		66,546	7,478
Due to changes in valuation inputs used in valuation model	[1]	52,611	32
Other changes in fair value	[2]	(26,638)	(2,025)
Change in fair value, Total		25,973	(1,993)
Balance at end of quarter		957,013	$ 69,683
Assets sold under agreements to repurchase		745,965		$ 66,813
Notes payable		195,721		23,471
Total		$ 941,686		$ 90,284

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

[2] Represents changes due to realization of expected cash flows.

XML

Mortgage Servicing Rights - Summary of MSRs Carried at Lower of Amortized Cost or Fair Value (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017	Dec. 31, 2017
Servicing Asset at Amortized Cost, Balance [Roll Forward]
Balance at beginning of quarter	$ 772,870	$ 606,103
Transfer of mortgage servicing right to mortgage servicing rights carried at fair value pursuant to a change in accounting principle	(772,870)	0
Balance after reclassification	0	606,103
MSRs resulting from mortgage loan sales	0	51,210
Amortization	0	(17,858)
Balance at end of quarter	0	639,455
Balance at beginning of quarter	(19,548)	(13,672)
Reduction resulting from change in accounting principle	19,548	0
Reversal of impairment valuation allowance	0	1,504
Balance at end of quarter	0	(12,168)
MSRs, net	0	627,287	$ 753,322
Fair value at beginning of quarter	0	626,334
Fair value at end of quarter	0	662,584
Balance after reclassification	$ 0	$ (13,672)
Assets sold under agreements to repurchase			584,762
Notes payable			156,846
Total			$ 741,608

XML

Mortgage Servicing Rights - Summary of Net Mortgage Loan Servicing Fees Relating to MSRs (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Transfers And Servicing [Abstract]
Contractually-specified servicing fees	$ 48,732	$ 37,281
Late charges	214	187
Other	1,489	1,037
Net mortgage loan servicing fees	$ 50,435	$ 38,505

XML

Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Detail) - USD ($)	3 Months Ended		12 Months Ended
	Mar. 31, 2018	Mar. 31, 2017	Dec. 31, 2017
Assets Sold under Agreements to Repurchase [Line Items]
Weighted-average interest rate	3.20%	2.57%
Average balance	$ 3,077,914,000	$ 3,267,864,000
Total interest expense	24,507,000	22,182,000
Maximum daily amount outstanding	3,655,250,000	$ 4,330,825,000
Unpaid principal balance	3,409,440,000		$ 3,182,504,000
Assets sold under agreements to repurchase, At year end	$ 3,408,283,000		$ 3,180,886,000
Weighted-average interest rate	2.80%		2.77%
Available borrowing capacity, Committed	$ 767,553,000		$ 749,650,000
Available borrowing capacity, Uncommitted	1,673,718,000		2,030,607,000
Available borrowing capacity	2,441,271,000		2,780,257,000
Margin deposits placed with counterparties included in Other assets	40,114,000		28,154,000
Real Estate Held for Investment [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Assets securing agreements to repurchase	31,899,000		31,128,000
Mortgage service rights [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Assets securing agreements to repurchase	745,965,000		651,575,000
Assets Sold Under Agreements to Repurchase [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Unamortized debt issuance costs and premiums, net	(1,157,000)		(1,618,000)
Mortgage-backed securities at fair value [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Assets securing agreements to repurchase	1,436,456,000		989,461,000
Mortgage loans acquired for sale at fair value [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Assets securing agreements to repurchase	1,097,266,000		1,201,992,000
Mortgage loans at fair value [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Assets securing agreements to repurchase	459,809,000		760,853,000
Real estate acquired in settlement of loans [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Assets securing agreements to repurchase	105,484,000		124,532,000
Deposits securing CRT Agreements [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Assets securing agreements to repurchase	392,453,000		400,778,000
Derivative assets related to CRT Agreements [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Assets securing agreements to repurchase	$ 24,423,000		$ 26,058,000

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Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Parenthetical) (Detail) - Assets Sold Under Agreements to Repurchase [Member] - USD ($)	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Assets Sold under Agreements to Repurchase [Line Items]
Amortization of debt issuance premiums	$ 169,000
Amortization of debt issuance costs		$ 2,300,000

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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) $ in Thousands	3 Months Ended
	Mar. 31, 2018 USD ($)
Assets Sold under Agreements to Repurchase [Line Items]
Maturity of repurchase agreements	$ 3,409,440
Weighted average maturity (in months)	3 years 9 months 18 days
Within 30 days [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Maturity of repurchase agreements	$ 1,373,877
Over 30 to 90 days [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Maturity of repurchase agreements	1,177,854
Over 90 days to 180 days [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Maturity of repurchase agreements	231,227
Over 180 days to 1 year [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Maturity of repurchase agreements	441,442
Over one year to two years [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Maturity of repurchase agreements	$ 185,040

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Assets Sold Under Agreements to Repurchase - Summary of Assets Sold under Agreements to Repurchase by Counterparty (Detail) $ in Thousands	3 Months Ended
	Mar. 31, 2018 USD ($)
Citibank, N.A. [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 60,502
Mortgage acquired for sale Weighted-average repurchase agreement maturity	Apr. 22, 2018
Facility maturity	May 01, 2018
Credit Suisse First Boston Mortgage Capital LLC [Member] | CRT Agreements sold under agreements to repurchase [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 51,226
Weighted average maturity	Apr. 16, 2018
Credit Suisse First Boston Mortgage Capital LLC [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 468,728
Mortgage acquired for sale Weighted-average repurchase agreement maturity	Jun. 18, 2018
Facility maturity	Apr. 27, 2018
JPMorgan Chase & Co. [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 8,745
Weighted average maturity	Apr. 08, 2018
JPMorgan Chase & Co. [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 36,428
Mortgage acquired for sale Weighted-average repurchase agreement maturity	Mar. 14, 2019
Facility maturity	Mar. 14, 2019
Bank of America, N.A. [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 46,492
Weighted average maturity	May 02, 2018
Bank of America, N.A. [Member] | CRT Agreements sold under agreements to repurchase [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 27,592
Weighted average maturity	Apr. 16, 2018
Bank of America, N.A. [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 10,624
Mortgage acquired for sale Weighted-average repurchase agreement maturity	Apr. 14, 2018
Facility maturity	May 25, 2018
JPMorgan Chase & Co., Maturity in 2018 [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 3,420
Mortgage acquired for sale Weighted-average repurchase agreement maturity	May 18, 2018
Facility maturity	Oct. 12, 2018
Morgan Stanley [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 11,132
Mortgage acquired for sale Weighted-average repurchase agreement maturity	Jun. 17, 2018
Facility maturity	Aug. 24, 2018
Deutsche Bank [Member] | Mortgage loans acquired for sale, mortgage loans, REO and MSRs sold under agreements to repurchase [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 13,282
Mortgage acquired for sale Weighted-average repurchase agreement maturity	Jun. 20, 2018
Facility maturity	Sep. 30, 2018
Daiwa Capital Markets [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 18,151
Weighted average maturity	Apr. 20, 2018
Royal Bank of Canada [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 7,640
Weighted average maturity	Apr. 16, 2018
Wells Fargo, N.A. [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 2,670
Weighted average maturity	Apr. 12, 2018
BNP Paribas Corporate & Institutional Banking [Member] | CRT Agreements sold under agreements to repurchase [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 18,160
Weighted average maturity	Apr. 09, 2018

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Mortgage Loan Participation Purchase and Sale Agreements - Summary of Mortgage Loan Participation Purchase and Sale Agreements (Detail) - USD ($)	3 Months Ended		12 Months Ended
	Mar. 31, 2018	Mar. 31, 2017	Dec. 31, 2017
At period end:
Mortgage loan participation purchase and sale agreements, At year end	$ 0		$ 44,488,000
Mortgage Loan Participation Purchase and Sale Agreement [Member]
Mortgage Loan Participation Purchase And Sale Agreement [Line Items]
Weighted-average interest rate	2.49%	2.08%
Average balance	$ 45,561,000	$ 64,498,000
Total interest expense	314,000	366,000
Maximum daily amount outstanding	77,407,000	$ 97,404,000
At period end:
Amount outstanding	0		44,550,000
Unamortized debt issuance costs	0		(62,000)
Mortgage loan participation purchase and sale agreements, At year end	$ 0		$ 44,488,000
Weighted-average interest rate	0.00%		2.82%
Mortgage loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreements	$ 0		$ 47,285,000

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Mortgage Loan Participation Purchase and Sale Agreements - Summary of Mortgage Loan Participation Purchase and Sale Agreements (Parenthetical) (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Mortgage Loan Participation Purchase And Sale Agreement [Line Items]
Amortization of debt issuance costs and premiums, net	$ 236	$ 3,596
Mortgage Loan Participation Purchase and Sale Agreement [Member]
Mortgage Loan Participation Purchase And Sale Agreement [Line Items]
Amortization of debt issuance costs and premiums, net	$ 0	$ 31,000

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Notes Payable - Additional Information (Detail) - USD ($)	3 Months Ended
	Mar. 31, 2018	Feb. 01, 2018	Mar. 24, 2017
Amended and Restated Loan and Security Agreement with Citibank, N.A. [Member]
Short-term Debt [Line Items]
Redemption and termination period of debt instrument	2017-12
Loan and Security Agreement with Barclays Bank PLC [Member]
Short-term Debt [Line Items]
Maturity date of debt instrument	Feb. 01, 2018
Loan and Security Agreement with Credit Suisse First Boston Mortgage Capital LLC [Member]
Short-term Debt [Line Items]
Maturity date of debt instrument	Feb. 01, 2020
Maximum [Member] | Amended and Restated Loan and Security Agreement with Citibank, N.A. [Member]
Short-term Debt [Line Items]
Aggregate loan amount			$ 400,000,000
Maximum [Member] | Loan and Security Agreement with Barclays Bank PLC [Member]
Short-term Debt [Line Items]
Aggregate loan amount			$ 170,000,000
Maximum [Member] | Loan and Security Agreement with Credit Suisse First Boston Mortgage Capital LLC [Member]
Short-term Debt [Line Items]
Aggregate loan amount		$ 175,000,000

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Notes Payable - Summary of Financial Information Relating to Note Payable (Detail) - USD ($)	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017	Dec. 31, 2017
Debt Instrument [Line Items]
Weighted-average interest rate	0.00%	5.13%
Average balance	$ 0	$ 260,384,000
Total interest expense	0	4,305,000
Carrying value:
Amount outstanding	0
Balance	$ 0
Weighted-average interest rate	0.00%
MSRs pledged to secure notes payable	$ 195,721,000		$ 180,317,000
Notes payable [Member]
Debt Instrument [Line Items]
Maximum daily amount outstanding	0	$ 275,106,000
Carrying value:
Unamortized debt issuance costs	$ 0		$ 0

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Notes Payable - Summary of Financial Information Relating to Note Payable (Parenthetical) (Detail) - USD ($)	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Debt Instrument [Line Items]
Amortization of debt issuance costs and premiums, net	$ 236,000	$ 3,596,000
Notes payable [Member]
Debt Instrument [Line Items]
Amortization of debt issuance costs and premiums, net	$ 998,000

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Asset-Backed Financing of a Variable Interest Entity at Fair Value - Summary of Financial Information Relating to Asset-Backed Financing of a VIE (Detail) - USD ($) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2018	Mar. 31, 2017	Dec. 31, 2017
Assets Sold under Agreements to Repurchase [Line Items]
Asset-backed financing of a variable interest entity at fair value	$ 296,982		$ 307,419
Variable Interest Entities [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Asset-backed financing of a variable interest entity at fair value	296,982		307,419
Asset-Backed Financing of the VIE at Fair Value [Member] | Variable Interest Entities [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Weighted-average fair value	297,682	$ 347,854
Total interest expense	$ 2,296	$ 3,409
Weighted-average effective interest rate	3.54%	3.48%
Asset-backed financing of a variable interest entity at fair value	$ 296,982		307,419
UPB	$ 312,730		$ 316,684
Weighted-average interest rate	3.51%		3.51%

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Exchangeable Senior Notes - Additional Information (Detail) - Exchangeable Senior Notes due May 1, 2020 [Member]		3 Months Ended
	Apr. 30, 2013 USD ($)	Mar. 31, 2018 USD ($) $ / 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		33.8667
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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Exchangeable Senior Notes - Summary of Financial Information Relating to Exchangeable Senior Notes (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017	Dec. 31, 2017
Debt Instrument [Line Items]
Weighted-average UPB	$ 250,000	$ 250,000
Carrying value:
UPB	250,000		$ 250,000
Exchangeable senior notes	247,471		247,186
Convertible Debt [Member]
Debt Instrument [Line Items]
Total interest expense	3,644	$ 3,627
Carrying value:
Unamortized debt issuance costs	$ (2,529)		$ (2,814)

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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
	Mar. 31, 2018	Mar. 31, 2017
Mortgage Banking [Abstract]
Balance, beginning of quarter	$ 8,678	$ 15,350
Provision for losses:
Pursuant to mortgage loan sales	572	673
Reduction in liability due to change in estimate	(1,042)	(4,576)
Recoveries, net	41	0
Balance, end of quarter	8,249	11,447
UPB of mortgage loans subject to representations and warranties at end of quarter	$ 74,554,838	$ 58,797,849

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Commitments and Contingencies - Company's Outstanding Contractual Commitments (Detail) $ in Thousands	Mar. 31, 2018 USD ($)
Commitments to purchase mortgage loans:
Commitments to purchase mortgage loans acquired for sale	$ 1,067,009
Commitments to fund Deposits securing CRT agreements	$ 552,957

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Shareholders' Equity - Summary of Preferred Shares of Benefical Interest (Detail) - USD ($)	Mar. 31, 2018	Dec. 31, 2017	Jul. 31, 2017
Class Of Stock [Line Items]
Number of shares	12,400,000	12,400,000
Liquidation preference	$ 310,000,000	$ 310,000,000
Issuance discount	10,293,000
Carrying value	$ 299,707,000	$ 299,707,000
8.125% Series A Preferred Stock [Member]
Class Of Stock [Line Items]
Number of shares	4,600,000
Liquidation preference	$ 115,000,000
Issuance discount	3,828,000
Carrying value	$ 111,172,000
8.00% Series B Preferred Stock [Member]
Class Of Stock [Line Items]
Number of shares	7,800,000		7,800,000
Liquidation preference	$ 195,000,000
Issuance discount	6,465,000
Carrying value	$ 188,535,000

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Shareholders' Equity - Summary of Preferred Shares of Benefical Interest (Parenthetical) (Detail) - $ / shares		1 Months Ended	3 Months Ended
	Jul. 05, 2017	Mar. 31, 2017	Mar. 31, 2018	Dec. 31, 2017	Jul. 31, 2017
Class Of Stock [Line Items]
Preferred stock, par value			$ 0.01	$ 0.01
8.125% Series A Preferred Stock [Member]
Class Of Stock [Line Items]
Cumulative dividend, beneficial interest rate		8.125%	8.125%
Sale of Stock, Transaction Date			Mar. 31, 2017
Preferred stock, par value		$ 0.01	$ 0.01
8.00% Series B Preferred Stock [Member]
Class Of Stock [Line Items]
Cumulative dividend, beneficial interest rate	8.00%		8.00%
Sale of Stock, Transaction Date			Jul. 31, 2017
Preferred stock, par value			$ 0.01		$ 0.01

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Shareholders' Equity - Additional Information (Detail) - USD ($)		1 Months Ended		3 Months Ended
	Jul. 05, 2017	Jul. 31, 2017	Mar. 31, 2017	Mar. 31, 2018	Mar. 31, 2017	Dec. 31, 2017	Aug. 31, 2015
Schedule Of Capitalization Equity [Line Items]
Preferred stock, shares issued				12,400,000		12,400,000
Preferred stock, par value				$ 0.01		$ 0.01
Reimbursement agreement effective date				Feb. 01, 2013
Reimbursement paid for every $100 of performance incentive fees earned				$ 10
Performance incentive fees earned				100
Payments of contingent underwriting fees to underwriters				0	$ 0
Initial Public Offering [Member]
Schedule Of Capitalization Equity [Line Items]
Reimbursement paid for every $100 of performance incentive fees earned				20
Performance incentive fees earned				$ 100
Reimbursement agreement expiry date				Feb. 01, 2019
Management [Member]
Schedule Of Capitalization Equity [Line Items]
Reimbursement of contingent underwriting fee to manager				$ 0	$ 0
Maximum [Member]
Schedule Of Capitalization Equity [Line Items]
Common stock shares Repurchase authorized amount							$ 300,000,000
Reimbursement payable in a 12-month period				1,000,000
Underwriting cost paid				2,900,000
Maximum [Member] | Initial Public Offering [Member]
Schedule Of Capitalization Equity [Line Items]
Reimbursement payable in a 12-month period				2,000,000
Amount paid by underwriters				$ 5,900,000
8.125% Series A Preferred Stock [Member]
Schedule Of Capitalization Equity [Line Items]
Preferred stock, shares issued			4.6		4.6
Cumulative dividend, beneficial interest rate			8.125%	8.125%
Preferred stock, par value			$ 0.01	$ 0.01	$ 0.01
Preferred stock, dividends per share paid				0.51
Preferred stock redemption price per share				$ 25.00
Statutory Dividend Payment Restrictions Disclosure				The Company pays quarterly cumulative dividends on its Preferred Shares on the 15th day of each March, June, September and December, provided that if any dividend payment date is not a business day, then the dividend that would otherwise be payable on that dividend payment date may be paid on the following business day.
8.125% Series A Preferred Stock [Member] | Fixed Rate [Member] | Date Of Original Issuance To March 14,2024 [Member]
Schedule Of Capitalization Equity [Line Items]
Cumulative dividend, beneficial interest rate			8.125%
Preferred stock, liquidation preference			$ 25.00		25.00
8.125% Series A Preferred Stock [Member] | Floating Rate [Member] | March 15,2024 and Thereafter [member]
Schedule Of Capitalization Equity [Line Items]
Cumulative dividend, beneficial interest rate			5.831%
Preferred stock, liquidation preference			$ 25.00		$ 25.00
8.00% Series B Preferred Stock [Member]
Schedule Of Capitalization Equity [Line Items]
Preferred stock, shares issued		7,800,000		7,800,000
Cumulative dividend, beneficial interest rate	8.00%			8.00%
Preferred stock, par value		$ 0.01		$ 0.01
Preferred stock redemption price per share				25.00
8.00% Series B Preferred Stock [Member] | From, and including, the date of original issuance to, but not including, June 15, 2024 [Member]
Schedule Of Capitalization Equity [Line Items]
Cumulative dividend, beneficial interest rate		8.00%
Preferred stock, liquidation preference		$ 25.00
8.00% Series B Preferred Stock [Member] | From, and including, June 15, 2024 and thereafter [Member]
Schedule Of Capitalization Equity [Line Items]
Cumulative dividend, beneficial interest rate		5.99%
Preferred stock, liquidation preference		$ 25.00
Preferred stock, dividends per share paid				$ 0.50

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Shareholders' Equity - Summary of Share Repurchase Activity (Detail) - USD ($) shares in Thousands, $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Equity [Abstract]
Common shares repurchased	671	139
Cost of common shares repurchased	$ 10,719	$ 2,307
Cumulative shares repurchased	14,731
Cumulative cost of shares repurchased	$ 216,625

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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
	Mar. 31, 2018	Mar. 31, 2017
Non cash gain:
Receipt of MSRs in mortgage loan sale transactions	$ 66,546	$ 58,688
Provision for losses relating to representations and warranties provided in mortgage loan sales:
Pursuant to mortgage loans sales	(572)	(673)
Reduction in liability due to change in estimate	(1,042)	(4,576)
Change in fair value of financial instruments held at end of quarter:
Net gain on mortgage loans acquired for sale	7,627	19,025
PennyMac Financial Services, Inc. [Member]
Change in fair value of financial instruments held at end of quarter:
Net gain on mortgage loans acquired for sale	2,641	2,401
Nonaffiliates [Member]
Cash loss:
Mortgage loans	(95,767)	(55,907)
Hedging activities	33,746	16,258
Cash gain, net of effects of cash hedging, on sale of mortgage loans acquired for sale	(62,021)	(39,649)
Non cash gain:
Receipt of MSRs in mortgage loan sale transactions	66,546	58,688
Provision for losses relating to representations and warranties provided in mortgage loan sales:
Pursuant to mortgage loans sales	(572)	(673)
Reduction in liability due to change in estimate	1,042	4,576
Change in fair value of financial instruments held at end of quarter:
IRLCs	(1,924)	4,945
Mortgage loans	2,851	8,587
Hedging derivatives	(936)	(19,850)
Total non cash portion of gain on mortgage loans acquired for sale	(9)	(6,318)
Net gain on mortgage loans acquired for sale	$ 4,986	$ 16,624

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Net Gain (Loss) on Investments - Summary of Net Gain (Loss) on Investments (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items]
Net gain (loss) on investments	$ 18	$ 16,721
Nonaffiliates [Member]
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items]
Mortgage-backed securities	(22,397)	140
CRT Agreements	22,551	18,587
Asset-backed financing of a VIE at fair value	6,183	(24)
Hedging derivatives	1,460	(4,144)
Net gain (loss) on investments	(7,733)	18,091
PennyMac Financial Services, Inc. [Member]
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items]
Net gain (loss) on investments	7,751	(1,370)
Variable Interest Entities [Member] | Nonaffiliates [Member]
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items]
Mortgage loans at fair value	(5,579)	316
Distressed mortgage loans [Member] | Nonaffiliates [Member]
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items]
Mortgage loans at fair value	$ (9,951)	$ 3,216

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Net Mortgage Loan Servicing Fees - Summary of Net Loan Servicing Fees (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Components of Net Servicing Fee Income [Line Items]
Servicing fees	$ 50,435	$ 38,505
Effect of MSRs:
Carried at fair value-change in fair value	25,973	(1,993)
Amortization	0	(17,858)
Additions to impairment valuation allowance	0	1,504
Total Effect of MSRs	5,125	(27,046)
Net mortgage loan servicing fees	56,155	11,752
Average servicing portfolio	73,694,438	57,927,056
PennyMac Financial Services, Inc. [Member]
Effect of MSRs:
Net mortgage loan servicing fees	595	292
From PFSI—MSR recapture income	595	292
Nonaffiliates [Member]
Components of Net Servicing Fee Income [Line Items]
Servicing fees	48,732	37,281
Ancillary and other fees	1,703	1,224
Effect of MSRs:
Carried at fair value-change in fair value	25,973	(1,993)
Amortization	0	(17,858)
Additions to impairment valuation allowance	0	1,504
Total Effect of MSRs	5,125	(27,045)
Net mortgage loan servicing fees	55,560	11,460
Nonaffiliates [Member] | Mortgage service rights [Member]
Effect of MSRs:
Losses on hedging derivatives, net	$ (20,848)	$ (8,698)

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Net Interest Income - Summary of Net Interest Income (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Interest income:
ESS	$ 40,980	$ 48,100
Interest expense:
Total interest expense	24,507	22,182
Notes payable	0	4,305
Interest expense, total	34,816	37,179
Net interest income	6,164	10,921
Convertible Debt [Member]
Interest expense:
Total interest expense	3,644	3,627
PennyMac Financial Services, Inc. [Member]
Interest income:
ESS	3,934	4,647
Interest expense:
Total interest expense	1,976	1,805
Nonaffiliates [Member]
Interest income:
Short-term investments	73	281
Mortgage-backed securities	8,791	6,772
Mortgage loans acquired for sale at fair value	11,332	11,502
Distressed	7,899	19,651
Placement fees relating to custodial funds	4,215	1,071
Deposits securing CRT Agreements	2,031	408
Other	102	39
ESS	37,046	43,453
Interest expense:
Total interest expense	24,507	22,182
Mortgage loan participation purchase and sale agreements	314	366
Notes payable	0	4,305
Asset-backed financings of VIEs at fair value	2,296	3,409
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations	1,594	1,062
Interest on mortgage loan impound deposits	485	423
Interest expense, total	32,840	35,374
Nonaffiliates [Member] | Convertible Debt [Member]
Interest expense:
Total interest expense	3,644	3,627
Nonaffiliates [Member] | Variable Interest Entities [Member]
Interest income:
Mortgage loans at fair value	$ 2,603	$ 3,729

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Net Interest Income - Summary of Net Interest Income (Parenthetical) (Detail) - Master Repurchase Agreement [Member] $ in Millions	3 Months Ended
	Mar. 31, 2018 USD ($)
Schedule Of Investment Income Reported Amounts By Category [Line Items]
Incentives as a reduction to finance mortgage loans included in interest expense	$ 2.4
Maturity date description	The master repurchase agreement has an initial term of six months, renewable for three additional six-month terms at the option of the lender and was renewed for six months on April 18, 2018. There can be no assurance whether the lender will further renew this agreement upon its maturity

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Share-Based Compensation Plans - Summary of Share-Based Compensation Activity (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Share Based Compensation Arrangement By Share Based Payment Award [Line Items]
Total share units granted	245	260
Total fair value of share units granted	$ 3,842	$ 4,003
Total share units vested	220	153
Total share units forfeited	0	0
Compensation expense relating to share-based grants	$ 899	$ 1,527
Restricted Shares Units [Member]
Share Based Compensation Arrangement By Share Based Payment Award [Line Items]
Total share units granted	129	134
Total fair value of share units granted	$ 2,300	$ 2,281
Total share units vested	192	153
Total share units forfeited	0	0
Performance Shares Units [Member]
Share Based Compensation Arrangement By Share Based Payment Award [Line Items]
Total share units granted	116	126
Total fair value of share units granted	$ 1,542	$ 1,722
Total share units vested	28	0
Total share units forfeited	0	0

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Other Expenses - Summary of Other Expenses (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Other Non operating Income Expense [Line Items]
Total other expenses	$ 2,650	$ 3,503
Common Overhead Allocation from PFSI [Member]
Other Non operating Income Expense [Line Items]
Total other expenses	1,001	1,434
Technology [Member]
Other Non operating Income Expense [Line Items]
Total other expenses	378	318
Insurance [Member]
Other Non operating Income Expense [Line Items]
Total other expenses	305	338
Other [Member]
Other Non operating Income Expense [Line Items]
Total other expenses	$ 966	$ 1,413

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Income Taxes - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2018	Mar. 31, 2017	Dec. 31, 2017
Income Tax [Line Items]
Effective income tax rate	25.50%	(27.10%)
Expense (benefit) from income taxes	$ 9,652	$ (6,129)
Income (loss) before benefit from income taxes	37,838	22,608
Percentage of deduction from taxable income			20.00%
Taxable REIT Subsidiary [Member]
Income Tax [Line Items]
Expense (benefit) from income taxes	9,400	6,600
Income (loss) before benefit from income taxes	$ 34,600	$ 14,800

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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
	Mar. 31, 2018	Mar. 31, 2017
Earnings Per Share [Abstract]
Net income	$ 28,186	$ 28,737
Dividends on preferred shares	(6,234)	(571)
Effect of participating securities—share-based compensation awards	(202)	(298)
Net income attributable to common shareholders	21,750	27,868
Net income attributable to common shareholders	21,750	27,868
Interest on Exchangeable Notes, net of income taxes	2,655	2,186
Diluted net income attributable to common shareholders	$ 24,405	$ 30,054
Weighted-average basic shares outstanding	60,761	66,719
Dilutive securities:
Shares issuable under share-based compensation plan	647	0
Shares issuable pursuant to exchange of the Exchangeable Notes	8,467	8,467
Diluted weighted-average number of shares outstanding	69,875	75,186
Basic earnings per share	$ 0.36	$ 0.42
Diluted earnings per share	$ 0.35	$ 0.40

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Earnings Per Share - Summary of Potentially Dilutive Shares Excluded from Computation of Diluted Earnings Per Share (Detail) - shares shares in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Share-based Compensation Plan [Member]
Antidilutive Securities Excluded From Computation Of Earnings Per Share [Line Items]
Potentially dilutive stock excluded from the diluted earnings per share	0	661

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Segments - Financial Highlights by Operating Segment (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017	Dec. 31, 2017
Net investment income:
Net gain on mortgage loans acquired for sale	$ 7,627	$ 19,025
Net gain (loss) on investments	18	16,721
Net mortgage loan servicing fees	56,155	11,752
Net interest income:
Interest income	40,980	48,100
Interest expense	(34,816)	(37,179)
Net interest income	6,164	10,921
Other income (loss)	5,709	6,055
Net investment income	75,673	64,474
Expenses:
Mortgage loan fulfillment and servicing fees payable to PFSI	22,963	27,056
Management fees	5,696	5,008
Other	9,176	9,802
Total expenses	37,835	41,866
Pre-tax income (loss)	37,838	22,608
Total assets at end of quarter	5,790,486	6,002,946	$ 5,604,933
Correspondent production [Member]
Net investment income:
Net gain on mortgage loans acquired for sale	7,599	19,011
Net gain (loss) on investments	0	0
Net mortgage loan servicing fees	0	0
Net interest income:
Interest income	11,169	11,357
Interest expense	(6,798)	(7,901)
Net interest income	4,371	3,456
Other income (loss)	7,073	8,317
Net investment income	19,043	30,784
Expenses:
Mortgage loan fulfillment and servicing fees payable to PFSI	11,944	16,575
Management fees	0	0
Other	469	1,737
Total expenses	12,413	18,312
Pre-tax income (loss)	6,630	12,472
Total assets at end of quarter	1,141,457	1,292,513
Credit Sensitive Strategies [Member]
Net investment income:
Net gain on mortgage loans acquired for sale	28	14
Net gain (loss) on investments	12,414	21,994
Net mortgage loan servicing fees	7	14
Net interest income:
Interest income	10,208	20,321
Interest expense	(10,664)	(14,272)
Net interest income	(456)	6,049
Other income (loss)	(1,389)	(2,268)
Net investment income	10,604	25,803
Expenses:
Mortgage loan fulfillment and servicing fees payable to PFSI	3,085	4,348
Management fees	0	0
Other	3,913	2,028
Total expenses	6,998	6,376
Pre-tax income (loss)	3,606	19,427
Total assets at end of quarter	1,485,492	2,137,531
Interest Rate Sensitive Strategies [Member]
Net investment income:
Net gain on mortgage loans acquired for sale	0	0
Net gain (loss) on investments	(12,396)	(5,273)
Net mortgage loan servicing fees	56,148	11,738
Net interest income:
Interest income	19,428	16,102
Interest expense	(17,354)	(15,006)
Net interest income	2,074	1,096
Other income (loss)	0	0
Net investment income	45,826	7,561
Expenses:
Mortgage loan fulfillment and servicing fees payable to PFSI	7,934	6,133
Management fees	0	0
Other	108	684
Total expenses	8,042	6,817
Pre-tax income (loss)	37,784	744
Total assets at end of quarter	2,989,692	2,432,419
Corporate [Member]
Net investment income:
Net gain on mortgage loans acquired for sale	0	0
Net gain (loss) on investments	0	0
Net mortgage loan servicing fees	0	0
Net interest income:
Interest income	175	320
Interest expense	0	0
Net interest income	175	320
Other income (loss)	25	6
Net investment income	200	326
Expenses:
Mortgage loan fulfillment and servicing fees payable to PFSI	0	0
Management fees	5,696	5,008
Other	4,686	5,353
Total expenses	10,382	10,361
Pre-tax income (loss)	(10,182)	(10,035)
Total assets at end of quarter	$ 173,845	$ 140,483

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Supplemental Cash Flow Information - Summary of Supplemental Cash Flow Information (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Additional Cash Flow Elements And Supplemental Cash Flow Information [Abstract]
Income tax payments, net of refunds	$ 0	$ 31
Interest payments	32,112	35,838
Cumulative effect on accumulated deficit of conversion to fair value accounting	19,713	0
Non-cash investing activities:
Capitalization of servicing advances pursuant to mortgage loan modifications	1,677	6,349
Receipt of excess servicing spread pursuant to recapture agreement with PennyMac Financial Services, Inc.	904	1,573
Transfer of mortgage loans and advances to real estate acquired in settlement of loans	16,363	24,876
Transfer of real estate acquired in settlement of mortgage loans to real estate held for investment	2,059	6,644
Receipt of mortgage servicing rights as proceeds from sales of mortgage loans	66,546	58,688
Non-cash financing activities:
Recognition of financing premium arising from repurchase agreement derivatives	2,164	0
Dividends declared, not paid	$ 28,818	$ 31,652

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Regulatory Capital and Liquidity Requirements - Additional Information (Detail)	3 Months Ended
	Mar. 31, 2018 USD ($)
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items]
Minimum net worth amount	$ 2,500,000
Basis point	0.25%
Number of residential mortgage loans served	1-4
Unpaid Principal Balance [Member]
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items]
Basis point	0.035%
Nonperforming mortgage loans [Member]
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items]
Basis point	2.00%
Minimum [Member]
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items]
Tangible net worth/ total assets ratio	6.00%

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Regulatory Capital and Liquidity Requirements - Summary of Capital and Liquidity Amounts and Requirements by Agencies (Detail) - Fannie Mae and Freddie Mac [Member] - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Capital Requirements By Agencies [Line Items]
Net Worth, Actual	$ 527,072	$ 487,535
Net Worth, Required	$ 190,654	$ 182,818
Tangible Net Worth / Total Assets Ratio, Actual	14.00%	12.00%
Tangible Net Worth / Total Assets Ratio, Required	6.00%	6.00%
Liquidity, Actual	$ 72,381	$ 73,252
Liquidity, Required	$ 26,342	$ 25,245

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Subsequent Events - Additional Information (Detail) - USD ($)	Apr. 25, 2018	Apr. 17, 2018	Aug. 18, 2017
Deutsche Bank [Member] | Maximum [Member] | Repurchase Agreement [Member]
Subsequent Event [Line Items]
Aggregate loan amount			$ 500,000,000
Subsequent Event [Member] | Secured Term Notes [Member]
Subsequent Event [Line Items]
Aggregate loan amount	$ 450,000,000
Debt instrument payable start date	2018-05
Maturity date of debt instrument	Apr. 25, 2023
Debt instrument extended maturity date subject to term note indenture	Apr. 25, 2025
Subsequent Event [Member] | Secured Term Notes [Member] | LIBOR [Member]
Subsequent Event [Line Items]
Debt instrument, description of variable rate basis	one-month
Debt instrument interest rate spread	2.35%
Subsequent Event [Member] | Royal Bank of Canada [Member] | Security Sold Under Agreements to Repurchase [Member] | Maximum [Member]
Subsequent Event [Line Items]
Aggregate loan amount		$ 100,000,000
Subsequent Event [Member] | Deutsche Bank [Member] | Maximum [Member] | Repurchase Agreement [Member]
Subsequent Event [Line Items]
Aggregate loan amount		$ 750,000,000