PennyMac Mortgage Investment Trust (PMT) 10-Q 8 May 20 2020 Q1 Quarterly report Financial data

Document and Entity Information

Document and Entity Information - shares	3 Months Ended
	Mar. 31, 2020	May 06, 2020
Document And Entity Information [Line Items]
Document Type	10-Q
Amendment Flag	false
Document Period End Date	Mar. 31, 2020
Document Fiscal Year Focus	2020
Document Fiscal Period Focus	Q1
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 Current Reporting Status	Yes
Entity Small Business	false
Entity Emerging Growth Company	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding		99,841,390
Entity File Number	001-34416
Entity Incorporation, State or Country Code	MD
Entity Tax Identification Number	27-0186273
Entity Address, Address Line One	3043 Townsgate Road
Entity Address, City or Town	Westlake Village
Entity Address, State or Province	CA
Entity Address, Postal Zip Code	91361
City Area Code	818
Local Phone Number	224-7442
Entity Interactive Data Current	Yes
Document Quarterly Report	true
Document Transition Report	false
Common Stock [Member]
Document And Entity Information [Line Items]
Title of 12(b) Security	Common Shares of Beneficial Interest, $0.01 Par Value
Trading Symbol	PMT
Security Exchange Name	NYSE
8.125% Series A Preferred Stock [Member]
Document And Entity Information [Line Items]
Title of 12(b) Security	8.125% Series A Cumulative Redeemable PreferredShares of Beneficial Interest, $0.01 Par Value
Trading Symbol	PMT/PA
Security Exchange Name	NYSE
8.00% Series B Preferred Stock [Member]
Document And Entity Information [Line Items]
Title of 12(b) Security	8.00% Series B Cumulative Redeemable PreferredShares of Beneficial Interest, $0.01 Par Value
Trading Symbol	PMT/PB
Security Exchange Name	NYSE

Consolidated Balance Sheets (Un

Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
ASSETS
Cash	$ 1,099,380	$ 104,056
Short-term investments at fair value	137,960	90,836
Mortgage-backed securities at fair value pledged to creditors	3,947,420	2,839,633
Loans acquired for sale at fair value ($2,813,903 and $4,070,134 pledged to creditors, respectively)	2,856,042	4,148,425
Loans at fair value ($246,346 and $268,757 pledged to creditors, respectively)	251,423	270,793
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	157,109	178,586
Derivative and credit risk transfer strip assets ($142,183 pledged to creditors at December 31, 2019)	173,310	202,318
Firm commitment to purchase credit risk transfer securities at fair value	0	109,513
Real estate acquired in settlement of loans ($30,385 and $40,938 pledged to creditors, respectively)	50,838	65,583
Deposits securing credit risk transfer arrangements pledged to creditors	1,855,936	1,969,784
Mortgage servicing rights at fair value ($1,141,337 and $1,510,651 pledged to creditors, respectively)	1,157,326	1,535,705
Servicing advances	39,030	48,971
Other	189,202	204,388
Total assets	11,918,488	11,771,351
LIABILITIES
Assets sold under agreements to repurchase	6,348,192	6,648,890
Notes payable secured by credit risk transfer and mortgage servicing assets	1,967,526	1,696,295
Exchangeable senior notes	444,525	443,506
Asset-backed financing of a variable interest entity at fair value	232,565	243,360
Interest-only security payable at fair value	14,134	25,709
Derivative and credit risk transfer strip liabilities at fair value	462,639	6,423
Firm commitment to purchase credit risk transfer securities at fair value	409,649	0
Accounts payable and accrued liabilities	40,534	91,149
Income taxes payable	12,067	1,819
Liability for losses under representations and warranties	7,300	7,614
Total liabilities	10,095,120	9,320,436
Commitments and contingencies ─ Note 20
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, 99,841,390 and 100,182,227 common shares, respectively	998	1,002
Additional paid-in capital	2,126,264	2,127,889
(Accumulated deficit) retained earnings	(603,601)	22,317
Total shareholders’ equity	1,823,368	2,450,915
Total liabilities and shareholders’ equity	11,918,488	11,771,351
Variable Interest Entities [Member]
ASSETS
Loans at fair value ($246,346 and $268,757 pledged to creditors, respectively)	242,301	256,367
Derivative and credit risk transfer strip assets ($142,183 pledged to creditors at December 31, 2019)	0	170,793
Deposits securing credit risk transfer arrangements pledged to creditors	1,855,936	1,969,784
Other—interest receivable	678	712
Total assets	2,098,915	2,397,656
LIABILITIES
Asset-backed financing of a variable interest entity at fair value	232,565	243,360
Derivative and credit risk transfer liabilities at fair value	360,878	0
Interest-only security payable at fair value	14,134	25,709
Accounts payable and accrued liabilities—interest payable	678	712
Total liabilities	608,255	269,781
PennyMac Financial Services, Inc. [Member]
ASSETS
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	157,109	178,586
Due from PennyMac Financial Services, Inc.	3,512	2,760
LIABILITIES
Assets sold under agreements to repurchase	99,766	107,512
Due to PennyMac Financial Services, Inc.	$ 56,223	$ 48,159

Consolidated Balance Sheets (_2

Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Loans acquired for sale at fair value, pledged to creditors	$ 2,813,903	$ 4,070,134
Loans at fair value, pledged to creditors	246,346	268,757
Derivative assets, pledged to creditors		142,183
Mortgage servicing rights pledged to creditors	$ 1,141,337	$ 1,510,651
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	$ 310,000
Common shares, authorized	500,000,000	500,000,000
Common shares, par value	$ 0.01	$ 0.01
Common shares, issued	99,841,390	100,182,227
Common shares, outstanding	99,841,390	100,182,227
Real Estate Acquired in Satisfaction of Debt [Member]
Real estate pledged to creditors	$ 30,385	$ 40,938

Consolidated Statements of Oper

Consolidated Statements of Operations (Unaudited) - USD ($) shares in Thousands, $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Net investment income
Net gain on investments	$ (815,131)	$ 95,093
Contractually specified	94,469	61,272
Net mortgage loan servicing fees	101,660	64,480
Change in fair value of mortgage servicing rights net of hedging results	139,985	(96,194)
Net servicing fees from non-affiliates	244,572	(31,080)
Net gain on loans acquired for sale	48,775	21,323
Loan origination fees	23,928	12,938
Interest income	72,123	63,081
Interest expense	81,068	54,739
Net interest (expense) income	(8,945)	8,342
Results of real estate acquired in settlement of loans	32	(1,480)
Other	252	1,482
Net investment (loss) income	(506,517)	106,618
Expenses
Loan fulfillment fees	41,940	27,574
Loan servicing fees	14,521	10,570
Management fees	9,055	7,248
Loan origination	4,249	2,277
Safekeeping	1,658	736
Professional services	1,496	1,327
Loan collection and liquidation	750	1,584
Compensation	519	1,969
Other	3,720	3,466
Total expenses	77,908	56,751
(Loss) income before provision for (benefit from) income taxes	(584,425)	49,867
Provision for (benefit from) income taxes	10,248	(3,660)
Net (loss) income	(594,673)	53,527
Dividends on preferred shares	6,234	6,234
Net (loss) income attributable to common shareholders	$ (600,907)	$ 47,293
Earnings per common share
Basic	$ (5.99)	$ 0.73
Diluted	$ (5.99)	$ 0.68
Weighted average common shares outstanding
Basic	100,245	64,629
Diluted	100,245	73,371
Dividends declared per common share	$ 0.25	$ 0.47
Nonaffiliates [Member]
Net investment income
Net gain on investments	$ (800,990)	$ 98,655
Other	7,191	3,208
Net mortgage loan servicing fees	94,469	61,272
Change in fair value of mortgage servicing rights net of hedging results	139,985	(96,194)
Net servicing fees from non-affiliates	241,645	(31,714)
Net gain on loans acquired for sale	44,614	19,329
Interest income	70,149	60,015
Interest expense	79,850	52,943
PennyMac Financial Services, Inc. [Member]
Net investment income
Net gain on investments	(14,141)	(3,562)
From PennyMac Financial Services, Inc.	2,927	634
Net gain on loans acquired for sale	4,161	1,994
Interest income	1,974	3,066
Interest expense	$ 1,218	$ 1,796

Consolidated Statements of Chan

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) Retained Earnings [Member]
Balance, Amount at Dec. 31, 2018	$ 1,566,132	$ 299,707	$ 610	$ 1,285,533	$ (19,718)
Balance, Shares at Dec. 31, 2018		12,400	60,951
Net income (loss)	53,527	$ 0	$ 0	0	53,527
Share-based compensation, Amount	(983)	0	$ 2	(985)	0
Share-based compensation, Shares			240
Issuance of common shares, Amount	149,467	0	$ 72	149,395	0
Issuance of common shares, Shares			7,221
Issuance cost relating to common shares	(2,056)	0	$ 0	(2,056)	0
Dividends:
Common share dividends	(32,262)	0	0	0	(32,262)
Preferred shares dividends	(6,236)	0	0	0	(6,236)
Repurchase of common shares, Amount	$ 0
Repurchase of common shares, Shares	0
Balance, Amount at Mar. 31, 2019	$ 1,727,589	$ 299,707	$ 684	1,431,887	(4,689)
Balance, Shares at Mar. 31, 2019		12,400	68,412
Balance, Amount at Dec. 31, 2019	2,450,915	$ 299,707	$ 1,002	2,127,889	22,317
Balance, Shares at Dec. 31, 2019		12,400	100,182
Net income (loss)	(594,673)	$ 0	$ 0	0	(594,673)
Share-based compensation, Amount	(1,443)	0	$ 2	(1,445)	0
Share-based compensation, Shares			201
Issuance of common shares, Amount	5,654	0	$ 2	5,652	0
Issuance of common shares, Shares			241
Issuance cost relating to common shares	(57)	0	$ 0	(57)	0
Dividends:
Common share dividends	(25,009)	0	0	0	(25,009)
Preferred shares dividends	(6,236)	0	0	0	(6,236)
Repurchase of common shares, Amount	$ (5,783)	0	$ (8)	(5,775)	0
Repurchase of common shares, Shares	(783)		(783)
Balance, Amount at Mar. 31, 2020	$ 1,823,368	$ 299,707	$ 998	$ 2,126,264	$ (603,601)
Balance, Shares at Mar. 31, 2020		12,400	99,841

Consolidated Statements of Ch_2

Consolidated Statements of Changes in Shareholders' Equity (Unaudited) (Parenthetical) - $ / shares	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Common share dividends declared per share	$ 0.25	$ 0.47
(Accumulated Deficit) Retained Earnings [Member]
Common share dividends declared per share	$ 0.25	$ 0.47

Consolidated Statements of Cash

Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Cash flows from operating activities
Net (loss) income	$ (594,673)	$ 53,527
Adjustments to reconcile net income to net cash provided by operating activities:
Net loss (gain) on investments	815,131	(95,093)
Change in fair value of mortgage servicing rights net of hedging results	(139,985)	96,194
Net gain on loans acquired for sale at fair value	(48,775)	(21,323)
Accrual of interest on excess servicing spread purchased from PennyMac Financial Services, Inc.	(1,974)	(3,066)
Capitalization of interest and fees on loans at fair value	0	(762)
Accrual of unearned discounts and amortization of purchase premiums on mortgage-backed securities, loans at fair value, and asset-backed financing of a VIE	14,200	5,252
Amortization of debt issuance costs and (premiums), net	3,127	(4,899)
Results of real estate acquired in settlement of loans	(32)	1,480
Share-based compensation expense	186	1,617
Purchase of loans acquired for sale at fair value from nonaffiliates	(30,919,685)	(15,473,441)
Purchase of loans acquired for sale at fair value from PennyMac Financial Services, Inc.	(2,246,127)	(884,510)
Repurchase of loans subject to representation and warranties	(9,919)	(2,880)
Sale to nonaffiliates and repayment of loans acquired for sale at fair value	19,718,151	9,475,174
Sale of loans acquired for sale to PennyMac Financial Services, Inc.	14,509,209	6,959,390
Settlement of repurchase agreement derivatives	0	4,492
Decrease in servicing advances	9,661	33,052
(Increase) decrease in due from PennyMac Financial Services, Inc.	(750)	713
Decrease in other assets	607,581	6,846
(Decrease) increase in accounts payable and accrued liabilities	(28,355)	313
Increase (decrease) in due to PennyMac Financial Services, Inc.	8,031	(3,513)
Increase (decrease) in income taxes payable	10,248	(3,660)
Net cash provided by operating activities	1,705,250	144,903
Cash flows from investing activities
Net (increase) decrease in short-term investments	(47,124)	45,099
Purchase of mortgage-backed securities at fair value	(1,615,486)	0
Sale and repayment of mortgage-backed securities at fair value	611,664	53,682
Repurchase of loans at fair value	(1,058)	(1,077)
Sale and repayment of loans at fair value	15,824	8,436
Repayment of excess servicing spread by PennyMac Financial Services, Inc.	9,308	10,552
Net settlement of derivative financial instruments	(32,452)	(4,814)
Sale of real estate acquired in settlement of loans	15,943	16,900
Distribution from credit risk transfer agreements	145,801	30,262
Increase in margin deposits	293,620	16,429
Net cash (used in) provided by investing activities	(603,960)	175,469
Cash flows from financing activities
Sale of assets under agreements to repurchase	42,128,403	22,303,421
Repurchase of assets sold under agreements to repurchase	(42,429,163)	(22,901,600)
Issuance of mortgage loan participation purchase and sale agreements	1,222,959	1,661,385
Repayment of mortgage loan participation purchase and sale agreements	(1,222,959)	(1,766,937)
Issuance of notes payable secured by credit risk transfer and mortgage servicing assets	350,000	295,730
Repayment of notes payable secured by credit risk transfer and mortgage servicing assets	(79,011)	0
Repayment of asset-backed financing of a variable interest entity at fair value	(11,358)	(4,669)
Repurchase of assets sold to PennyMac Financial Services, Inc. under agreement to repurchase	(7,746)	(5,096)
Payment of debt issuance costs	(1,771)	(3,520)
Payment of contingent underwriting fees	(76)	(152)
Payment of dividends to preferred shareholders	(6,236)	(6,236)
Payment of dividends to common shareholders	(47,193)	(28,816)
Issuance of common shares	5,654	149,467
Payment of issuance costs related to common shares	(57)	(2,056)
Repurchase of common shares	(5,783)	0
Payment of vested share-based compensation withholdings	(1,629)	(2,600)
Net cash used in financing activities	(105,966)	(311,679)
Net increase in cash	995,324	8,693
Cash at beginning of quarter	104,056	59,845
Cash at end of quarter	$ 1,099,380	$ 68,538

Organization

Organization	3 Months Ended
	Mar. 31, 2020
Organization Consolidation And Presentation Of Financial Statements [Abstract]
Organization	Note 1—Organization PennyMac Mortgage Investment Trust (“PMT” or 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: credit sensitive strategies, interest rate sensitive strategies, correspondent production, and corporate: • The credit sensitive strategies segment represents the Company’s investments in credit risk transfer (“CRT”) arrangements, including CRT agreements (“CRT Agreements”) and CRT securities (together, “CRT arrangements”), distressed loans, real estate, and non-Agency subordinated bonds. • The interest rate sensitive strategies segment represents the Company’s investments in mortgage servicing rights (“MSRs”), excess servicing spread (“ESS”) purchased from PennyMac Financial Services, Inc. (“PFSI”), Agency and senior non-Agency mortgage-backed securities (“MBS”) and the related interest rate hedging activities. • The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality loans either directly or in the form of MBS, using the services of PNMAC Capital Management, LLC (“PCM” or the “Manager”) and PennyMac Loan Services, LLC (“PLS”), both indirect controlled subsidiaries of PFSI. The Company primarily sells the loans it acquires through its correspondent production activities to government-sponsored entities (“GSEs”) 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 corporate segment includes management fees, corporate expense amounts and certain interest income. 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. To maintain its tax status as a REIT, the Company is required to distribute at least 90% of its taxable income in the form of qualifying distributions to shareholders.

Basis of Presentation and Recen

Basis of Presentation and Recently Issued Accounting Pronouncements	3 Months Ended
	Mar. 31, 2020
Organization Consolidation And Presentation Of Financial Statements [Abstract]
Basis of Presentation and Recently Issued Accounting Pronouncements	Note 2—Basis of Presentation and Recently Issued Accounting Pronouncements Basis of Presentation The Company’s 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 These 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 presented, 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 Company 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. The Company held no restricted cash during the periods presented. Therefore, the consolidated statements of cash flows do not include references to restricted cash. Accounting Change Effective January 1, 2020, the Company adopted FASB Accounting Standards Update 2016-13, Financial Instruments Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments

Concentration of Risks

Concentration of Risks	3 Months Ended
	Mar. 31, 2020
Risks And Uncertainties [Abstract]
Concentration of Risks	Note 3—Concentration of Risks As discussed in Note 1— Organization Credit Risk Note 6 – Variable Interest Entities • through May 2018, entering into CRT Agreements, whereby it retains a portion of the credit risk underlying such loans as part of the retention of an interest-only (“IO”) ownership interest in such loans and an obligation to absorb credit losses arising from such loans (“Recourse Obligations”); or • beginning in June 2018, entering into firm commitments to purchase and purchasing CRT securities that absorb losses from defaults of such loans and, upon purchase of such securities, holding CRT strips representing an IO ownership interest that absorbs realized credit losses arising from such loans. The Company’s retention of credit risk through its investment in CRT arrangements subjects it to risks associated with delinquency and foreclosure similar to the risks of loss associated with owning the related loans, which is greater than the risk of loss associated with selling such loans to Fannie Mae without the retention of such credit risk. CRT Agreements are structured such that loans that reach a specific number of days delinquent (including loans in forbearance which also includes those subject to the forbearance provided in the Coronavirus Aid, Relief, and Economic Security Act (“CARES Act”)) trigger losses chargeable to the CRT Agreements based on the size of the loan and a contractual schedule of loss severity. Therefore, the risks associated with delinquency and foreclosure may in some instances be greater than the risks associated with owning the related loans because the structure of the CRT Agreements provides that the Company may be required to absorb losses in the event of delinquency or foreclosure even when there is ultimately no loss realized with respect to such loans (e.g., as a result of a borrower’s re-performance). The structure of the Company’s investment in CRT strips requires PMT to absorb losses only when the reference loans realize actual losses. Fair Value Risk The Company is exposed to fair value risk in addition to the risks specific to credit 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 its investments in MSRs and CRT arrangements, including its firm commitment to purchase CRT securities: • MSRs are generally subject to loss in fair value when mortgage interest rates decrease, when estimates of cost to service the underlying loans increase or when the returns demanded by market participants increase. • The Company makes a firm commitment to purchase the CRT securities at the beginning of the aggregation period (the aggregation period is the time during which loans are sold into MBS and accumulated in the reference pool whose losses are the basis for losses chargeable to the CRT arrangements) and before the settlement of the CRT securities. The Company has elected to account for these commitments at fair value. Accordingly, the Company recognizes the fair value of such commitment as it sells loans subject to the firm commitment, and also recognizes changes in fair value of the firm commitment during the time it is outstanding. • The Company has a significant investment in CRT arrangements and carries such arrangements at fair value. The fair value of CRT arrangements is sensitive to market perceptions of future credit performance of the underlying loans as well as the actual credit performance of such loans and to the returns required by market participants to hold such investments.

Transactions with Related Parti

Transactions with Related Parties	3 Months Ended
	Mar. 31, 2020
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 that shall equal (a) no greater than the product of (i) 0.35% and (ii) the aggregate initial unpaid principal balance (the “Initial UPB”) of all loans purchased in such month, plus (b) in the case of all loans other than 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 loans sold and securitized in such month; provided however, that no fulfillment fee shall be due or payable to PLS with respect to any loans underwritten in accordance with the Ginnie Mae MBS Guide. 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 saleable in accordance with the Ginnie Mae MBS 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 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 administered by PLS, 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 The Company may purchase newly originated conforming balance non-government insured or guaranteed loans from PLS under a mortgage loan purchase and sale agreement. Following is a summary of correspondent production activity between the Company and PLS: Quarter ended March 31, 2020 2019 (in thousands) Loan fulfillment fees earned by PLS $ 41,940 $ 27,574 UPB of loans fulfilled by PLS $ 16,152,543 $ 8,135,552 Sourcing fees received from PLS included in Net gain on loans acquired for sale $ 4,161 $ 1,994 UPB of loans sold to PLS $ 13,870,280 $ 6,647,338 Purchases of loans acquired for sale from PLS $ 2,246,127 $ 884,510 Tax service fees paid to PLS $ 3,980 $ 2,243 March 31, 2020 December 31, 2019 (in thousands) Loans included in Loans acquired for sale at fair value pending sale to PLS $ 222,662 $ 490,383 Loan Servicing The Company, through its Operating Partnership, has an amended and restated loan servicing agreement with PLS dated as of September 12, 2016, pursuant to which PLS provides subservicing for the Company's portfolio of residential loans and its portfolio of MSRs. The servicing agreement provides for servicing fees earned by PLS that are based on a percentage of the loan’s unpaid principal balance or fixed per loan monthly amounts based on the delinquency, bankruptcy and/or foreclosure status of the serviced loan or 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 a percentage of late charges relating to loans it services for the Company. Prime Servicing The base servicing fees for non-distressed 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 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 loans. To the extent that these non-distressed loans become delinquent, PLS is entitled to an additional servicing fee per loan ranging from $10 to $55 per month and based on the delinquency, bankruptcy and foreclosure status of the loan or $75 per month if the underlying mortgaged property becomes REO. 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. Special Servicing The base servicing fee rates for distressed 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. 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 a small number of employees and limited infrastructure. For these services, PLS receives a supplemental fee of $25 per month for each distressed loan. PLS is entitled to reimbursement for all customary, good faith reasonable and necessary out-of-pocket expenses incurred in the performance of its servicing obligations. PLS is also entitled to certain activity-based fees for distressed 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 full modification or 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 loan in any 18-month period. 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. Except as otherwise provided in the MSR recapture agreement, when PLS effects a refinancing of a loan on behalf of the Company and not through a third-party lender and the resulting loan is readily saleable, or PLS originates a loan to facilitate the disposition of an REO, PLS is entitled to receive from the Company market-based fees and compensation consistent with pricing and terms PLS offers unaffiliated parties on a retail basis. During the period in which the U.S. Department of Treasury’s Home Affordable Modification Plan (“HAMP”) was in effect, PLS, on behalf of the Company, was entitled to retain any incentive payments made to it and to which it was entitled under HAMP; provided, however, that with respect to any such incentive payments paid to PLS under HAMP in connection with a loan modification for which the Company previously paid PLS a modification fee, PLS reimbursed the Company an amount equal to the incentive payments. The term of the loan 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. MSR Recapture Agreement Pursuant to the terms of an amended and restated MSR recapture agreement, if PLS refinances 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 loan servicing fees earned by PLS and MSR recapture income earned from PLS: Quarter ended March 31, 2020 2019 (in thousands) Loan servicing fees: Loans acquired for sale at fair value $ 536 $ 239 Loans at fair value 300 463 MSRs 13,685 9,868 $ 14,521 $ 10,570 Average investment in: Loans acquired for sale at fair value $ 3,215,418 $ 1,633,711 Loans at fair value: Distressed $ 11,249 $ 112,923 Held in a VIE $ 253,759 $ 289,771 Average MSR portfolio UPB $ 136,687,324 $ 95,953,915 MSR recapture income recognized included in Net loan servicing fees from PennyMac Financial Services, Inc. $ 2,927 $ 634 Management Fees The Company has a management agreement with PCM, which was amended and restated effective as of September 12, 2016. Under the 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 quarterly 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 equal to the sum of: (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. “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 average Fannie Mae 30-year MBS yield (the target yield) for the four quarters then ended. 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. 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. The management 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. 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 immediately preceding the date of termination. Following is a summary of management fee expenses: Quarter ended March 31, 2020 2019 (in thousands) Base management $ 9,055 $ 6,109 Performance incentive — 1,139 $ 9,055 $ 7,248 Average shareholders' equity amounts used to calculate management fee expense $ 2,466,740 $ 1,651,648 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’ compensation expenses, 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 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, 2020 2019 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates $ 1,540 $ 1,236 Compensation 120 120 Expenses incurred on the Company’s behalf, net 1,271 570 $ 2,931 $ 1,926 Payments and settlements during the quarter (1) $ 33,683 $ 15,189 (1) Payments and settlements include payments and netting settlements made pursuant to master netting agreements between the Company and PFSI for the operating, investing 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 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 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 loans. However, under the Spread Acquisition Agreement, in any month where the transferred ESS relating to newly originated Ginnie Mae loans is not equal to at least 90% of the product of the excess servicing fee rate and the unpaid principal balance of the refinanced 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 loans is not equal to at least 90% of the product of the excess servicing fee rate and the unpaid principal balance of the modified 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, settle its recapture liability to the Company in cash 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, 2020 2019 (in thousands) ESS: Received pursuant to a recapture agreement $ 379 $ 508 Repayments $ 9,308 $ 10,552 Interest income $ 1,974 $ 3,066 Net (loss) gain included in Net (loss) gain on investments: Valuation changes $ (14,522 ) $ (4,051 ) Recapture income 381 489 $ (14,141 ) $ (3,562 ) March 31, 2020 December 31, 2019 (in thousands) Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value $ 157,109 $ 178,586 Financing Activities PFSI held 75,000 of the Company’s common shares at both March 31, 2020 and December 31, 2019. 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”). On February 1, 2019, the term of the reimbursement agreement was extended and now expires on February 1, 2023. Following is a summary of financing activities between the Company and PFSI: Quarter ended March 31, 2020 2019 (in thousands) Net repayments of assets sold under agreements to repurchase $ 7,746 $ 5,096 Interest expense $ 1,218 $ 1,796 Payment of conditional reimbursement to PCM $ 211 $ 75 March 31, 2020 December 31, 2019 (in thousands) Assets sold to PFSI under agreement to repurchase $ 99,766 $ 107,512 Conditional Reimbursement payable to PCM included in Due to PennyMac Financial Services, Inc. $ 10 $ 221 Amounts Receivable from and Payable to PFSI Amounts receivable from and payable to PFSI are summarized below: March 31, 2020 December 31, 2019 (in thousands) Due from PFSI: MSR recapture $ 151 $ 149 Other 3,361 2,611 $ 3,512 $ 2,760 Due to PFSI: Fulfillment fees $ 17,366 $ 18,285 Allocated expenses and expenses paid by PFSI on PMT’s behalf 16,314 3,724 Management fees 9,055 10,579 Correspondent production fees 8,475 10,606 Loan servicing fees 4,929 4,659 Interest on Assets sold to PFSI under agreement to repurchase 74 85 Conditional Reimbursement 10 221 $ 56,223 $ 48,159

Loan Sales

Loan Sales	3 Months Ended
	Mar. 31, 2020
Organization Consolidation And Presentation Of Financial Statements [Abstract]
Loan Sales	Note 5—Loan Sales The following table summarizes cash flows between the Company and transferees in transfers of loans that are accounted for as sales where the Company maintains continuing involvement with the loans as servicer: Quarter ended March 31, 2020 2019 (in thousands) Cash flows: Proceeds from sales $ 19,718,151 $ 9,475,174 Loan servicing fees received net of guarantee fees $ 94,469 $ 61,272 The following table summarizes collection status information for loans that are accounted for as sales where the Company maintains continuing involvement for the dates presented: March 31, 2020 December 31, 2019 (in thousands) UPB of loans outstanding $ 141,439,454 $ 130,663,117 Collection Status (UPB) Delinquency: 30-89 days delinquent $ 1,175,506 $ 1,014,094 90 or more days delinquent: Not in foreclosure $ 286,162 $ 258,036 In foreclosure $ 50,856 $ 53,697 Bankruptcy $ 142,019 $ 130,936 Custodial funds managed by the Company (1) $ 3,935,103 $ 2,529,984 (1) Custodial funds include borrower and investor custodial cash accounts relating to loans serviced under mortgage servicing agreements and are not included on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the loans’ borrowers and investors, which are included in Interest income

Variable Interest Entities

Variable Interest Entities	3 Months Ended
	Mar. 31, 2020
Organization Consolidation And Presentation Of Financial Statements [Abstract]
Variable Interest Entities	Note 6—Variable Interest Entities The Company is a variable interest holder in various VIEs that relate to its investing and financing activities. Credit Risk Transfer Arrangements The Company has entered into certain loan sales arrangements pursuant to which it accepts credit risk relating to the loans sold in exchange for a portion of the interest earned on such loans. These arrangements absorb credit losses on such loans and include CRT Agreements, CRT strips and sales of loans that include firm commitments to purchase CRT securities. The Company, through its subsidiary, PennyMac Corp. (“PMC”), entered into CRT Agreements with Fannie Mae, pursuant to which PMC, through subsidiary trust entities, sold pools of loans into Fannie Mae-guaranteed securitizations while retaining Recourse Obligations as part of the retention of IO ownership interests in such loans. The transfers of loans subject to CRT arrangements are accounted for as sales. The Company places Deposits securing CRT arrangements Deposits securing CRT arrangements The Company’s exposure to losses under its Recourse Obligations was initially established at 3.5% to 4.0% of the UPB of the loans sold under the CRT Agreements. As the UPB of the underlying loans subject to each CRT Agreement is reduced through repayments, the percentage exposure of each CRT Agreement will increase to maximums of 4.5% to 5.0% of outstanding UPB, although the total dollar amount of exposure to losses does not increase. The final sales of loans subject to the CRT Agreements were made during May 2018. Effective in June 2018, the Company began entering into different types of CRT arrangements. Under the new arrangements, the Company sells loans subject to agreements that require the Company to purchase securities that absorb incurred credit losses on such loans. The Company recognizes these purchase commitments initially as a component of Net gain on loans acquired for sale Net (loss) gain on investments During 2019, the Company purchased securities subject to the firm commitments. Similar to the CRT Agreements, the Company accounts for the cash collateralizing these securities as Deposits securing CRT arrangements CRT strips Derivative and credit risk transfer strip assets Derivative and credit risk transfer strip liabilities. Net (loss) gain on investments Derivative and credit risk transfer strip assets Derivative and credit risk transfer strip liabilities Following is a summary of the CRT arrangements: Quarter ended March 31, 2020 2019 (in thousands) UPB of loans sold $ 14,683,055 $ 7,702,080 Investments: Change in expected face amount of firm commitment to purchase CRT securities and commitments to fund Deposits securing CRT arrangements resulting from sales of loans $ 554,690 $ 281,917 Investment (loss) income: Net (loss) gain on investments: Derivative and CRT strips: CRT strips Realized $ 14,750 Valuation changes (229,875 ) (215,125 ) CRT derivatives Realized 17,201 $ 21,043 Valuation changes (300,943 ) 6,460 (283,742 ) 27,503 Interest-only security payable at fair value 11,575 3,447 (487,292 ) 30,950 Firm commitments to purchase CRT securities (492,513 ) 22,190 (979,805 ) 53,140 Net gain on loans acquired for sale — Fair value of firm commitment to purchase CRT securities recognized upon sale of loans (26,649 ) 19,600 Interest income — Deposits securing CRT arrangements 6,099 6,775 $ (1,000,355 ) $ 79,515 Payments made to settle losses on credit risk transfer arrangements $ 1,517 $ 895 March 31, 2020 December 31, 2019 (in thousands) Carrying value of CRT arrangements: Derivative and credit risk transfer strip assets CRT strips $ — $ 54,930 CRT derivatives — 115,863 $ — $ 170,793 Derivative and credit risk transfer strip liabilities CRT strips $ 174,945 $ — CRT derivatives 185,933 — $ 360,878 $ — Firm commitment to purchase credit risk transfer securities at fair value $ (409,649 ) $ 109,513 Deposits securing CRT arrangements $ 1,855,936 $ 1,969,784 Interest-only security payable at fair value $ 14,134 $ 25,709 CRT arrangement assets pledged to secure borrowings: Derivative and credit risk transfer strip assets $ — $ 142,183 Deposits securing CRT arrangements (1) $ 1,855,936 $ 1,969,784 Face amount of firm commitment to purchase CRT securities $ 2,056,893 $ 1,502,203 UPB of loans — funded credit risk transfer arrangements $ 38,208,418 $ 41,944,117 Collection status (UPB): Delinquency Current $ 37,579,314 $ 41,355,622 30-89 days delinquent $ 496,043 $ 463,331 90-180 days delinquent $ 110,775 $ 106,234 180 or more days delinquent $ 14,520 $ 8,802 Foreclosure $ 7,766 $ 10,128 Bankruptcy $ 60,439 $ 55,452 UPB of loans — firm commitment to purchase CRT securities $ 51,422,319 $ 38,738,396 Collection status (UPB): Delinquency Current $ 51,162,276 $ 38,581,080 30-89 days delinquent $ 244,601 $ 146,256 90-180 days delinquent $ 9,056 $ 9,109 180 or more days delinquent $ 2,469 $ — Foreclosure $ 3,917 $ 1,951 Bankruptcy $ 8,267 $ 2,980 (1) Deposits securing credit risk transfer strip liabilities CRT strip and CRT derivative liabilities. Jumbo Loan Financing On September 30, 2013, the Company completed a securitization transaction in which PMT Loan Trust 2013-J1 issued $537.0 million in UPB of certificates backed by fixed-rate prime jumbo loans, at a 3.9% weighted yield. The Company includes the balance of the loans held in the trust in Loans at fair value Asset backed financing of a variable interest entity at fair value . Interest Income – from nonaffiliates Interest Expense – to nonaffiliates Following is a summary of the Company’s jumbo loan financing: Quarter ended March 31, 2020 2019 (in thousands) Interest income $ 2,641 $ 2,924 Interest expense $ 4,527 $ 3,268 March 31, 2020 December 31, 2019 (dollars in thousands) Loans at fair value $ 242,301 $ 256,367 Asset-backed financing at fair value $ 232,565 $ 243,360 Certificates retained at fair value $ 9,736 $ 13,007

Fair Value

Fair Value	3 Months Ended
	Mar. 31, 2020
Fair Value Disclosures [Abstract]
Fair Value	Note 7—Fair Value The Company’s consolidated financial statements include assets and liabilities that are measured at or based on their fair values. Measurement at or based on 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 Company 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 an asset or liability and are developed based on market data obtained from sources independent of the Company. • 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 an asset or liability, 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 Company 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 their fair values. Such differences may result in significantly different fair value measurements. Likewise, due to the general illiquidity of some of these assets and liabilities, subsequent transactions may be at values significantly different from those reported. The Company reclassifies its assets and liabilities between levels of the fair value hierarchy when the inputs required to establish fair value at a level of the fair value hierarchy are no longer readily available, requiring the use of lower-level inputs, or when the inputs required to establish fair value at a higher level of the hierarchy become available. Fair Value Accounting Elections The Company identified all of PMT’s non-cash financial assets, its Credit risk transfer strip assets and liabilities, Firm commitment to purchase CRT securities The Company has also identified its Asset-backed financing of a VIE at fair value Interest-only security payable at fair value 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, 2020 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 137,960 $ — $ — $ 137,960 Mortgage-backed securities at fair value — 3,947,420 — 3,947,420 Loans acquired for sale at fair value — 2,833,501 22,541 2,856,042 Loans at fair value — 242,301 9,122 251,423 Excess servicing spread purchased from PFSI — — 157,109 157,109 Derivative and credit risk transfer strip assets: Interest rate lock commitments — — 79,514 79,514 Repurchase agreement derivatives — — 5,275 5,275 Forward purchase contracts — 247,814 — 247,814 Forward sale contracts — 7,193 — 7,193 MBS put options — 2,924 — 2,924 Swap futures — 38,678 — 38,678 Call options on interest rate futures 29,121 — — 29,121 Put options on interest rate futures 14,691 — — 14,691 Total derivative and credit risk transfer strip assets before netting 43,812 296,609 84,789 425,210 Netting — — — (251,900 ) Total derivative and credit risk transfer strip assets after netting 43,812 296,609 84,789 173,310 Mortgage servicing rights at fair value — — 1,157,326 1,157,326 $ 181,772 $ 7,319,831 $ 1,430,887 $ 8,680,590 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 232,565 $ — $ 232,565 Interest-only security payable at fair value — — 14,134 14,134 Derivative and credit risk transfer strip liabilities: Credit risk transfer strips — — 174,945 174,945 CRT derivatives — — 185,933 185,933 Interest rate lock commitments — — 130 130 Forward purchase contracts — 2,091 — 2,091 Forward sales contracts — 146,256 — 146,256 Total derivative liabilities before netting — 148,347 361,008 509,355 Netting — — — (46,716 ) Total derivative liabilities after netting — 148,347 361,008 462,639 Firm commitment to purchase credit risk transfer securities at fair value — — 409,649 409,649 $ — $ 380,912 $ 784,791 $ 1,118,987 December 31, 2019 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 90,836 $ — $ — $ 90,836 Mortgage-backed securities at fair value — 2,839,633 — 2,839,633 Loans acquired for sale at fair value — 4,129,858 18,567 4,148,425 Loans at fair value — 256,367 14,426 270,793 Excess servicing spread purchased from PFSI — — 178,586 178,586 Derivative and credit risk transfer strip assets: Credit risk transfer strips — — 54,930 54,930 CRT derivatives — — 115,863 115,863 Interest rate lock commitments — — 11,726 11,726 Repurchase agreement derivatives — — 5,275 5,275 Forward purchase contracts — 7,525 — 7,525 Forward sale contracts — 637 — 637 MBS put options — 1,625 — 1,625 Swap futures — 4,347 — 4,347 Call options on interest rate futures 3,809 — — 3,809 Put options on interest rate futures 2,859 — — 2,859 Total derivative assets before netting 6,668 14,134 187,794 208,596 Netting — — — (6,278 ) Total derivative assets after netting 6,668 14,134 187,794 202,318 Firm commitment to purchase credit risk transfer securities at fair value — — 109,513 109,513 Mortgage servicing rights at fair value — — 1,535,705 1,535,705 $ 97,504 $ 7,239,992 $ 2,044,591 $ 9,375,809 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 243,360 $ — $ 243,360 Interest-only security payable at fair value — — 25,709 25,709 Derivative liabilities: Interest rate lock commitments — — 572 572 Forward purchase contracts — 3,600 — 3,600 Forward sales contracts — 15,644 — 15,644 Total derivative liabilities before netting — 19,244 572 19,816 Netting — — — (13,393 ) Total derivative liabilities after netting — 19,244 572 6,423 $ — $ 262,604 $ 26,281 $ 275,492 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 quarters presented: Quarter ended March 31, 2020 Assets (1) Loans acquired for sale Loans at fair value Excess servicing spread CRT strips CRT derivatives Interest rate lock commitments Repurchase agreement derivatives Firm commitment to purchase CRT securities Mortgage servicing rights Total (in thousands) Balance, December 31, 2019 $ 18,567 $ 14,426 $ 178,586 $ 54,930 $ 115,863 $ 11,154 $ 5,275 $ 109,513 $ 1,535,705 $ 2,044,019 Purchases and issuances 11,291 1,058 — — — 89,919 — — — 102,268 Repayments and sales (7,557 ) (4,335 ) (9,308 ) (14,750 ) (18,054 ) — — — — (54,004 ) Capitalization of interest and fees — — 1,974 — — — — — — 1,974 ESS received pursuant to a recapture agreement with PFSI — — 379 — — — — — — 379 Amounts received as proceeds from sales of loans — — — — — — — (26,649 ) 248,822 222,173 Changes in fair value included in results of operations arising from: Changes in instrument- specific credit risk — — — — — — — — — — Other factors 240 (1,142 ) (14,522 ) (215,125 ) (283,742 ) 103,645 — (492,513 ) (627,201 ) (1,530,360 ) 240 (1,142 ) (14,522 ) (215,125 ) (283,742 ) 103,645 — (492,513 ) (627,201 ) (1,530,360 ) Transfers: Loans to REO — (885 ) — — — — — — — (885 ) Interest rate lock commitments to loans acquired for sale (2) — — — — — (125,334 ) — — — (125,334 ) Balance, March 31, 2020 $ 22,541 $ 9,122 $ 157,109 $ (174,945 ) $ (185,933 ) $ 79,384 $ 5,275 $ (409,649 ) $ 1,157,326 $ 660,230 Changes in fair value recognized during the quarter relating to assets still held at March 31, 2020 $ 160 $ (841 ) $ (14,522 ) $ (229,875 ) $ (300,944 ) $ 79,384 $ — $ (492,513 ) $ (627,201 ) $ (1,586,352 ) (1) For the purpose of this table, CRT strips, CRT derivatives, IRLCs, and Firm commitment to purchase CRT securities asset and liability positions are shown net. (2) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Quarter ended March 31, 2020 (in thousands) Interest-only security payable: Balance, December 31, 2019 $ 25,709 Changes in fair value included in results of operations arising from: Changes in instrument-specific credit risk — Other factors (11,575 ) (11,575 ) Balance, March 31, 2020 $ 14,134 Changes in fair value recognized during the quarter relating to liability outstanding at March 31, 2020 $ (11,575 ) Quarter ended March 31, 2019 Assets (1) Loans acquired for sale Loans at fair value Excess servicing spread Interest rate lock commitments CRT derivatives Repurchase agreement derivatives Firm commitment to purchase CRT securities Mortgage servicing rights Total (in thousands) Balance, December 31, 2018 $ 17,474 $ 117,732 $ 216,110 $ 11,988 $ 123,987 $ 14,511 $ 37,994 $ 1,162,369 $ 1,702,165 Purchases and issuances 3,331 1,077 — 2,971 — 7,913 — — 15,292 Repayments and sales (3,222 ) (3,609 ) (10,552 ) — (21,043 ) (4,492 ) — — (42,918 ) Capitalization of interest — 762 3,066 — — — — — 3,828 Capitalization of advances — 457 — — — — — — 457 ESS received pursuant to a recapture agreement with PFSI — — 508 — — — — — 508 Amounts received as proceeds from sales of loans — — — — — — 19,600 131,868 151,468 Changes in fair value included in results of operations arising from: Changes in instrument- specific credit risk — 1,059 — — — — — — 1,059 Other factors (12 ) (574 ) (4,051 ) 25,531 27,503 (231 ) 22,190 (137,329 ) (66,973 ) (12 ) 485 (4,051 ) 25,531 27,503 (231 ) 22,190 (137,329 ) (65,914 ) Transfers: Loans to REO — (7,792 ) — — — — — — (7,792 ) Loans acquired for sale at fair value from "Level 2" to "Level 3" (2) 790 — — — — — — — 790 Interest rate lock commitments to loans acquired for sale (3) — — — (30,033 ) — — — — (30,033 ) Balance, March 31, 2019 $ 18,361 $ 109,112 $ 205,081 $ 10,457 $ 130,447 $ 17,701 $ 79,784 $ 1,156,908 $ 1,727,851 Changes in fair value recognized during the quarter relating to assets still held at March 31, 2019 $ (54 ) $ 329 $ (4,051 ) $ 10,457 $ 6,460 $ — $ 22,190 $ (137,329 ) $ (101,998 ) (1) For the purpose of this table IRLC assets and liability positions are shown net. (2) The Company identified certain “Level 2” fair value loans acquired for sale that were not saleable into the prime mortgage market and therefore transferred them to “Level 3”. (3) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Quarter ended March 31, 2019 (in thousands) Interest-only security payable: Balance, December 31, 2018 $ 36,011 Changes in fair value included in results of operations arising from: Changes in instrument- specific credit risk — Other factors (3,447 ) (3,447 ) Balance, March 31, 2019 $ 32,564 Changes in fair value recognized during the quarter relating to liability outstanding at March 31, 2019 $ (3,447 ) Financial Statement Items Measured at Fair Value under the Fair Value Option Following are the fair values and related principal amounts due upon maturity of loans accounted for under the fair value option (including loans acquired for sale, loans held in a consolidated VIE, and distressed loans): March 31, 2020 December 31, 2019 Fair value Principal amount due upon maturity Difference Fair value Principal amount due upon maturity Difference (in thousands) Loans acquired for sale at fair value: Current through 89 days delinquent: $ 2,855,085 $ 2,714,821 $ 140,264 $ 4,147,374 $ 4,010,444 $ 136,930 90 or more days delinquent: Not in foreclosure 126 163 (37 ) 572 615 (43 ) In foreclosure 831 1,003 (172 ) 479 566 (87 ) 957 1,166 (209 ) 1,051 1,181 (130 ) $ 2,856,042 $ 2,715,987 $ 140,055 $ 4,148,425 $ 4,011,625 $ 136,800 Loans at fair value: Loans held in a consolidated VIE: Current through 89 days delinquent $ 241,647 $ 239,935 $ 1,712 $ 255,706 $ 251,425 $ 4,281 90 or more days delinquent: Not in foreclosure 654 809 (155 ) 661 809 (148 ) In foreclosure — — — — — — 654 809 (155 ) 661 809 (148 ) 242,301 240,744 1,557 256,367 252,234 4,133 Distressed loans: Current through 89 days delinquent 2,557 4,884 (2,327 ) 3,179 6,202 (3,023 ) 90 or more days delinquent: Not in foreclosure 3,600 12,559 (8,959 ) 4,897 13,154 (8,257 ) In foreclosure 2,965 6,061 (3,096 ) 6,350 15,698 (9,348 ) 6,565 18,620 (12,055 ) 11,247 28,852 (17,605 ) 9,122 23,504 (14,382 ) 14,426 35,054 (20,628 ) $ 251,423 $ 264,248 $ (12,825 ) $ 270,793 $ 287,288 $ (16,495 ) Following are the changes in fair value included in current period results of operations by consolidated statement of operations line item for financial statement items accounted for under the fair value option: Quarter ended March 31, 2020 Net (loss) gain on investments Net gain on loans acquired for sale Net loan servicing fees Net interest (expense) income Total (in thousands) Assets: Mortgage-backed securities at fair value $ 115,967 $ — $ — $ (12,002 ) $ 103,965 Credit risk transfer strips (215,125 ) — — — (215,125 ) Loans acquired for sale at fair value — 147,558 — — 147,558 Loans at fair value (4,010 ) — — 293 (3,717 ) ESS at fair value (14,522 ) — — 1,974 (12,548 ) Firm commitment to purchase credit risk transfer securities at fair value (492,513 ) (26,649 ) — — (519,162 ) MSRs at fair value — — (627,201 ) — (627,201 ) $ (610,203 ) $ 120,909 $ (627,201 ) $ (9,735 ) $ (1,126,230 ) Liabilities: Interest-only security payable at fair value $ 11,575 $ — $ — $ — $ 11,575 Asset-backed financing of a VIE at fair value 1,928 — — (2,491 ) (563 ) $ 13,503 $ — $ — $ (2,491 ) $ 11,012 Quarter ended March 31, 2019 Net (loss) gain on investments Net gain on loans acquired for sale Net loan servicing fees Net interest (expense) income Total (in thousands) Assets: Mortgage-backed securities at fair value $ 36,922 $ — $ — $ (4,556 ) $ 32,366 Loans acquired for sale at fair value — 37,803 — — 37,803 Loans at fair value 4,070 — — 883 4,953 ESS at fair value (4,051 ) — — 3,066 (985 ) Firm commitment to purchase credit risk transfer securities at fair value 22,190 19,600 — — 41,790 MSRs at fair value — — (137,329 ) — (137,329 ) $ 59,131 $ 57,403 $ (137,329 ) $ (607 ) $ (21,402 ) Liabilities: Interest-only security payable at fair value $ 3,447 $ — $ — $ — $ 3,447 Asset-backed financing of a VIE at fair value (2,857 ) — — (821 ) (3,678 ) $ 590 $ — $ — $ (821 ) $ (231 ) Financial Statement Item Measured at Fair Value on a Nonrecurring Basis Following is a summary of the carrying value of assets that were re-measured during the quarter based on fair value on a nonrecurring basis: Real estate acquired in settlement of loans Level 1 Level 2 Level 3 Total (in thousands) March 31, 2020 $ — $ — $ 14,810 $ 14,810 December 31, 2019 $ — $ — $ 24,115 $ 24,115 The following table summarizes the fair value changes recognized during the quarter on assets held at quarter end that were remeasured at fair value on a nonrecurring basis: Quarter ended March 31, 2020 2019 (in thousands) Real estate asset acquired in settlement of loans $ (1,191 ) $ (2,438 ) The Company remeasures its REO based on fair value when it evaluates the REO for impairment. The Company evaluates its REO for impairment with reference to the respective properties’ fair values less cost to sell. REO may be revalued after acquisition 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 Fair Value of Financial Instruments Carried at Amortized Cost Most 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 Notes payable secured by credit risk transfer and mortgage servicing assets, Exchangeable senior notes, Assets sold to PennyMac Financial Services, Inc. under agreements to repurchase The Company has concluded that the fair values of these borrowings other than Notes payable secured by credit risk transfer and mortgage servicing assets Exchangeable senior notes The fair value of the Term Notes was based on non-affiliate broker indications of fair value for the dates presented. Following are the fair values of the Notes payable secured by credit risk transfer and mortgage servicing assets and Exchangeable senior notes : March 31, 2020 December 31, 2019 Instrument Carrying value Fair value Carrying value Fair value (in thousands) Notes payable secured by credit risk transfer and mortgage servicing assets $ 1,967,526 $ 1,264,573 $ 1,696,295 $ 1,705,544 Exchangeable senior notes $ 444,525 $ 375,077 $ 443,506 $ 462,117 Valuation Governance Most of the Company’s assets, its Asset-backed financing of a VIE at fair value, Interest-only security payable at fair value Derivative and credit risk transfer strip liabilities Due to the difficulty in estimating the fair values of “Level 3” fair value assets and liabilities, the Company has assigned responsibility for estimating the fair value of these assets and liabilities to specialized staff and subjects the valuation process to significant senior management oversight. PFSI’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. The fair value of the Company’s IRLCs is developed by PFSI’s Capital Markets Risk Management staff and is reviewed by the PFSI’s Capital Markets Operations group. The FAV group monitors the models used for valuation of the Company’s “Level 3” fair value assets and liabilities, including the models’ performance versus actual results, and reports those results to PFSI’s senior management valuation committee. PFSI’s senior management valuation committee includes the Company’s chief executive, chief financial, chief risk and deputy chief financial officers. With respect to the non-IRLC “Level 3” valuations, the FAV group reports to PFSI’s senior management valuation committee, which oversees the valuations. The FAV group is responsible for reporting to PFSI’s senior management 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. Valuation Techniques and Inputs 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 MBS as “Level 2” fair value assets. Fair value of these MBS is established based on quoted market prices for the Company’s MBS holdings or similar securities. Changes in the fair value of MBS are included in Net (loss) gain on investments Loans Fair value of loans is estimated based on whether the loans are saleable into active markets: • Loans that are saleable into active markets, comprised of most of the Company’s loans acquired for sale at fair value and all of the loans at fair value held in a VIE, are categorized as “Level 2” fair value assets: • For loans acquired for sale, the fair values are established using the loans’ contracted selling price or quoted market price or market price equivalent. • For the 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 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 Company believes are similar to the models and inputs used by other market participants. • Loans that are not saleable into active markets, comprised primarily of distressed loans, are categorized as “Level 3” fai r value assets and: • For loans held for sale categorized as “Level 3” fair value assets and, before September 30, 2019, distressed loans, fair values were estimated using a discounted cash flow approach. Inputs to the discounted cash flow model included 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. • Beginning September 30, 2019, the Company changed its discounted cash flow approach and the inputs to the model for distressed loans. Distressed loan fair values are now estimated based on the expected resolution to be realized from the individual asset’s disposition strategies. When a cash flow projection is used to estimate the fair value of the resolution, those cash flows are discounted at annual rates up to 20%. The Company changed its approach to valuation of distressed loans during the quarter ended September 30, 2019 because it substantially liquidated its investment in distressed loans during that quarter and concluded that the small number of remaining assets are most accurately valued on an individual expected resolution basis. 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 pricing spread (discount rate) and prepayment speed. 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 (loss) gain on investments in the consolidated statements of . Following are the key inputs used in determining the fair value of ESS: March 31, 2020 December 31, 2019 Fair value (in thousands) $ 157,109 $ 178,586 UPB of underlying loans (in thousands) $ 19,153,856 $ 19,904,571 Average servicing fee rate (in basis points) 34 34 Average ESS rate (in basis points) 19 19 Key inputs (1) Pricing spread (2) Range 5.4% – 5.8% 3.0% – 3.3% Weighted average 5.6% 3.1% Annual total prepayment speed (3) Range 8.7% – 14.9% 8.7% – 16.2% Weighted average 11.9% 11.0% Equivalent life (in years) Range 2.7 - 7.1 2.7 - 7.2 Weighted average 5.8 6.1 (1) Weighted-average inputs are based on UPB of the underlying loans. (2) Pricing spread represents a margin that is applied to a reference forward rate to develop periodic discount rates. The Company applies pricing spreads to the forward rates implied by the United States Dollar London Interbank Offered Rate (“LIBOR”)/ swap curve for purposes of discounting cash flows relating to ESS. (3) Prepayment speed is measured using Life Total Conditional Prepayment Rate (“CPR”). Equivalent life is included for informational purposes. Derivative and Credit Risk Transfer Strip Assets and Liabilities CRT Derivatives The Company categorizes CRT derivatives as “Level 3” fair value assets and liabilities. The fair value of CRT derivatives is based on indications of fair value provided to the Company by nonaffiliated brokers for the certificates representing the beneficial interest in the trust holding the Deposits securing credit risk transfer arrangements pledged to creditors Deposits securing credit risk transfer arrangements pledged to creditors The significant unobservable inputs used by the Company in its review and approval of the valuation of CRT derivatives are the discount rate, voluntary and involuntary prepayment speeds and the remaining loss expectat ions of the reference loans. Changes in fair value of CRT derivatives are included in Net (loss) gain on investments in the consolidated statements of operations. Following is a quantitative summary of key unobservable inputs used in the Company’s review and approval of broker-provided fair values for CRT Agreements: March 31, 2020 December 31, 2019 (dollars in thousands) Fair value CRT derivatives: Assets $ — $ 115,863 Liabilities $ 185,933 $ — UPB of loans in reference pools $ 23,123,085 $ 24,824,616 Key inputs (1) Discount rate Range 10.7% – 11.7% 4.7% – 5.3% Weighted average 10.9% 5.2% Voluntary prepayment speed (2) Range 18.1% – 20.5% 16.4% – 18.5% Weighted average 20.0% 17.9% Involuntary prepayment speed (3) Range 0.7% – 1.0% 0.2% – 0.3% Weighted average 0.9% 0.3% Remaining loss expectation (4) Range 0.4% – 0.6% 0.1% – 0.1% Weighted average 0.6% 0.1% (1) Weighted average inputs are based on fair value amounts of the CRT Agreements. (2) Voluntary prepayment speed is measured using Life Voluntary CPR. (3) Involuntary prepayment speed is measured using Life Involuntary CPR. (4) Remaining loss expectation is measured as expected future contractual losses divided by the UPB of the reference loans. 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, the probability that the loan will be purchased under the commitment (the “pull-through rate”) and the Company’s estimate of the fair value of the MSRs it expects to receive upon sale of the loan. 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 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 the IRLCs’ 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 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 loans acquired for sale Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: March 31, 2020 December 31, 2019 Fair value (in thousands) (1) $ 79,384 $ 11,154 Key inputs (2) Pull-through rate Range 36.7% – 100% 64.6% – 100% Weighted average 84.4% 93.3% MSR fair value expressed as Servicing fee multiple Range 1.4 – 5.4 2.1 – 5.8 Weighted average 4.1 4.7 Percentage of UPB Range 0.4% – 1.5% 0.7% – 2.2% Weighted average 1.2% 1.4% (1) For purposes of this table, IRLC asset and liability positions are shown net. (2) Weighted-average inputs are based on the committed amounts. Repurchase Agreement Derivatives The Company had a master repurchase agreement that included incentives for financing loans approved for satisfying certain consumer relief characteristics. These incentives were classified as embedded derivatives for reporting purposes and are reported separately from the repurchase agreements. The Company classifies repurchase agreement derivatives as “Level 3” fair value assets. The significant unobservable inputs into the valuation of repurchase agreement derivative assets are the discount rate and the expected approval rate of the loans financed under the master repurchase agreement. The resulting ratio included in the Company’s fair value estimate was 99.0% at March 31, 2020 and December 31, 2019. Changes in fair value of repurchase agreement derivatives are included in Interest expense Hedging Derivatives Fair values of derivative financial instruments actively traded on exchanges 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 or other markets 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 (loss) gain on investments Net loan servicing fees, Net gain on loans acquired for sale Credit Risk Transfer Strips The Company categorizes CRT strips as “Level 3” fair value assets or liabilities. The fair value of CRT strips is based on indications of fair value provided to the Company by nonaffiliated brokers for the certificates representing the beneficial interest in the trust holding the CRT strips and Deposits securing CRT arrangements Deposits securing CRT arrangements The significant unobservable inputs into the valuation of CRT strips are the discount rate, voluntary and involuntary prepayment speeds and the remaining loss expectations of the reference loans. Changes in fair value of CRT strips are included in Net gain (loss) on investments Following is a quantitative summary of key unobservable inputs used in the Company’s review and approval of the adjusted broker-provided fair values used to derive the value of the CRT strips: March 31, 2020 December 31, 2019 (dollars in thousands) Carrying value CRT strips: Assets $ — $ 54,930 Liabilities $ 174,945 $ — UPB of loans in the reference pools $ 15,085,333 $ 17,119,501 Key inputs (1) Discount rate 14.8 % 6.3 % Voluntary prepayment speed (2) 22.5 % 23.4 % Involuntary prepayment speed (3) 0.9 % 0.2 % Remaining loss expectation (4) 0.6 % 0.1 % (1) Weighted average inputs are based on the UPB of the loans in the reference pools. (2) Voluntary prepayment speed is measured using Life Voluntary CPR. (3) Involuntary prepayment speed is measured using Life Involuntary CPR. (4) Remaining loss expectation is measured as expected future losses divided by the UPB of the reference loans. Firm commitment to purchase CRT securities The Company categorizes its firm commitment to purchase CRT securities as a “Level 3” fair value asset or liability. The fair value of the firm commitment is estimated using a discounted cash flow approach to estimate the fair value of the CRT securities to be purchased less the contractual purchase price. Key inputs used in the estimation of fair value of the firm commitment are the discount rate and the voluntary and involuntary prepayment speeds of the loans in the reference pools. The firm commitment to purchase CRT securities is recognized initially as a component of Net gain on loans acquired for sale Net (loss) gain on investments Following is a quantitative summary of key unobservable inputs in the valuation of firm commitment to purchase CRT securities: March 31, 2020 December 31, 2019 (dollars in thousands) Fair value: Assets $ — $ 109,513 Liabilities $ 409,649 $ — UPB of loans in the reference pools $ 51,422,319 $ 38,738,396 Key inputs (1) Discount rate 11.6 % 6.5 % Voluntary prepayment speed (2) 17.0 % 14.3 % Involuntary prepayment speed (3) 0.5 % 0.1 % Remaining loss expectation (4) 0.5 % 0.1 % (1) Weighted average inputs are based on the UPB of the loans in the reference pools. (2) Voluntary prepayment speed is measured using Life Voluntary CPR. (3) Involuntary prepayment speed is measured using Life Involuntary CPR. (4) Remaining loss expectation is measured as expected future losses divided by the UPB of the reference loans. 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 either a broker’s price opinion, a full appraisal, or the price given in a pending 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

Mortgage-Backed Securities

Mortgage-Backed Securities	3 Months Ended
	Mar. 31, 2020
Mortgage Backed Securities [Abstract]
Mortgage-Backed Securities	Note 8— Following is a summary of activity in the Company’s investment in MBS: Quarter ended March 31, 2020 2019 (in thousands) Balance at beginning of quarter $ 2,839,633 $ 2,610,422 Purchases 1,615,486 — Sales (488,729 ) — Repayments (122,935 ) (53,682 ) Changes in fair value included in income arising from: Amortization of purchase premiums (12,002 ) (4,556 ) Valuation adjustments 115,967 36,922 103,965 32,366 Balance at end of quarter $ 3,947,420 $ 2,589,106 Following is a summary of the Company’s investment in MBS: March 31, 2020 December 31, 2019 Agency: (1) Principal balance Unamortized net purchase premiums Accumulated valuation changes Fair value Principal balance Unamortized net purchase premiums Accumulated valuation changes Fair value (in thousands) Fannie Mae $ 2,158,369 $ 32,226 $ 84,915 $ 2,275,510 $ 1,946,203 $ 29,657 $ 33,233 $ 2,009,093 Freddie Mac 1,589,984 28,762 53,164 1,671,910 809,595 11,083 9,862 830,540 $ 3,748,353 $ 60,988 $ 138,079 $ 3,947,420 $ 2,755,798 $ 40,740 $ 43,095 $ 2,839,633 (1) All MBS are fixed-rate pass-through securities with maturities of more than ten years and are pledged to secure Assets sold under agreements to repurchase

Loans Acquired for Sale at Fair

Loans Acquired for Sale at Fair Value	3 Months Ended
	Mar. 31, 2020
Mortgage Loans On Real Estate [Abstract]
Loans Acquired for Sale at Fair Value	Note 9—Loans Acquired for Sale at Fair Value Loans acquired for sale at fair value is comprised of recently originated loans purchased by the Company for resale. Following is a summary of the distribution of the Company’s loans acquired for sale at fair value: Loan type March 31, 2020 December 31, 2019 (in thousands) Agency-eligible $ 2,606,796 $ 3,626,038 Held for sale to PLS — Government insured or guaranteed 222,662 490,383 Jumbo 4,043 13,437 Commercial real estate 1,035 1,015 Home equity lines of credit 5,829 4,632 Repurchased pursuant to representations and warranties 15,677 12,920 $ 2,856,042 $ 4,148,425 Loans pledged to secure Assets sold under agreements to repurchase $ 2,813,903 $ 4,070,134 $ 2,813,903 $ 4,070,134 The Company is not approved by Ginnie Mae as an issuer of Ginnie Mae-guaranteed securities which are backed by government-insured or guaranteed loans. The Company transfers government-insured or guaranteed 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

Loans at Fair Value

Loans at Fair Value	3 Months Ended
	Mar. 31, 2020
Mortgage Loans At Fair Value [Abstract]
Loans at Fair Value	Note 10—Loans at Fair Value Loans at fair value are comprised of fixed interest rate jumbo loans held in a VIE securing an asset-backed financing and distressed loans that were not acquired for sale and may be sold at a later date pursuant to the Company’s determination that such a sale represents the most advantageous disposition strategy for the identified loan. Following is a summary of the distribution of the Company’s loans at fair value: March 31, 2020 December 31, 2019 Loan type Fair value Unpaid principal balance Fair value Unpaid principal balance (in thousands) Fixed interest rate jumbo loans held in a VIE $ 242,301 $ 240,744 $ 256,367 $ 251,425 Distressed loans 9,122 23,504 14,426 35,054 $ 251,423 $ 264,248 $ 270,793 $ 286,479 Loans at fair value pledged to secure: Asset-backed financing of a VIE at fair value $ 242,301 $ 256,367 Assets sold under agreements to repurchase 4,045 12,390 $ 246,346 $ 268,757

Derivative and Credit Risk Tran

Derivative and Credit Risk Transfer Strip Assets and Liabilities	3 Months Ended
	Mar. 31, 2020
Derivative Instruments And Hedging Activities Disclosure [Abstract]
Derivative and Credit Risk Transfer Strip Assets and Liabilities	Note 11—Derivative and Credit Risk Transfer Strip Assets and Liabilities Derivative and credit risk transfer assets and liabilities are summarized below: March 31, 2020 December 31, 2019 (in thousands) Derivative Assets $ 173,310 $ 147,388 Credit risk transfer strip assets — 54,930 $ 173,310 $ 202,318 Derivative Liabilities $ 287,694 $ 6,423 Credit risk transfer strip liabilities 174,945 — $ 462,639 $ 6,423 Credit Risk Transfer Strips Following is a summary of the Company’s investment in CRT strips Credit risk transfer strips contractually restricted from sale (1) March 31, 2020 December 31, 2019 (in thousands) Assets Through June 13, 2020 $ — $ 17,629 To maturity — 37,301 $ — $ 54,930 Liabilities Through June 13, 2020 $ 68,477 $ — To maturity 106,468 — $ 174,945 $ — (1) The terms of the agreement underlying the CRT securities restricts sales of the securities, other than sales under agreements to repurchase, without the approval of Fannie Mae, for specified periods from the date of issuance. Derivative Activities The Company holds and issues derivative financial instruments in connection with its operating, investing and financing 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 operation s include: • IRLCs that are created when the Company commits to purchase loans for sale; • CRT Agreements whereby the Company retains a Recourse Obligation relating to certain loans it sells into Fannie Mae guaranteed securitizations as part of the retention of an IO ownership interest in such loans; and • Derivatives that were embedded in a master repurchase agreement that provided for the Company to receive interest expense offsets if it financed 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 bears price risk related to its mortgage production, servicing and MBS financing activities due to changes in market interest rates as discussed below: • The Company is exposed to loss if market mortgage interest rates increase, because market interest rate increases generally cause the fair value of MBS, IRLCs and loans acquired for sale to decrease. • The Company is exposed to losses if market mortgage interest rates decrease, because market interest rate decreases generally cause the fair value of MSRs to decrease. To manage the price risk resulting from these interest rate risks, 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 inventory of loans acquired for sale, loans held in a VIE, IRLCs, MSRs and MBS financing. The Company records all derivative and CRT strip assets and liabilities at fair value and records changes in fair value in current period results of operations. The Company does not designate and qualify any of its derivative financial instruments for hedge accounting. Derivative Notional Amounts and Fair Value of Derivatives The Company had the following derivative assets and liabilities recorded within Derivative assets Derivative liabilities Other March 31, 2020 December 31, 2019 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Instrument amount assets liabilities amount assets liabilities (in thousands) Not subject to master netting arrangements: CRT derivatives 23,123,085 $ — 185,933 24,824,616 $ 115,863 $ — Interest rate lock commitments 4,977,773 79,514 130 3,199,680 11,726 572 Repurchase agreement derivatives 5,275 — 5,275 — Subject to master netting agreements ─ economic hedging purposes: Forward purchase contracts 11,876,671 247,814 2,091 5,883,198 7,525 3,600 Forward sale contracts 10,244,926 7,193 146,256 9,297,179 637 15,644 MBS put options 8,550,000 2,924 — 4,000,000 1,625 — Swap futures 2,500,000 38,678 — 2,075,000 4,347 — Call options on interest rate futures 2,800,000 29,121 — 2,662,500 3,809 — Put options on interest rate futures 7,425,000 14,691 — 950,000 2,859 — Swaptions 3,700,000 — — 2,700,000 — — Bond futures 235,500 — — 114,500 — — Total derivative instruments before netting 425,210 334,410 153,666 19,816 Netting (251,900 ) (46,716 ) (6,278 ) (13,393 ) $ 173,310 $ 287,694 $ 147,388 $ 6,423 Margin deposits (received from) placed with derivatives counterparties, net $ (205,185 ) $ 7,114 Derivative assets pledged to secure: Notes payable $ 115,110 Assets sold under agreements to repurchase 27,073 $ 142,183 The following tables summarize the notional amount activity for derivative contracts used for economic hedging purposes: Notional amounts, quarter ended March 31, 2020 Beginning Dispositions/ End Instrument of quarter Additions expirations of quarter (in thousands) Forward purchase contracts 5,883,198 89,638,934 (83,645,461 ) 11,876,671 Forward sales contracts 9,297,179 108,403,664 (107,455,917 ) 10,244,926 MBS put options 4,000,000 14,250,000 (9,700,000 ) 8,550,000 Swaptions 2,700,000 9,400,000 (8,400,000 ) 3,700,000 Call options on interest rate futures 2,662,500 19,292,500 (19,155,000 ) 2,800,000 Put options on interest rate futures 950,000 15,025,000 (8,550,000 ) 7,425,000 Swap futures 2,075,000 4,925,000 (4,500,000 ) 2,500,000 Bond futures 114,500 4,932,800 (4,811,800 ) 235,500 Notional amounts, quarter ended March 31, 2019 Beginning Dispositions/ End Instrument of quarter Additions expirations of quarter (in thousands) Forward purchase contracts 3,072,223 33,419,932 (31,366,086 ) 5,126,069 Forward sales contracts 4,595,241 42,338,646 (41,992,403 ) 4,941,484 MBS put options 2,550,000 9,600,000 (8,000,000 ) 4,150,000 MBS call options 500,000 5,400,000 (2,800,000 ) 3,100,000 Call options on interest rate futures 512,500 3,537,500 (2,575,000 ) 1,475,000 Put options on interest rate futures 1,102,500 5,352,500 (5,505,000 ) 950,000 Swap futures — 150,000 — 150,000 Bond futures 815,000 2,702,400 (3,352,400 ) 165,000 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 CRT derivatives, IRLCs and repurchase agreement derivatives. As of March 31, 2020 and December 31, 2019, the Company was not a party to any 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, 2020 December 31, 2019 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: CRT derivatives $ — $ — $ — $ 115,863 $ — $ 115,863 Interest rate lock commitments 79,514 — 79,514 11,726 — 11,726 Repurchase agreement derivatives 5,275 — 5,275 5,275 — 5,275 84,789 — 84,789 132,864 — 132,864 Subject to master netting arrangements: Forward purchase contracts 247,814 — 247,814 7,525 — 7,525 Forward sale contracts 7,193 — 7,193 637 — 637 MBS put options 2,924 — 2,924 1,625 — 1,625 Swap futures 38,678 — 38,678 4,347 — 4,347 Call options on interest rate futures 29,121 — 29,121 3,809 — 3,809 Put options on interest rate futures 14,691 — 14,691 2,859 — 2,859 Netting — (251,900 ) (251,900 ) — (6,278 ) (6,278 ) 340,421 (251,900 ) 88,521 20,802 (6,278 ) 14,524 $ 425,210 $ (251,900 ) $ 173,310 $ 153,666 $ (6,278 ) $ 147,388 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, 2020 December 31, 2019 Net amount Gross amounts Net amount Gross amounts of assets not offset in the of assets not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments received amount sheet instruments received amount (in thousands) CRT derivatives $ — $ — $ — $ — $ 115,863 $ — $ — $ 115,863 Interest rate lock commitments 79,514 — — 79,514 11,726 — — 11,726 RJ O’Brien & Associates, LLC 43,813 — — 43,813 6,668 — — 6,668 J.P. Morgan Securities LLC 19,903 — — 19,903 1,551 — — 1,551 Goldman Sachs & Co. LLC 9,783 — — 9,783 352 — — 352 Deutsche Bank Securities LLC 5,633 — — 5,633 5,398 — — 5,398 Bank of America, N.A. 5,574 — — 5,574 2,489 — — 2,489 Bank of Oklahoma 2,255 — — 2,255 — — — — BNP Paribas 2,009 — — 2,009 — — — — Jefferies & Company, Inc. 1,445 — — 1,445 — — — — Other 3,381 — — 3,381 3,341 — — 3,341 $ 173,310 $ — $ — $ 173,310 $ 147,388 $ — $ — $ 147,388 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, 2020 December 31, 2019 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 CRT derivatives $ 185,933 $ — $ 185,933 $ — $ — $ — Interest rate lock commitments 130 130 572 572 Subject to master netting arrangements: Forward purchase contracts 2,091 — 2,091 3,600 — 3,600 Forward sales contracts 146,256 — 146,256 15,644 — 15,644 Netting — (46,716 ) (46,716 ) — (13,393 ) (13,393 ) 148,347 (46,716 ) 101,631 19,244 (13,393 ) 5,851 334,410 (46,716 ) 287,694 19,816 (13,393 ) 6,423 Assets sold under agreements to repurchase: UPB 6,348,385 — 6,348,385 6,649,179 — 6,649,179 Unamortized debt issuance costs (193 ) — (193 ) (289 ) — (289 ) 6,348,192 — 6,348,192 6,648,890 — 6,648,890 $ 6,682,602 $ (46,716 ) $ 6,635,886 $ 6,668,706 $ (13,393 ) $ 6,655,313 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 qualify 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, 2020 December 31, 2019 Net amount Gross amounts Net amount Gross amounts of liabilities not offset in the of liabilities not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments pledged amount sheet instruments pledged amount (in thousands) CRT derivatives $ 185,933 $ — $ — $ 185,933 $ — $ — $ — $ — Interest rate lock commitments 130 — — 130 572 — — 572 J.P. Morgan Securities LLC 1,159,021 (1,159,021 ) — — 1,736,829 (1,736,829 ) — — Daiwa Capital Markets 1,031,902 (1,028,634 ) — 3,268 906,439 (906,439 ) — — Bank of America, N.A. 915,856 (915,856 ) — — 1,339,291 (1,339,291 ) — — Citigroup Global Markets Inc. 717,350 (715,161 ) — 2,189 412,999 (411,933 ) — 1,066 Barclays Capital Inc. 606,915 (606,915 ) — — — — — — Mizuho Securities 581,866 (578,543 ) — 3,323 392,038 (391,627 ) — 411 Morgan Stanley & Co. LLC 545,001 (491,810 ) — 53,191 656,728 (656,728 ) — — Credit Suisse Securities (USA) LLC 380,285 (356,454 ) — 23,831 720,411 (719,902 ) — 509 RBC Capital Markets, L.P. 241,676 (241,676 ) — — 290,388 (290,388 ) — — Amherst Pierpont Securities LLC 177,641 (173,541 ) — 4,100 80,309 (80,309 ) — — BNP Paribas 80,774 (80,774 ) — — 116,155 (115,733 ) — 422 Federal National Mortgage Association 5,140 — — 5,140 1,996 — — 1,996 Wells Fargo Securities, LLC 4,490 — — 4,490 — — — — Other 2,099 — — 2,099 1,447 — — 1,447 $ 6,636,079 $ (6,348,385 ) $ — $ 287,694 $ 6,655,602 $ (6,649,179 ) $ — $ 6,423 Following are the net gains (losses) recognized by the Company on derivative financial instruments and the consolidated statements of operations line items where such gains and losses are included: Quarter ended March 31, Derivative activity Statement of operations line 2020 2019 (in thousands) Interest rate lock commitments Net gain on loans acquired for sale $ 68,231 $ 28,502 CRT derivatives Net (loss) gain on investments $ (283,742 ) $ 27,503 Repurchase agreement derivatives Interest expense $ — $ (231 ) Hedged item: Interest rate lock commitments and loans acquired for sale Net gain on loans acquired for sale $ (140,368 ) $ (34,345 ) Mortgage servicing rights Net loan servicing fees $ 767,186 $ 41,135 Fixed-rate and prepayment sensitive assets and LIBOR-indexed repurchase agreements Net (loss) gain on investments $ 64,931 $ 7,380

Real Estate Acquired in Settlem

Real Estate Acquired in Settlement of Loans	3 Months Ended
	Mar. 31, 2020
Other Real Estate [Abstract]
Real Estate Acquired in Settlement of Loans	Note 12—Real Estate Acquired in Settlement of Loans Following is a summary of financial information relating to REO: Quarter ended March 31, 2020 2019 (in thousands) Balance at beginning of quarter $ 65,583 $ 85,681 Transfers: From loans at fair value and advances 1,166 4,550 From real estate held for investment — 324 Results of REO: Valuation adjustments, net (1,503 ) (3,561 ) Gain on sale, net 1,535 2,081 32 (1,480 ) Sales (15,943 ) (16,900 ) Balance at end of quarter $ 50,838 $ 72,175 March 31, 2020 December 31, 2019 (in thousands) REO pledged to secure assets sold under agreements to repurchase $ 30,385 $ 40,938

Mortgage Servicing Rights

Mortgage Servicing Rights	3 Months Ended
	Mar. 31, 2020
Text Block [Abstract]
Mortgage Servicing Rights	Note 13—Mortgage Servicing Rights Following is a summary of MSRs: Quarter ended March 31, 2020 2019 (in thousands) Balance at beginning of quarter $ 1,535,705 $ 1,162,369 MSRs resulting from loan sales 248,822 131,868 Changes in fair value: Due to changes in valuation inputs used in valuation model (1) (563,247 ) (96,508 ) Other changes in fair value (2) (63,954 ) (40,821 ) (627,201 ) (137,329 ) Balance at end of quarter $ 1,157,326 $ 1,156,908 March 31, 2020 December 31, 2019 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and secured by mortgage servicing assets $ 1,141,337 $ 1,510,651 (1) Primarily reflects changes in pricing spread (discount rate), prepayment speed, and servicing cost inputs. (2) Represents changes due to realization of expected cash flows. Servicing fees relating to MSRs are recorded in Net loan servicing fees – from nonaffiliates Quarter ended March 31, 2020 2019 (in thousands) Contractually-specified servicing fees $ 94,469 $ 61,272 Ancillary and other fees: Late charges 500 330 Other 6,691 2,878 $ 101,660 $ 64,480

Assets Sold Under Agreements to

Assets Sold Under Agreements to Repurchase	3 Months Ended
	Mar. 31, 2020
Brokers And Dealers [Abstract]
Assets Sold Under Agreements to Repurchase	Note 14—Assets Sold Under Agreements to Repurchase Following is a summary of financial information relating to assets sold under agreements to repurchase: Quarter ended March 31, 2020 2019 (dollars in thousands) Weighted average interest rate (1) 2.31 % 3.49 % Average balance $ 6,302,900 $ 4,844,689 Total interest expense (2) $ 37,750 $ 36,851 Maximum daily amount outstanding $ 8,664,587 $ 5,210,162 (1) Excludes the effect of amortization of net debt issuance costs of $1.4 million for the quarter ended March 31, 2020 and net debt issuance premiums of $5.7 million for the quarter ended March 31, 2019. (2) The Company’s interest expense relating to assets sold under agreements to repurchase for the quarter ended March 31, 2019 includes recognition of incentives it received for financing certain of its loans acquired for sale satisfying certain consumer debt relief characteristics under a master repurchase agreement. During the quarter ended March 31, 2019, the Company recognized $7.5 million in such incentives as a reduction of Interest expense. March 31, 2020 December 31, 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 6,348,385 $ 6,649,179 Unamortized debt issuance costs, net (193 ) (289 ) $ 6,348,192 $ 6,648,890 Weighted average interest rate 1.87 % 2.85 % Available borrowing capacity (1): Committed $ 339,180 $ — Uncommitted 2,780,671 2,278,264 $ 3,119,851 $ 2,278,264 Margin deposits placed with counterparties included in Other $ 6,271 $ 91,871 Assets securing agreements to repurchase: Mortgage-backed securities $ 3,947,420 $ 2,839,633 Loans acquired for sale at fair value $ 2,813,903 $ 4,070,134 Loans at fair value $ 4,045 $ 12,390 CRT strips $ — $ 27,073 Real estate acquired in settlement of loans $ 30,385 $ 40,938 MSRs (2) $ 1,141,337 $ 1,354,907 Deposits securing CRT arrangements $ — $ 445,194 (1) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets financed. (2) Beneficial interests in Freddie Mac and Fannie Mae MSRs are pledged as collateral under both Assets sold under agreements to repurchase Notes payable secured by credit risk transfer and mortgage servicing assets Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date: Remaining maturity at March 31, 2020 Unpaid principal balance (in thousands) Within 30 days $ 3,768,236 Over 30 to 90 days 2,288,473 Over 90 days to 180 days 241,676 Over 180 days to one year 50,000 Over one year to two years — $ 6,348,385 Weighted average maturity (in months) 1.3 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, 2020: Loans, REO and MSRs Counterparty Amount Weighted average maturity Facility maturity (in thousands) Citibank, N.A. $ 101,917 June 18, 2020 August 4, 2020 Credit Suisse First Boston Mortgage Capital LLC $ 99,635 April 24, 2020 April 24, 2020 JPMorgan Chase & Co. $ 27,149 May 20, 2020 October 9, 2020 Bank of America, N.A. $ 34,885 May 4, 2020 March 11, 2021 Morgan Stanley $ 34,928 June 19, 2020 August 21, 2020 Royal Bank of Canada $ 17,665 May 29, 2020 May 29, 2020 BNP Paribas $ 5,950 June 16, 2020 July 31, 2020 Securities Counterparty Amount at risk Weighted average maturity (in thousands) JPMorgan Chase & Co. $ 40,809 April 17, 2020 Bank of America, N.A. $ 26,610 April 14, 2020 Daiwa Capital Markets America Inc. $ 49,020 April 14, 2020 Barclays Capital Inc. $ 31,579 April 15, 2020 Mizuho Securities $ 28,671 April 10, 2020 Amherst Pierpont Securities LLC $ 8,469 April 13, 2020

Mortgage Loan Participation Pur

Mortgage Loan Participation Purchase and Sale Agreements	3 Months Ended
	Mar. 31, 2020
Text Block [Abstract]
Mortgage Loan Participation Purchase and Sale Agreements	Note 15—Mortgage Loan Participation Purchase and Sale Agreements Certain borrowing facilities 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 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, 2020 2019 (dollars in thousands) Weighted average interest rate (1) 2.73 % 3.70 % Average balance $ 41,301 $ 56,210 Total interest expense $ 338 $ 574 Maximum daily amount outstanding $ 94,387 $ 207,065 (1) Excludes the effect of amortization of debt issuance costs of $57,000 and $55,000 for the quarters ended March 31, 2020 and 2019, respectively.

Notes Payable Secured By Credit

Notes Payable Secured By Credit Risk Transfer and Mortgage Servicing Assets	3 Months Ended
	Mar. 31, 2020
Debt Disclosure [Abstract]
Notes Payable Secured By Credit Risk Transfer and Mortgage Servicing Assets	Note 16—Notes Payable Secured By Credit Risk Transfer and Mortgage Servicing Assets On February 14, 2020, the Company, through an indirect subsidiary, PMT CREDIT RISK TRANSFER TRUST 2020-1R, issued an aggregate principal amount of $350.0 million in secured term notes (the “2020-1R Notes”) to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). The 2020-1R Notes bear interest at a rate equal to one-month LIBOR plus 2.35% per annum. The 2020-1R Notes mature on February 27, 2023 or, if extended pursuant to the terms of the related indenture, February 28, 2025 (unless earlier redeemed in accordance with their terms). On October 16, 2019, the Company, through an indirect subsidiary, PMT CREDIT RISK TRANSFER TRUST 2019-3R, issued an aggregate principal amount of $375.0 million in secured term notes (the “2019-3R Notes”) to qualified institutional buyers under Rule 144A of the Securities Act. The 2019-3R Notes bear interest at a rate equal to one-month LIBOR plus 2.70% per annum. The 2019-3R Notes mature on October 27, 2022 or, if extended pursuant to the terms of the related indenture, October 29, 2024 (unless earlier redeemed in accordance with their terms). On June 11, 2019, the Company, through its indirect subsidiary, PMT CREDIT RISK TRANSFER TRUST 2019-2R, issued an aggregate principal amount of $638.0 million in secured term notes (the “2019-2R Notes”) to qualified institutional buyers under Rule 144A of the Securities Act. The 2019-2R Notes bear interest at a rate equal to one-month LIBOR plus 2.75% per annum. The 2019-2R Notes mature on May 29, 2023 or, if extended pursuant to the terms of the related indenture, June 28, 2025 (unless earlier redeemed in accordance with their terms). On March 29, 2019, the Company, through its indirect subsidiary, PMT CREDIT RISK TRANSFER TRUST 2019-1R, issued an aggregate principal amount of $295.7 million in secured term notes (the “2019-1R Notes”) to qualified institutional buyers under Rule 144A of the Securities Act. The 2019-1R Notes bear interest at a rate equal to one-month LIBOR plus 2.00% per annum. The 2019-1R Notes mature on March 27, 2022 or, if extended pursuant to the terms of the related indenture, March 29, 2024 (unless earlier redeemed in accordance with their terms). On April 25, 2018, the Company, through its indirect subsidiary, PMT ISSUER TRUST-FMSR, 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. The 2018-FT1 Notes bear interest at a rate equal to one-month LIBOR plus 2.35% per annum. The 2018-FT1 Notes 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 rank pari passu with the Series 2017-VF1 Note dated December 20, 2017 (the “FMSR VFN”) pledged 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 ESS relating to such MSRs. 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, 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 loans pooled into Freddie Mac securities (collectively, the “Freddie MSRs”), in an aggregate loan amount not to exceed $175 million. The note matured on April 24, 2020. Following is a summary of financial information relating to the notes payable: Quarter ended March 31, 2020 2019 (dollars in thousands) Weighted average interest rate (1) 4.10 % 4.89 % Average balance $ 1,860,213 $ 465,377 Total interest expense $ 19,618 $ 5,823 Maximum daily amount outstanding $ 2,032,665 $ 745,730 (1) Excludes the effect of amortization of debt issuance costs of $609,000 and $256,000 for the quarters ended March 31, 2020 and 2019, respectively. March 31, 2020 December 31, 2019 (dollars in thousands) Carrying value: Amount outstanding $ 1,973,252 $ 1,702,262 Unamortized debt issuance costs (5,726 ) (5,967 ) $ 1,967,526 $ 1,696,295 Weighted average interest rate 3.37 % 4.30 % Assets securing notes payable: MSRs (1) $ 1,141,337 $ 1,510,651 CRT Agreements: Deposits securing CRT arrangements $ 1,855,936 $ 1,524,590 Derivative assets $ — $ 115,110 (1) Beneficial interests in Freddie Mac and Fannie Mae MSRs are pledged as collateral for both Assets sold under agreements to repurchase Notes payable

Exchangeable Senior Notes

Exchangeable Senior Notes	3 Months Ended
	Mar. 31, 2020
Text Block [Abstract]
Exchangeable Notes	Note 17—Exchangeable Senior Notes On November 4, 2019, PMC issued $210 million in principal amount of 5.50% exchangeable senior notes due 2024 (the “2024 Notes”) in a private offering. The 2024 Notes will mature on November 1, 2024 unless repurchased or exchanged in accordance with their terms before such date. The 2024 Notes are fully and unconditionally guaranteed by the Company and are exchangeable for PMT common shares, cash, or a combination thereof, at PMC’s election, at any time until the close of business on the second scheduled trading day immediately preceding the maturity date, subject to the satisfaction of certain conditions if the exchange occurs before August 1, 2024. The exchange rate initially equals 40.1010 common shares per $1,000 principal amount of the 2024 Notes and is subject to adjustment upon the occurrence of certain events, but will not be adjusted for any accrued and unpaid interest. On April 30, 2013, PMC issued in a private offering $250 million in principal amount of 5.375% exchangeable notes due May 1, 2020 (the “2020 Notes”, together with the 2024 Exchangeable Notes, the “Exchangeable Notes”). The 2020 Notes bear interest at a rate of 5.375% per year, payable semiannually. The 2020 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 2020 Notes as of March 31, 2020, 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 for certain quarters exceeding the quarterly dividend threshold amount of $0.57 per share, as provided in the related indenture. After March 31, 2020 the Company repurchased and repaid the 2020 Notes. Following is financial information relating to the Exchangeable Notes: Quarter ended March 31, 2020 2019 (in thousands) Average balance $ 460,000 $ 250,000 Total interest expense $ 7,266 $ 3,661 March 31, 2020 December 31, 2019 (in thousands) Carrying value: UPB $ 460,000 $ 460,000 Unamortized debt issuance costs and conversion option (15,475 ) (16,494 ) $ 444,525 $ 443,506

Asset-Backed Financing of a Var

Asset-Backed Financing of a Variable Interest Entity at Fair Value	3 Months Ended
	Mar. 31, 2020
Text Block [Abstract]
Asset-Backed Financing of a Variable Interest Entity at Fair Value	Note 18—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 at fair value described in Note 6— Variable Interest Entities. Quarter ended March 31, 2020 2019 (dollars in thousands) Average balance $ 240,765 $ 275,787 Total interest expense $ 4,527 $ 3,268 Weighted average interest rate 3.39 % 3.55 % March 31, 2020 December 31, 2019 (dollars in thousands) Fair value $ 232,565 $ 243,360 UPB $ 227,811 $ 239,169 Weighted average interest rate 3.51 % 3.51 % The asset-backed financing of a VIE is a non-recourse liability and is 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.

Liability for Losses Under Repr

Liability for Losses Under Representations and Warranties	3 Months Ended
	Mar. 31, 2020
Liability For Representations And Warranties [Abstract]
Liability for Losses Under Representations and Warranties	Note 19—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended March 31, 2020 2019 (in thousands) Balance, beginning of quarter $ 7,614 $ 7,514 Provision for losses: Pursuant to loan sales 1,030 720 Reduction in liability due to change in estimate (1,344 ) (528 ) Losses incurred, net — (18 ) Balance, end of quarter $ 7,300 $ 7,688 UPB of loans subject to representations and warranties at end of quarter $ 131,049,135 $ 96,514,379

Commitments and Contingencies

Commitments and Contingencies	3 Months Ended
	Mar. 31, 2020
Commitments And Contingencies Disclosure [Abstract]
Commitments and Contingencies	Note 20—Commitments and Contingencies Litigation From time to time, the Company may be involved in various proceedings, claims and legal actions arising in the ordinary course of business. The amount, if any, of ultimate liability with respect to such matters cannot be determined, but despite the inherent uncertainties of litigation, management believes that the ultimate disposition of any such proceedings and exposure will not have, individually or taken together, a material adverse effect on the financial condition, results of operations, or cash flows of the Company. Commitments The following table summarizes the Company’s outstanding contractual commitments: March 31, 2020 (in thousands) Commitments to purchase loans acquired for sale $ 4,977,773 Face amount of firm commitment to purchase credit risk transfer securities $ 2,056,893

Shareholders' Equity

Shareholders' Equity	3 Months Ended
	Mar. 31, 2020
Equity [Abstract]
Shareholders' Equity	Note 21—Shareholders’ Equity Preferred Shares of Beneficial Interest Preferred shares of beneficial interest are summarized below: Dividends per share, quarter ended March 31, Series Description (1) Number of shares Liquidation preference Issuance discount Carrying value 2020 2019 Fixed-to-floating rate cumulative redeemable preferred (in thousands, except dividends per share) A 8.125% Issued March 2017 4,600 $ 115,000 $ 3,828 $ 111,172 $ 0.51 $ 0.51 B 8.00% Issued July 2017 7,800 195,000 6,465 188,535 $ 0.50 $ 0.50 12,400 $ 310,000 $ 10,293 $ 299,707 (1) Par value is $0.01 per share. 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. 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 Series A and Series B Preferred Shares will not be redeemable before March 15, 2024 and June 15, 2024, respectively, 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. On or after the date the Preferred Shares become redeemable, 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 Preferred Shares at $25.00 per share plus any accumulated and unpaid dividends thereon to, but not including, the redemption date. 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 Shares of Beneficial Interest “At-The-Market” (ATM) Equity Offering Program During March 2019, t he Company entered into separate equity distribution agreements to sell from time to time, through an ATM equity offering program under which the counterparties will act as sales agent and/or principal, the Company’s common shares having an aggregate offering price of up to $200 million Quarter ended Number of common shares Average price per share Gross proceeds Net proceeds (Amounts in thousands, except average price per share) March 31, 2020 241 $ 23.46 $ 5,654 $ 5,597 A t March 31, 2020 , the Company had approximately $74.4 million of common shares available for issuance under its ATM equity offering program. 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, Cumulative 2020 2019 total (1) (in thousands) Common shares repurchased 783 — 15,514 Cost of common shares repurchased $ 5,783 $ — $ 222,408 (2) Amounts represent the share repurchase program total from its inception in August 2015 through March 31, 2020. Conditional Reimbursement of IPO Underwriting Costs As more fully described in Note 4— Transactions with Related Parties 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. 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 Reimbursement Agreement was amended and now expires on February 1, 2023 . .

Net (Loss) Gain on Investments

Net (Loss) Gain on Investments	3 Months Ended
	Mar. 31, 2020
Investments Debt And Equity Securities [Abstract]
Net (Loss) Gain on Investments	Note 22— Net (loss) gain on investments is summarized below: Quarter ended March 31, 2020 2019 (in thousands) From nonaffiliates: Mortgage-backed securities $ 115,967 $ 36,922 Loans at fair value: Held in a VIE (2,869 ) 3,585 Distressed (1,142 ) 485 CRT arrangements (487,292 ) 30,950 Firm commitment to purchase CRT securities (492,513 ) 22,190 Asset-backed financing of a VIE at fair value 1,928 (2,857 ) Hedging derivatives 64,931 7,380 (800,990 ) 98,655 From PFSI—ESS (14,141 ) (3,562 ) $ (815,131 ) $ 95,093

Net Loan Servicing Fees

Net Loan Servicing Fees	3 Months Ended
	Mar. 31, 2020
Mortgage Loan Servicing Fees [Abstract]
Net Loan Servicing Fees	Note 23— Net Loan Servicing Fees Net loan servicing fees are summarized below: Quarter ended March 31, 2020 2019 (in thousands) From nonaffiliates: Contractually specified (1) $ 94,469 $ 61,272 Other 7,191 3,208 Effect of MSRs fair value changes: Realization of cashflows and amortization (63,955 ) (40,821 ) Market changes (563,246 ) (96,508 ) (627,201 ) (137,329 ) Gains on hedging derivatives 767,186 41,135 139,985 (96,194 ) Net servicing fees from non-affiliates 241,645 (31,714 ) From PFSI—MSR recapture income 2,927 634 Net loan servicing fees $ 244,572 $ (31,080 ) Average servicing portfolio UPB $ 136,687,324 $ 95,844,879 (1) Consists of contractually specified servicing fees, net of Agency guarantee fees.

Net Gain on Loans Acquired for

Net Gain on Loans Acquired for Sale	3 Months Ended
	Mar. 31, 2020
Text Block [Abstract]
Net Gain on Loans Acquired for Sale	Note 24—Net Gain on Loans Acquired for Sale Net gain on loans acquired for sale is summarized below: Quarter ended March 31, 2020 2019 (in thousands) From nonaffiliates: Cash loss: Loans $ (68,954 ) $ (101,721 ) Hedging activities (23,378 ) (14,315 ) (92,332 ) (116,036 ) Non-cash gain: Recognition of fair value of firm commitment to purchase CRT securities (26,649 ) 19,600 Receipt of MSRs in mortgage loan sale transactions 248,822 131,868 Provision for losses relating to representations and warranties provided in mortgage loan sales: Pursuant to loans sales (1,030 ) (720 ) Reduction in liability due to change in estimate 1,344 528 314 (192 ) Change in fair value of loans and derivatives held at end of quarter: IRLCs 68,231 (1,531 ) Loans (36,782 ) 5,650 Hedging derivatives (116,990 ) (20,030 ) (85,541 ) (15,911 ) 136,946 135,365 Total from nonaffiliates 44,614 19,329 From PFSI—cash gain 4,161 1,994 $ 48,775 $ 21,323

Net Interest Income

Net Interest Income	3 Months Ended
	Mar. 31, 2020
Banking And Thrift Interest [Abstract]
Net Interest Income	Note 25—Net Interest Income Net interest income is summarized below: Quarter ended March 31, 2020 2019 (in thousands) Interest income: From nonaffiliates: Cash and short-term investments $ 1,627 $ 670 Mortgage-backed securities 15,568 19,452 Loans acquired for sale at fair value 31,523 20,438 Loans at fair value: Held in a VIE 2,641 2,924 Distressed 59 1,248 Deposits securing CRT arrangements 6,099 6,775 Placement fees relating to custodial funds 12,398 8,266 Other 234 242 70,149 60,015 From PFSI—ESS 1,974 3,066 72,123 63,081 Interest expense: To nonaffiliates: Assets sold under agreements to repurchase (1) 37,750 36,851 Mortgage loan participation purchase and sale agreements 338 574 Notes payable secured by credit risk transfer and mortgage servicing assets 19,618 5,823 Exchangeable Notes 7,266 3,661 Asset-backed financings of a VIE at fair value 4,527 3,268 Interest shortfall on repayments of loans serviced for Agency securitizations 9,439 2,271 Interest on loan impound deposits 912 495 79,850 52,943 To PFSI—Assets sold under agreement to repurchase 1,218 1,796 81,068 54,739 Net interest income $ (8,945 ) $ 8,342 (1) In 2017, the Company entered into a master repurchase agreement that provided the Company with incentives to finance loans approved for satisfying certain consumer relief characteristics as provided in the agreement. During the quarter ended March 31, 2019, the Company recognized $7.5 million in such incentives as reductions of Interest expense

Share-Based Compensation Plans

Share-Based Compensation Plans	3 Months Ended
	Mar. 31, 2020
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract]
Share-Based Compensation Plans	Note 26—Share-Based Compensation Plans The Company has adopted an equity incentive plan that provides for the issuance of equity based awards based on PMT’s common shares that may be made by the Company to its officers and trustees, and the members, officers, trustees, directors and employees of PCM, PFSI, or their affiliates and to PCM, PFSI and other entities that provide services to PMT and the employees of such other entities. The equity incentive plan is administered by the Company’s compensation committee, pursuant to authority delegated by the board of trustees, which has the authority to make awards to the eligible participants referenced above, and to determine what form the awards will take, and the terms and conditions of the awards. The Company’s equity incentive plan allows for grants of share-based awards up to an aggregate of 8% of PMT’s issued and outstanding shares on a diluted basis at the time of the award. The shares underlying award grants will again be available for award under the equity incentive plan if: • any shares subject to an award granted under the equity incentive plan are forfeited, canceled, exchanged or surrendered; • an award terminates or expires without a distribution of shares to the participant; or • shares are surrendered or withheld by PMT as payment of either the exercise price of an award and/or withholding taxes for an award. Restricted share units have been awarded to trustees and officers of the Company and to other employees of PFSI and its subsidiaries at no cost to the grantees. Such awards generally vest over a one- to three-year The following table summarizes the Company’s share-based compensation activity: Quarter ended March 31, 2020 2019 (in thousands) Grants: Restricted share units 92 96 Performance share units 112 79 Total share units granted 204 175 Grant date fair value: Restricted share units $ 1,978 $ 1,978 Performance share units 2,428 1,631 Total grant date value of share units $ 4,406 $ 3,609 Vestings: Restricted share units 123 226 Performance share units (1) 143 141 Total share units vested 266 367 Compensation expense relating to share-based grants $ 186 $ 1,617 (1) The actual number of performance-based RSUs vested during the quarter ended March 31, 2020 was 196,000 common shares, which is approximately 137% of the 143,000 originally granted performance-based RSUs, due to the Company exceeding the established performance targets. March 31, 2020 Restricted share units Performance share units Shares expected to vest: Number of units (in thousands) 198 204 Grant date average fair value per unit $ 20.48 $ 19.71 Average remaining vesting period (months) 9 9

Other Expenses

Other Expenses	3 Months Ended
	Mar. 31, 2020
Other Income And Expenses [Abstract]
Other Expenses	Note 27—Other Expenses Other expenses are summarized below: Quarter ended March 31, 2020 2019 (in thousands) Common overhead allocation from PFSI $ 1,540 $ 1,236 Bank service charges 541 568 Technology 429 373 Insurance 339 280 Other 871 1,009 $ 3,720 $ 3,466

Income Taxes

Income Taxes	3 Months Ended
	Mar. 31, 2020
Income Tax Disclosure [Abstract]
Income Taxes	Note 28—Income Taxes The Company’s effective tax rate was (1.8)% for the quarter ended March 31, 2020. The Company’s taxable REIT subsidiary (“TRS”) recognized a tax expense of $10.1 million and a pretax loss of $21.8 million while the Company’s reported consolidated pretax loss was $584.4 million for the quarter ended March 31, 2020. For the same period in 2019, the Company’s TRS recognized tax benefit of $3.9 million on a pretax loss of $17.4 million, while the Company’s reported consolidated pretax income was $49.9 million. The primary difference between the Company’s effective tax rate and the statutory tax rate is attributable to nontaxable REIT income resulting from the dividends paid deduction. While the TRS reported a pretax loss, it incurred a net tax expense in the quarter as a result of recording a valuation allowance against its net operating loss carry forwards. The Company assesses the available positive and negative evidence to estimate whether sufficient future taxable income will be generated to permit use of the existing deferred tax assets. A significant piece of objective negative evidence evaluated was the cumulative loss incurred over the three-year period ended March 31, 2020. This objective evidence limits the ability to consider other subjective evidence, such as projections for future growth. On the basis of this evaluation, as of March 31, 2020, a valuation allowance of $27.0 million has been recorded to recognize only the portion of the deferred tax asset that is more likely than not to be realized. The amount of the deferred tax asset considered realizable, however, could be adjusted if estimates of future taxable income during the carryforward period are reduced or increased or if objective negative evidence in the form of cumulative losses is no longer present and additional weight is given to subjective evidence such as projections for growth. The recently enacted CARES Act provides for carry back of losses from 2018, 2019 and 2020. However, PMC does not have taxable income from 2019 or prior years to which the losses could be carried back. 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 (subject to certain limitations) provides a 20% deduction from taxable income for ordinary REIT dividends.

Earnings Per Share

Earnings Per Share	3 Months Ended
	Mar. 31, 2020
Earnings Per Share [Abstract]
Earnings Per Share	Note 29—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 (net income reduced by preferred dividends and 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, 2020 2019 (in thousands except per share amounts) Net (loss) income $ (594,673 ) $ 53,527 Income attributable to preferred shares (6,234 ) (6,234 ) Effect of participating securities—share-based compensation awards (50 ) (184 ) Net (loss) income attributable to common shareholders (600,957 ) 47,109 Interest on Exchangeable Notes, net of income taxes (1) — 2,709 Income attributable to participating securities — 184 Diluted net (loss) income attributable to common shareholders $ (600,957 ) $ 50,002 Weighted average basic shares outstanding 100,245 64,629 Dilutive securities: Shares issuable under share-based compensation plan — 275 Shares issuable pursuant to exchange of the Exchangeable Notes (1) — 8,467 Diluted weighted average number of shares outstanding 100,245 73,371 Basic (loss) earnings per share $ (5.99 ) $ 0.73 Diluted (loss) earnings per share $ (5.99 ) $ 0.68 (1) During 2019, the Company issued the 2024 Notes. The 2024 Notes include a cash conversion option. The Company intends to cash settle the 2024 Notes. Therefore, the effect of conversion of the 2024 Notes is excluded from diluted (loss) earnings per share. Calculation of diluted earnings per share requires certain potentially dilutive shares to be excluded when the inclusion of such shares in the diluted earnings per share calculation would be anti-dilutive. 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, 2020 2019 (in thousands) Shares issuable under share-based compensation plan 135 209 Shares issuable pursuant to exchange of the Exchangeable Notes 8,467 —

Segments

Segments	3 Months Ended
	Mar. 31, 2020
Segment Reporting [Abstract]
Segments	Note 30—Segments The Company operates in four segments: credit sensitive strategies, interest rate sensitive strategies, correspondent production, and corporate: • The credit sensitive strategies segment represents the Company’s investments in CRT arrangements, firm commitments to purchase CRT securities, distressed loans, real estate and non-Agency subordinated bonds. • The interest rate sensitive strategies segment represents the Company’s investments in MSRs, ESS, Agency and senior non-Agency MBS and the related interest rate hedging activities. • The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between mortgage lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality loans either directly or in the form of MBS, using the services of the Manager and PLS. • The corporate segment includes management fees, corporate expense amounts and certain interest income. Financial highlights by operating segment are summarized below: Credit Interest rate sensitive sensitive Correspondent Quarter ended March 31, 2020 strategies strategies production Corporate Total (in thousands) Net investment (loss) income: Net (loss) gain on investments $ (919,109 ) $ 103,978 $ — $ — $ (815,131 ) Net loan servicing fees — 244,572 — — 244,572 Net gain on loans acquired for sale (1) (32,306 ) — 81,081 — 48,775 Net interest (expense) income: Interest income 6,556 33,241 31,407 919 72,123 Interest expense (14,566 ) (41,608 ) (24,309 ) (585 ) (81,068 ) (8,010 ) (8,367 ) 7,098 334 (8,945 ) Other 166 — 23,988 58 24,212 (959,259 ) 340,183 112,167 392 (506,517 ) Expenses: Loan fulfillment and servicing fees payable to PFSI 301 14,220 41,940 — 56,461 Management fees — — — 9,055 9,055 Other 911 1,182 4,918 5,381 12,392 1,212 15,402 46,858 14,436 77,908 Pretax (loss) income $ (960,471 ) $ 324,781 $ 65,309 $ (14,044 ) $ (584,425 ) Total assets at quarter end $ 1,947,153 $ 5,664,991 $ 3,068,163 $ 1,238,181 $ 11,918,488 (1) During the quarter ended March 31, 2019, the chief operating decision maker began attributing a portion of the initial fair value the Company recognizes relating to its firm commitment to purchase CRT securities upon the sale of loans to the correspondent production segment in recognition of pricing changes in the correspondent production segment. Accordingly, the Company allocated a gain of $5.7 million of the initial firm commitment recognized in Net gain on loans acquired for sale Credit Interest rate sensitive sensitive Correspondent Quarter ended March 31, 2019 strategies strategies production Corporate Total (in thousands) Net investment income: Net gain on investments $ 53,808 $ 41,285 $ — $ — $ 95,093 Net gain on loans acquired for sale (1) 11,097 — 10,226 — 21,323 Net loan servicing fees — (31,080 ) — — (31,080 ) Net interest income (expense): Interest income 8,256 34,079 20,316 430 63,081 Interest expense (12,022 ) (33,055 ) (9,662 ) — (54,739 ) (3,766 ) 1,024 10,654 430 8,342 Other (30 ) — 12,964 6 12,940 61,109 11,229 33,844 436 106,618 Expenses: Loan fulfillment and servicing fees payable to PFSI 465 10,106 27,573 — 38,144 Management fees — — — 7,248 7,248 Other 2,271 318 2,650 6,120 11,359 2,736 10,424 30,223 13,368 56,751 Pretax income (loss) $ 58,373 $ 805 $ 3,621 $ (12,932 ) $ 49,867 Total assets at quarter end $ 1,617,022 $ 4,326,579 $ 1,511,887 $ 100,499 $ 7,555,987 (1) During the quarter ended March 31, 2019, the chief operating decision maker began attributing a portion of the initial fair value the Company recognizes relating to its firm commitment to purchase CRT securities upon the sale of loans to the correspondent production segment in recognition of pricing changes in the correspondent production segment. Accordingly, the Company allocated $8.6 million of the initial firm commitment recognized in Net gain on loans acquired for sale

Supplemental Cash Flow Informat

Supplemental Cash Flow Information	3 Months Ended
	Mar. 31, 2020
Supplemental Cash Flow Elements [Abstract]
Supplemental Cash Flow Information	Note 31—Supplemental Cash Flow Information Quarter ended March 31, 2020 2019 (in thousands) Payments: Interest $ 104,757 $ 67,466 Non-cash investing activities: Transfer of loans and advances to real estate acquired in settlement of loans $ 1,166 $ 4,550 Transfer from real estate held for investment to real estate acquired in settlement of loans $ — $ 424 Receipt of mortgage servicing rights as proceeds from sales of loans at fair value $ 248,822 $ 131,868 Receipt of excess servicing spread pursuant to recapture agreement with PennyMac Financial Services, Inc. $ 379 $ 508 Capitalization of servicing advances pursuant to mortgage loan modifications $ — $ 457 Non-cash financing activities: Dividends declared, not paid $ 25,009 $ 32,262

Regulatory Capital and Liquidit

Regulatory Capital and Liquidity Requirements	3 Months Ended
	Mar. 31, 2020
Mortgage Banking [Abstract]
Regulatory Capital and Liquidity Requirements	Note 32—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 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, 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 exceeds 6% of Agency Mortgage Servicing. On January 31, 2020, Federal Housing Finance Authority ("FHFA") proposed changes to the eligibility requirements: • A tangible net worth requirement of a base of $2.5 million plus 35 basis points of the UPB of loans serviced for Ginnie Mae and 25 basis points of the UPB of all other 1-4 unit loans serviced; • Liquidity equal to or exceeding 4 basis points multiplied by the aggregate UPB of mortgages serviced for Fannie Mae and Freddie Mac and 10 basis points multiplied by the aggregate UPB of mortgages serviced for Ginnie Mae plus 300 basis points multiplied by the sum of nonperforming Agency Mortgage Servicing that exceeds 4% of the UPB of total Agency Mortgage Servicing. The Agencies’ capital and liquidity amounts and requirements, the calculations of which are defined by each entity, are summarized below: Net Worth (1) Tangible Net Worth / Total Assets Ratio (1) Liquidity (1) Fannie Mae and Freddie Mac Actual Required Actual Required Actual Required (dollars in thousands) March 31, 2020 $ 945,251 $ 364,552 15 % 6 % $ 512,249 $ 48,739 December 31, 2019 $ 627,144 $ 341,009 8 % 6 % $ 128,806 $ 44,970 (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.

Subsequent Events

Subsequent Events	3 Months Ended
	Mar. 31, 2020
Subsequent Events [Abstract]
Subsequent Events	Note 33—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period: • Repurchased $123.6 million in principal of the Company’s 2020 Notes at a weighted average price of 98.6% par value, resulting in a gain on extinguishment of debt of approximately $2.2 million. The remaining $126.4 million of outstanding notes matured and were repaid on May 1, 2020. • During April 2020, the Company sold approximately $1.0 billion of its holdings of MBS to rebalance exposures in its interest rate sensitive strategies segment and repaid the Assets sold under agreements to repurchase financing these holdings. • All agreements to repurchase assets that matured before the date of this Report were extended or renewed.

Organization and Basis of Prese

Organization and Basis of Presentation and Recently Issued Accounting Pronouncements (Policies)	3 Months Ended
	Mar. 31, 2020
Organization Consolidation And Presentation Of Financial Statements [Abstract]
Segment Reporting	PennyMac Mortgage Investment Trust (“PMT” or 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: credit sensitive strategies, interest rate sensitive strategies, correspondent production, and corporate: • The credit sensitive strategies segment represents the Company’s investments in credit risk transfer (“CRT”) arrangements, including CRT agreements (“CRT Agreements”) and CRT securities (together, “CRT arrangements”), distressed loans, real estate, and non-Agency subordinated bonds. • The interest rate sensitive strategies segment represents the Company’s investments in mortgage servicing rights (“MSRs”), excess servicing spread (“ESS”) purchased from PennyMac Financial Services, Inc. (“PFSI”), Agency and senior non-Agency mortgage-backed securities (“MBS”) and the related interest rate hedging activities. • The correspondent production segment represents the Company’s operations aimed at serving as an intermediary between lenders and the capital markets by purchasing, pooling and reselling newly originated prime credit quality loans either directly or in the form of MBS, using the services of PNMAC Capital Management, LLC (“PCM” or the “Manager”) and PennyMac Loan Services, LLC (“PLS”), both indirect controlled subsidiaries of PFSI. The Company primarily sells the loans it acquires through its correspondent production activities to government-sponsored entities (“GSEs”) 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 corporate segment includes management fees, corporate expense amounts and certain interest income.
Basis of Presentation	Basis of Presentation The Company’s 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 These 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 presented, 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 Company 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. The Company held no restricted cash during the periods presented. Therefore, the consolidated statements of cash flows do not include references to restricted cash.
Accounting Change	Accounting Change Effective January 1, 2020, the Company adopted FASB Accounting Standards Update 2016-13, Financial Instruments Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments
Fair Value Measurement	The Company’s consolidated financial statements include assets and liabilities that are measured at or based on their fair values. Measurement at or based on 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 Company 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 an asset or liability and are developed based on market data obtained from sources independent of the Company. • 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 an asset or liability, 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 Company 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 their fair values. Such differences may result in significantly different fair value measurements. Likewise, due to the general illiquidity of some of these assets and liabilities, subsequent transactions may be at values significantly different from those reported. The Company reclassifies its assets and liabilities between levels of the fair value hierarchy when the inputs required to establish fair value at a level of the fair value hierarchy are no longer readily available, requiring the use of lower-level inputs, or when the inputs required to establish fair value at a higher level of the hierarchy become available. Fair Value Accounting Elections The Company identified all of PMT’s non-cash financial assets, its Credit risk transfer strip assets and liabilities, Firm commitment to purchase CRT securities The Company has also identified its Asset-backed financing of a VIE at fair value Interest-only security payable at fair value
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 (net income reduced by preferred dividends and 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.

Transactions with Related Par_2

Transactions with Related Parties (Tables)	3 Months Ended
	Mar. 31, 2020
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, 2020 2019 (in thousands) Loan fulfillment fees earned by PLS $ 41,940 $ 27,574 UPB of loans fulfilled by PLS $ 16,152,543 $ 8,135,552 Sourcing fees received from PLS included in Net gain on loans acquired for sale $ 4,161 $ 1,994 UPB of loans sold to PLS $ 13,870,280 $ 6,647,338 Purchases of loans acquired for sale from PLS $ 2,246,127 $ 884,510 Tax service fees paid to PLS $ 3,980 $ 2,243 March 31, 2020 December 31, 2019 (in thousands) Loans included in Loans acquired for sale at fair value pending sale to PLS $ 222,662 $ 490,383
Summary of Loan Servicing Fees Earned and Mortgage Servicing Rights Recaptured Income Earned	Following is a summary of loan servicing fees earned by PLS and MSR recapture income earned from PLS: Quarter ended March 31, 2020 2019 (in thousands) Loan servicing fees: Loans acquired for sale at fair value $ 536 $ 239 Loans at fair value 300 463 MSRs 13,685 9,868 $ 14,521 $ 10,570 Average investment in: Loans acquired for sale at fair value $ 3,215,418 $ 1,633,711 Loans at fair value: Distressed $ 11,249 $ 112,923 Held in a VIE $ 253,759 $ 289,771 Average MSR portfolio UPB $ 136,687,324 $ 95,953,915 MSR recapture income recognized included in Net loan servicing fees from PennyMac Financial Services, Inc. $ 2,927 $ 634
Summary of Management Fee Expense	Following is a summary of management fee expenses: Quarter ended March 31, 2020 2019 (in thousands) Base management $ 9,055 $ 6,109 Performance incentive — 1,139 $ 9,055 $ 7,248 Average shareholders' equity amounts used to calculate management fee expense $ 2,466,740 $ 1,651,648
Summary of Expenses	Following is a summary of the Company’s reimbursements to PCM and its affiliates for expenses: Quarter ended March 31, 2020 2019 (in thousands) Reimbursement of: Common overhead incurred by PCM and its affiliates $ 1,540 $ 1,236 Compensation 120 120 Expenses incurred on the Company’s behalf, net 1,271 570 $ 2,931 $ 1,926 Payments and settlements during the quarter (1) $ 33,683 $ 15,189 (1) Payments and settlements include payments and netting settlements made pursuant to master netting agreements between the Company and PFSI for the operating, investing 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, 2020 2019 (in thousands) ESS: Received pursuant to a recapture agreement $ 379 $ 508 Repayments $ 9,308 $ 10,552 Interest income $ 1,974 $ 3,066 Net (loss) gain included in Net (loss) gain on investments: Valuation changes $ (14,522 ) $ (4,051 ) Recapture income 381 489 $ (14,141 ) $ (3,562 ) March 31, 2020 December 31, 2019 (in thousands) Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value $ 157,109 $ 178,586
Summary of Financing Transactions	Following is a summary of financing activities between the Company and PFSI: Quarter ended March 31, 2020 2019 (in thousands) Net repayments of assets sold under agreements to repurchase $ 7,746 $ 5,096 Interest expense $ 1,218 $ 1,796 Payment of conditional reimbursement to PCM $ 211 $ 75 March 31, 2020 December 31, 2019 (in thousands) Assets sold to PFSI under agreement to repurchase $ 99,766 $ 107,512 Conditional Reimbursement payable to PCM included in Due to PennyMac Financial Services, Inc. $ 10 $ 221
Summary of Amounts Receivable From and Payable to PFSI	Amounts receivable from and payable to PFSI are summarized below: March 31, 2020 December 31, 2019 (in thousands) Due from PFSI: MSR recapture $ 151 $ 149 Other 3,361 2,611 $ 3,512 $ 2,760 Due to PFSI: Fulfillment fees $ 17,366 $ 18,285 Allocated expenses and expenses paid by PFSI on PMT’s behalf 16,314 3,724 Management fees 9,055 10,579 Correspondent production fees 8,475 10,606 Loan servicing fees 4,929 4,659 Interest on Assets sold to PFSI under agreement to repurchase 74 85 Conditional Reimbursement 10 221 $ 56,223 $ 48,159
Summary of Transfer Cash to Fund Loan Servicing Advances	The Company has also transferred cash to fund loan servicing advances and REO property acquisition and preservation costs advanced on its behalf by PLS. Such amounts are included in the respective balance sheet items as summarized below: Balance sheet line including advance amount March 31, 2020 December 31, 2019 (in thousands) Loan servicing advances $ 39,030 $ 48,971 Real estate acquired in settlement of loans 16,739 21,549 $ 55,769 $ 70,520

Loan Sales (Tables)

Loan Sales (Tables)	3 Months Ended
	Mar. 31, 2020
Loan Sales [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 loans that are accounted for as sales where the Company maintains continuing involvement with the loans as servicer: Quarter ended March 31, 2020 2019 (in thousands) Cash flows: Proceeds from sales $ 19,718,151 $ 9,475,174 Loan servicing fees received net of guarantee fees $ 94,469 $ 61,272
Summary of Collection Status Information for Loans Accounted for Sales	The following table summarizes collection status information for loans that are accounted for as sales where the Company maintains continuing involvement for the dates presented: March 31, 2020 December 31, 2019 (in thousands) UPB of loans outstanding $ 141,439,454 $ 130,663,117 Collection Status (UPB) Delinquency: 30-89 days delinquent $ 1,175,506 $ 1,014,094 90 or more days delinquent: Not in foreclosure $ 286,162 $ 258,036 In foreclosure $ 50,856 $ 53,697 Bankruptcy $ 142,019 $ 130,936 Custodial funds managed by the Company (1) $ 3,935,103 $ 2,529,984 (1) Custodial funds include borrower and investor custodial cash accounts relating to loans serviced under mortgage servicing agreements and are not included on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the loans’ borrowers and investors, which are included in Interest income

Variable Interest Entities (Tab

Variable Interest Entities (Tables) - Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member]	3 Months Ended
	Mar. 31, 2020
Jumbo Mortgage Loan Financing [Member]
Summary of Jumbo Mortgage Loan Financing	Following is a summary of the Company’s jumbo loan financing: Quarter ended March 31, 2020 2019 (in thousands) Interest income $ 2,641 $ 2,924 Interest expense $ 4,527 $ 3,268 March 31, 2020 December 31, 2019 (dollars in thousands) Loans at fair value $ 242,301 $ 256,367 Asset-backed financing at fair value $ 232,565 $ 243,360 Certificates retained at fair value $ 9,736 $ 13,007
Credit Risk Transfer Agreements [Member]
Summary of Credit Risk Transfer Agreements	Following is a summary of the CRT arrangements: Quarter ended March 31, 2020 2019 (in thousands) UPB of loans sold $ 14,683,055 $ 7,702,080 Investments: Change in expected face amount of firm commitment to purchase CRT securities and commitments to fund Deposits securing CRT arrangements resulting from sales of loans $ 554,690 $ 281,917 Investment (loss) income: Net (loss) gain on investments: Derivative and CRT strips: CRT strips Realized $ 14,750 Valuation changes (229,875 ) (215,125 ) CRT derivatives Realized 17,201 $ 21,043 Valuation changes (300,943 ) 6,460 (283,742 ) 27,503 Interest-only security payable at fair value 11,575 3,447 (487,292 ) 30,950 Firm commitments to purchase CRT securities (492,513 ) 22,190 (979,805 ) 53,140 Net gain on loans acquired for sale — Fair value of firm commitment to purchase CRT securities recognized upon sale of loans (26,649 ) 19,600 Interest income — Deposits securing CRT arrangements 6,099 6,775 $ (1,000,355 ) $ 79,515 Payments made to settle losses on credit risk transfer arrangements $ 1,517 $ 895 March 31, 2020 December 31, 2019 (in thousands) Carrying value of CRT arrangements: Derivative and credit risk transfer strip assets CRT strips $ — $ 54,930 CRT derivatives — 115,863 $ — $ 170,793 Derivative and credit risk transfer strip liabilities CRT strips $ 174,945 $ — CRT derivatives 185,933 — $ 360,878 $ — Firm commitment to purchase credit risk transfer securities at fair value $ (409,649 ) $ 109,513 Deposits securing CRT arrangements $ 1,855,936 $ 1,969,784 Interest-only security payable at fair value $ 14,134 $ 25,709 CRT arrangement assets pledged to secure borrowings: Derivative and credit risk transfer strip assets $ — $ 142,183 Deposits securing CRT arrangements (1) $ 1,855,936 $ 1,969,784 Face amount of firm commitment to purchase CRT securities $ 2,056,893 $ 1,502,203 UPB of loans — funded credit risk transfer arrangements $ 38,208,418 $ 41,944,117 Collection status (UPB): Delinquency Current $ 37,579,314 $ 41,355,622 30-89 days delinquent $ 496,043 $ 463,331 90-180 days delinquent $ 110,775 $ 106,234 180 or more days delinquent $ 14,520 $ 8,802 Foreclosure $ 7,766 $ 10,128 Bankruptcy $ 60,439 $ 55,452 UPB of loans — firm commitment to purchase CRT securities $ 51,422,319 $ 38,738,396 Collection status (UPB): Delinquency Current $ 51,162,276 $ 38,581,080 30-89 days delinquent $ 244,601 $ 146,256 90-180 days delinquent $ 9,056 $ 9,109 180 or more days delinquent $ 2,469 $ — Foreclosure $ 3,917 $ 1,951 Bankruptcy $ 8,267 $ 2,980 (1) Deposits securing credit risk transfer strip liabilities CRT strip and CRT derivative liabilities.

Fair Value (Tables)

Fair Value (Tables)	3 Months Ended
	Mar. 31, 2020
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, 2020 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 137,960 $ — $ — $ 137,960 Mortgage-backed securities at fair value — 3,947,420 — 3,947,420 Loans acquired for sale at fair value — 2,833,501 22,541 2,856,042 Loans at fair value — 242,301 9,122 251,423 Excess servicing spread purchased from PFSI — — 157,109 157,109 Derivative and credit risk transfer strip assets: Interest rate lock commitments — — 79,514 79,514 Repurchase agreement derivatives — — 5,275 5,275 Forward purchase contracts — 247,814 — 247,814 Forward sale contracts — 7,193 — 7,193 MBS put options — 2,924 — 2,924 Swap futures — 38,678 — 38,678 Call options on interest rate futures 29,121 — — 29,121 Put options on interest rate futures 14,691 — — 14,691 Total derivative and credit risk transfer strip assets before netting 43,812 296,609 84,789 425,210 Netting — — — (251,900 ) Total derivative and credit risk transfer strip assets after netting 43,812 296,609 84,789 173,310 Mortgage servicing rights at fair value — — 1,157,326 1,157,326 $ 181,772 $ 7,319,831 $ 1,430,887 $ 8,680,590 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 232,565 $ — $ 232,565 Interest-only security payable at fair value — — 14,134 14,134 Derivative and credit risk transfer strip liabilities: Credit risk transfer strips — — 174,945 174,945 CRT derivatives — — 185,933 185,933 Interest rate lock commitments — — 130 130 Forward purchase contracts — 2,091 — 2,091 Forward sales contracts — 146,256 — 146,256 Total derivative liabilities before netting — 148,347 361,008 509,355 Netting — — — (46,716 ) Total derivative liabilities after netting — 148,347 361,008 462,639 Firm commitment to purchase credit risk transfer securities at fair value — — 409,649 409,649 $ — $ 380,912 $ 784,791 $ 1,118,987 December 31, 2019 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 90,836 $ — $ — $ 90,836 Mortgage-backed securities at fair value — 2,839,633 — 2,839,633 Loans acquired for sale at fair value — 4,129,858 18,567 4,148,425 Loans at fair value — 256,367 14,426 270,793 Excess servicing spread purchased from PFSI — — 178,586 178,586 Derivative and credit risk transfer strip assets: Credit risk transfer strips — — 54,930 54,930 CRT derivatives — — 115,863 115,863 Interest rate lock commitments — — 11,726 11,726 Repurchase agreement derivatives — — 5,275 5,275 Forward purchase contracts — 7,525 — 7,525 Forward sale contracts — 637 — 637 MBS put options — 1,625 — 1,625 Swap futures — 4,347 — 4,347 Call options on interest rate futures 3,809 — — 3,809 Put options on interest rate futures 2,859 — — 2,859 Total derivative assets before netting 6,668 14,134 187,794 208,596 Netting — — — (6,278 ) Total derivative assets after netting 6,668 14,134 187,794 202,318 Firm commitment to purchase credit risk transfer securities at fair value — — 109,513 109,513 Mortgage servicing rights at fair value — — 1,535,705 1,535,705 $ 97,504 $ 7,239,992 $ 2,044,591 $ 9,375,809 Liabilities: Asset-backed financing of a VIE at fair value $ — $ 243,360 $ — $ 243,360 Interest-only security payable at fair value — — 25,709 25,709 Derivative liabilities: Interest rate lock commitments — — 572 572 Forward purchase contracts — 3,600 — 3,600 Forward sales contracts — 15,644 — 15,644 Total derivative liabilities before netting — 19,244 572 19,816 Netting — — — (13,393 ) Total derivative liabilities after netting — 19,244 572 6,423 $ — $ 262,604 $ 26,281 $ 275,492
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 quarters presented: Quarter ended March 31, 2020 Assets (1) Loans acquired for sale Loans at fair value Excess servicing spread CRT strips CRT derivatives Interest rate lock commitments Repurchase agreement derivatives Firm commitment to purchase CRT securities Mortgage servicing rights Total (in thousands) Balance, December 31, 2019 $ 18,567 $ 14,426 $ 178,586 $ 54,930 $ 115,863 $ 11,154 $ 5,275 $ 109,513 $ 1,535,705 $ 2,044,019 Purchases and issuances 11,291 1,058 — — — 89,919 — — — 102,268 Repayments and sales (7,557 ) (4,335 ) (9,308 ) (14,750 ) (18,054 ) — — — — (54,004 ) Capitalization of interest and fees — — 1,974 — — — — — — 1,974 ESS received pursuant to a recapture agreement with PFSI — — 379 — — — — — — 379 Amounts received as proceeds from sales of loans — — — — — — — (26,649 ) 248,822 222,173 Changes in fair value included in results of operations arising from: Changes in instrument- specific credit risk — — — — — — — — — — Other factors 240 (1,142 ) (14,522 ) (215,125 ) (283,742 ) 103,645 — (492,513 ) (627,201 ) (1,530,360 ) 240 (1,142 ) (14,522 ) (215,125 ) (283,742 ) 103,645 — (492,513 ) (627,201 ) (1,530,360 ) Transfers: Loans to REO — (885 ) — — — — — — — (885 ) Interest rate lock commitments to loans acquired for sale (2) — — — — — (125,334 ) — — — (125,334 ) Balance, March 31, 2020 $ 22,541 $ 9,122 $ 157,109 $ (174,945 ) $ (185,933 ) $ 79,384 $ 5,275 $ (409,649 ) $ 1,157,326 $ 660,230 Changes in fair value recognized during the quarter relating to assets still held at March 31, 2020 $ 160 $ (841 ) $ (14,522 ) $ (229,875 ) $ (300,944 ) $ 79,384 $ — $ (492,513 ) $ (627,201 ) $ (1,586,352 ) (1) For the purpose of this table, CRT strips, CRT derivatives, IRLCs, and Firm commitment to purchase CRT securities asset and liability positions are shown net. (2) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Quarter ended March 31, 2020 (in thousands) Interest-only security payable: Balance, December 31, 2019 $ 25,709 Changes in fair value included in results of operations arising from: Changes in instrument-specific credit risk — Other factors (11,575 ) (11,575 ) Balance, March 31, 2020 $ 14,134 Changes in fair value recognized during the quarter relating to liability outstanding at March 31, 2020 $ (11,575 ) Quarter ended March 31, 2019 Assets (1) Loans acquired for sale Loans at fair value Excess servicing spread Interest rate lock commitments CRT derivatives Repurchase agreement derivatives Firm commitment to purchase CRT securities Mortgage servicing rights Total (in thousands) Balance, December 31, 2018 $ 17,474 $ 117,732 $ 216,110 $ 11,988 $ 123,987 $ 14,511 $ 37,994 $ 1,162,369 $ 1,702,165 Purchases and issuances 3,331 1,077 — 2,971 — 7,913 — — 15,292 Repayments and sales (3,222 ) (3,609 ) (10,552 ) — (21,043 ) (4,492 ) — — (42,918 ) Capitalization of interest — 762 3,066 — — — — — 3,828 Capitalization of advances — 457 — — — — — — 457 ESS received pursuant to a recapture agreement with PFSI — — 508 — — — — — 508 Amounts received as proceeds from sales of loans — — — — — — 19,600 131,868 151,468 Changes in fair value included in results of operations arising from: Changes in instrument- specific credit risk — 1,059 — — — — — — 1,059 Other factors (12 ) (574 ) (4,051 ) 25,531 27,503 (231 ) 22,190 (137,329 ) (66,973 ) (12 ) 485 (4,051 ) 25,531 27,503 (231 ) 22,190 (137,329 ) (65,914 ) Transfers: Loans to REO — (7,792 ) — — — — — — (7,792 ) Loans acquired for sale at fair value from "Level 2" to "Level 3" (2) 790 — — — — — — — 790 Interest rate lock commitments to loans acquired for sale (3) — — — (30,033 ) — — — — (30,033 ) Balance, March 31, 2019 $ 18,361 $ 109,112 $ 205,081 $ 10,457 $ 130,447 $ 17,701 $ 79,784 $ 1,156,908 $ 1,727,851 Changes in fair value recognized during the quarter relating to assets still held at March 31, 2019 $ (54 ) $ 329 $ (4,051 ) $ 10,457 $ 6,460 $ — $ 22,190 $ (137,329 ) $ (101,998 ) (1) For the purpose of this table IRLC assets and liability positions are shown net. (2) The Company identified certain “Level 2” fair value loans acquired for sale that were not saleable into the prime mortgage market and therefore transferred them to “Level 3”. (3) The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale at fair value upon purchase of the respective loans. Liabilities Quarter ended March 31, 2019 (in thousands) Interest-only security payable: Balance, December 31, 2018 $ 36,011 Changes in fair value included in results of operations arising from: Changes in instrument- specific credit risk — Other factors (3,447 ) (3,447 ) Balance, March 31, 2019 $ 32,564 Changes in fair value recognized during the quarter relating to liability outstanding at March 31, 2019 $ (3,447 )
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 loans accounted for under the fair value option (including loans acquired for sale, loans held in a consolidated VIE, and distressed loans): March 31, 2020 December 31, 2019 Fair value Principal amount due upon maturity Difference Fair value Principal amount due upon maturity Difference (in thousands) Loans acquired for sale at fair value: Current through 89 days delinquent: $ 2,855,085 $ 2,714,821 $ 140,264 $ 4,147,374 $ 4,010,444 $ 136,930 90 or more days delinquent: Not in foreclosure 126 163 (37 ) 572 615 (43 ) In foreclosure 831 1,003 (172 ) 479 566 (87 ) 957 1,166 (209 ) 1,051 1,181 (130 ) $ 2,856,042 $ 2,715,987 $ 140,055 $ 4,148,425 $ 4,011,625 $ 136,800 Loans at fair value: Loans held in a consolidated VIE: Current through 89 days delinquent $ 241,647 $ 239,935 $ 1,712 $ 255,706 $ 251,425 $ 4,281 90 or more days delinquent: Not in foreclosure 654 809 (155 ) 661 809 (148 ) In foreclosure — — — — — — 654 809 (155 ) 661 809 (148 ) 242,301 240,744 1,557 256,367 252,234 4,133 Distressed loans: Current through 89 days delinquent 2,557 4,884 (2,327 ) 3,179 6,202 (3,023 ) 90 or more days delinquent: Not in foreclosure 3,600 12,559 (8,959 ) 4,897 13,154 (8,257 ) In foreclosure 2,965 6,061 (3,096 ) 6,350 15,698 (9,348 ) 6,565 18,620 (12,055 ) 11,247 28,852 (17,605 ) 9,122 23,504 (14,382 ) 14,426 35,054 (20,628 ) $ 251,423 $ 264,248 $ (12,825 ) $ 270,793 $ 287,288 $ (16,495 )
Summary of Changes in Fair Value Included in Current Period Income	Following are the changes in fair value included in current period results of operations by consolidated statement of operations line item for financial statement items accounted for under the fair value option: Quarter ended March 31, 2020 Net (loss) gain on investments Net gain on loans acquired for sale Net loan servicing fees Net interest (expense) income Total (in thousands) Assets: Mortgage-backed securities at fair value $ 115,967 $ — $ — $ (12,002 ) $ 103,965 Credit risk transfer strips (215,125 ) — — — (215,125 ) Loans acquired for sale at fair value — 147,558 — — 147,558 Loans at fair value (4,010 ) — — 293 (3,717 ) ESS at fair value (14,522 ) — — 1,974 (12,548 ) Firm commitment to purchase credit risk transfer securities at fair value (492,513 ) (26,649 ) — — (519,162 ) MSRs at fair value — — (627,201 ) — (627,201 ) $ (610,203 ) $ 120,909 $ (627,201 ) $ (9,735 ) $ (1,126,230 ) Liabilities: Interest-only security payable at fair value $ 11,575 $ — $ — $ — $ 11,575 Asset-backed financing of a VIE at fair value 1,928 — — (2,491 ) (563 ) $ 13,503 $ — $ — $ (2,491 ) $ 11,012 Quarter ended March 31, 2019 Net (loss) gain on investments Net gain on loans acquired for sale Net loan servicing fees Net interest (expense) income Total (in thousands) Assets: Mortgage-backed securities at fair value $ 36,922 $ — $ — $ (4,556 ) $ 32,366 Loans acquired for sale at fair value — 37,803 — — 37,803 Loans at fair value 4,070 — — 883 4,953 ESS at fair value (4,051 ) — — 3,066 (985 ) Firm commitment to purchase credit risk transfer securities at fair value 22,190 19,600 — — 41,790 MSRs at fair value — — (137,329 ) — (137,329 ) $ 59,131 $ 57,403 $ (137,329 ) $ (607 ) $ (21,402 ) Liabilities: Interest-only security payable at fair value $ 3,447 $ — $ — $ — $ 3,447 Asset-backed financing of a VIE at fair value (2,857 ) — — (821 ) (3,678 ) $ 590 $ — $ — $ (821 ) $ (231 )
Summary of Carrying Value of Financial Statement Items Re-measured Based on Fair Value on Nonrecurring Basis	Following is a summary of the carrying value of assets that were re-measured during the quarter based on fair value on a nonrecurring basis: Real estate acquired in settlement of loans Level 1 Level 2 Level 3 Total (in thousands) March 31, 2020 $ — $ — $ 14,810 $ 14,810 December 31, 2019 $ — $ — $ 24,115 $ 24,115
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 quarter on assets held at quarter end that were remeasured at fair value on a nonrecurring basis: Quarter ended March 31, 2020 2019 (in thousands) Real estate asset acquired in settlement of loans $ (1,191 ) $ (2,438 )
Fair Values of Notes Payable Secured by Credit Risk Transfer and Mortgage Servicing Rights and Exchangeable Senior Notes	Following are the fair values of the Notes payable secured by credit risk transfer and mortgage servicing assets and Exchangeable senior notes : March 31, 2020 December 31, 2019 Instrument Carrying value Fair value Carrying value Fair value (in thousands) Notes payable secured by credit risk transfer and mortgage servicing assets $ 1,967,526 $ 1,264,573 $ 1,696,295 $ 1,705,544 Exchangeable senior notes $ 444,525 $ 375,077 $ 443,506 $ 462,117
Summary of Key Inputs Used in Determining Fair Value of ESS	Following are the key inputs used in determining the fair value of ESS: March 31, 2020 December 31, 2019 Fair value (in thousands) $ 157,109 $ 178,586 UPB of underlying loans (in thousands) $ 19,153,856 $ 19,904,571 Average servicing fee rate (in basis points) 34 34 Average ESS rate (in basis points) 19 19 Key inputs (1) Pricing spread (2) Range 5.4% – 5.8% 3.0% – 3.3% Weighted average 5.6% 3.1% Annual total prepayment speed (3) Range 8.7% – 14.9% 8.7% – 16.2% Weighted average 11.9% 11.0% Equivalent life (in years) Range 2.7 - 7.1 2.7 - 7.2 Weighted average 5.8 6.1 (1) Weighted-average inputs are based on UPB of the underlying loans. (2) Pricing spread represents a margin that is applied to a reference forward rate to develop periodic discount rates. The Company applies pricing spreads to the forward rates implied by the United States Dollar London Interbank Offered Rate (“LIBOR”)/ swap curve for purposes of discounting cash flows relating to ESS. (3) Prepayment speed is measured using Life Total Conditional Prepayment Rate (“CPR”). Equivalent life is included for informational purposes.
Quantitative Summary of Key Unobservable Inputs Used in Valuation of CRT Agreements	Following is a quantitative summary of key unobservable inputs used in the Company’s review and approval of broker-provided fair values for CRT Agreements: March 31, 2020 December 31, 2019 (dollars in thousands) Fair value CRT derivatives: Assets $ — $ 115,863 Liabilities $ 185,933 $ — UPB of loans in reference pools $ 23,123,085 $ 24,824,616 Key inputs (1) Discount rate Range 10.7% – 11.7% 4.7% – 5.3% Weighted average 10.9% 5.2% Voluntary prepayment speed (2) Range 18.1% – 20.5% 16.4% – 18.5% Weighted average 20.0% 17.9% Involuntary prepayment speed (3) Range 0.7% – 1.0% 0.2% – 0.3% Weighted average 0.9% 0.3% Remaining loss expectation (4) Range 0.4% – 0.6% 0.1% – 0.1% Weighted average 0.6% 0.1% (1) Weighted average inputs are based on fair value amounts of the CRT Agreements. (2) Voluntary prepayment speed is measured using Life Voluntary CPR. (3) Involuntary prepayment speed is measured using Life Involuntary CPR. (4) Remaining loss expectation is measured as expected future contractual losses divided by the UPB of the reference loans.
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: March 31, 2020 December 31, 2019 Fair value (in thousands) (1) $ 79,384 $ 11,154 Key inputs (2) Pull-through rate Range 36.7% – 100% 64.6% – 100% Weighted average 84.4% 93.3% MSR fair value expressed as Servicing fee multiple Range 1.4 – 5.4 2.1 – 5.8 Weighted average 4.1 4.7 Percentage of UPB Range 0.4% – 1.5% 0.7% – 2.2% Weighted average 1.2% 1.4% (1) For purposes of this table, IRLC asset and liability positions are shown net. (2) Weighted-average inputs are based on the committed amounts.
Summary of Key Unobservable Inputs Used in Valuation of Credit Risk Transfer Strips	Following is a quantitative summary of key unobservable inputs used in the Company’s review and approval of the adjusted broker-provided fair values used to derive the value of the CRT strips: March 31, 2020 December 31, 2019 (dollars in thousands) Carrying value CRT strips: Assets $ — $ 54,930 Liabilities $ 174,945 $ — UPB of loans in the reference pools $ 15,085,333 $ 17,119,501 Key inputs (1) Discount rate 14.8 % 6.3 % Voluntary prepayment speed (2) 22.5 % 23.4 % Involuntary prepayment speed (3) 0.9 % 0.2 % Remaining loss expectation (4) 0.6 % 0.1 % (1) Weighted average inputs are based on the UPB of the loans in the reference pools. (2) Voluntary prepayment speed is measured using Life Voluntary CPR. (3) Involuntary prepayment speed is measured using Life Involuntary CPR. (4) Remaining loss expectation is measured as expected future losses divided by the UPB of the reference loans.
Summary of Key Unobservable Inputs Used in Valuation of Firm Commitment to Purchase CRT Securities	The Company categorizes its firm commitment to purchase CRT securities as a “Level 3” fair value asset or liability. The fair value of the firm commitment is estimated using a discounted cash flow approach to estimate the fair value of the CRT securities to be purchased less the contractual purchase price. Key inputs used in the estimation of fair value of the firm commitment are the discount rate and the voluntary and involuntary prepayment speeds of the loans in the reference pools. The firm commitment to purchase CRT securities is recognized initially as a component of Net gain on loans acquired for sale Net (loss) gain on investments Following is a quantitative summary of key unobservable inputs in the valuation of firm commitment to purchase CRT securities: March 31, 2020 December 31, 2019 (dollars in thousands) Fair value: Assets $ — $ 109,513 Liabilities $ 409,649 $ — UPB of loans in the reference pools $ 51,422,319 $ 38,738,396 Key inputs (1) Discount rate 11.6 % 6.5 % Voluntary prepayment speed (2) 17.0 % 14.3 % Involuntary prepayment speed (3) 0.5 % 0.1 % Remaining loss expectation (4) 0.5 % 0.1 % (1) Weighted average inputs are based on the UPB of the loans in the reference pools. (2) Voluntary prepayment speed is measured using Life Voluntary CPR. (3) Involuntary prepayment speed is measured using Life Involuntary CPR. (4) Remaining loss expectation is measured as expected future losses divided by the UPB of the reference loans.
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, 2020 2019 (MSR recognized and UPB of underlying loan amounts in thousands) MSR recognized $ 248,822 $ 131,868 UPB of underlying loans $ 19,341,270 $ 9,245,177 Weighted average annual servicing fee rate (in basis points) 30 32 Key inputs (1) Pricing spread (2) Range 6.7% – 9.9% 5.8% – 9.5% Weighted average 6.8% 5.8% Prepayment speed (3) Range 9.9% – 20.9% 4.9% – 42.2% Weighted average 12.2% 12.2% Equivalent life (in years) Range 3.6 – 6.9 1.8 – 10.5 Weighted average 6.5 6.6 Annual per-loan cost of servicing Range $78 – $78 $78 – $78 Weighted average $78 $78 (1) Weighted average inputs are based on UPB of the underlying loans. (2) The Company applies pricing spreads to the forward rates implied by the United States Dollar LIBOR/swap curve for purposes of discounting cash flows relating to MSRs. (3) Prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is included for informational purposes.
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, 2020 December 31, 2019 (Fair value, UPB of underlying loans and effect on fair value amounts in thousands) Fair value $ 1,157,326 $ 1,535,705 UPB of underlying loans $ 141,781,305 $ 131,024,381 Weighted average annual servicing fee rate (in basis points) 28 28 Weighted average note interest rate 4.1% 4.2% Key inputs (1): Pricing spread (2) Range 8.3% – 11.4% 6.8% – 9.9% Weighted average 8.3% 6.8% Effect on fair value of: 5% adverse change $(15,514) $(20,666) 10% adverse change $(30,583) $(40,783) 20% adverse change $(59,455) $(79,453) Prepayment speed (3) Range 11.0% – 23.7% 10.2% – 22.0% Weighted average 18.1% 12.1% Equivalent life (in years) Range 2.5 – 4.7 2.4 – 6.5 Weighted average 4.6 6.3 Effect on fair value of: 5% adverse change $(36,511) $(35,768) 10% adverse change $(70,955) $(69,973) 20% adverse change $(134,254) $(134,068) Annual per-loan cost of servicing Range $78 – $79 $77 – $78 Weighted average $79 $78 Effect on fair value of: 5% adverse change $(8,249) $(9,964) 10% adverse change $(16,497) $(19,928) 20% adverse change $(32,994) $(39,856) (1) Weighted-average inputs are based on the UPB of the underlying loans. (2) The Company applies pricing spreads to the forward rates implied by the United States Dollar LIBOR/swap curve for purposes of discounting cash flows relating to MSRs. (3) Prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is included for informational purposes.

Mortgage-Backed Securities (Tab

Mortgage-Backed Securities (Tables)	3 Months Ended
	Mar. 31, 2020
Mortgage Backed Securities [Abstract]
Schedule of Investment in Mortgage Backed Securities Activity	Following is a summary of activity in the Company’s investment in MBS: Quarter ended March 31, 2020 2019 (in thousands) Balance at beginning of quarter $ 2,839,633 $ 2,610,422 Purchases 1,615,486 — Sales (488,729 ) — Repayments (122,935 ) (53,682 ) Changes in fair value included in income arising from: Amortization of purchase premiums (12,002 ) (4,556 ) Valuation adjustments 115,967 36,922 103,965 32,366 Balance at end of quarter $ 3,947,420 $ 2,589,106
Schedule of Investment in Mortgage Backed Securities	Following is a summary of the Company’s investment in MBS: March 31, 2020 December 31, 2019 Agency: (1) Principal balance Unamortized net purchase premiums Accumulated valuation changes Fair value Principal balance Unamortized net purchase premiums Accumulated valuation changes Fair value (in thousands) Fannie Mae $ 2,158,369 $ 32,226 $ 84,915 $ 2,275,510 $ 1,946,203 $ 29,657 $ 33,233 $ 2,009,093 Freddie Mac 1,589,984 28,762 53,164 1,671,910 809,595 11,083 9,862 830,540 $ 3,748,353 $ 60,988 $ 138,079 $ 3,947,420 $ 2,755,798 $ 40,740 $ 43,095 $ 2,839,633 (1) All MBS are fixed-rate pass-through securities with maturities of more than ten years and are pledged to secure Assets sold under agreements to repurchase

Loans Acquired for Sale at Fa_2

Loans Acquired for Sale at Fair Value (Tables)	3 Months Ended
	Mar. 31, 2020
Mortgage Loans On Real Estate [Abstract]
Summary of Distribution of Company's Loans Acquired for Sale at Fair Value	Loans acquired for sale at fair value is comprised of recently originated loans purchased by the Company for resale. Following is a summary of the distribution of the Company’s loans acquired for sale at fair value: Loan type March 31, 2020 December 31, 2019 (in thousands) Agency-eligible $ 2,606,796 $ 3,626,038 Held for sale to PLS — Government insured or guaranteed 222,662 490,383 Jumbo 4,043 13,437 Commercial real estate 1,035 1,015 Home equity lines of credit 5,829 4,632 Repurchased pursuant to representations and warranties 15,677 12,920 $ 2,856,042 $ 4,148,425 Loans pledged to secure Assets sold under agreements to repurchase $ 2,813,903 $ 4,070,134 $ 2,813,903 $ 4,070,134

Loans at Fair Value (Tables)

Loans at Fair Value (Tables)	3 Months Ended
	Mar. 31, 2020
Mortgage Loans At Fair Value [Abstract]
Summary of Distribution of Company's Loans at Fair Value	Following is a summary of the distribution of the Company’s loans at fair value: March 31, 2020 December 31, 2019 Loan type Fair value Unpaid principal balance Fair value Unpaid principal balance (in thousands) Fixed interest rate jumbo loans held in a VIE $ 242,301 $ 240,744 $ 256,367 $ 251,425 Distressed loans 9,122 23,504 14,426 35,054 $ 251,423 $ 264,248 $ 270,793 $ 286,479 Loans at fair value pledged to secure: Asset-backed financing of a VIE at fair value $ 242,301 $ 256,367 Assets sold under agreements to repurchase 4,045 12,390 $ 246,346 $ 268,757

Derivative and Credit Risk Tr_2

Derivative and Credit Risk Transfer Strip Assets and Liabilities (Tables)	3 Months Ended
	Mar. 31, 2020
Summary of Derivative and Credit Risk Transfer Assets and Liabilities	Derivative and credit risk transfer assets and liabilities are summarized below: March 31, 2020 December 31, 2019 (in thousands) Derivative Assets $ 173,310 $ 147,388 Credit risk transfer strip assets — 54,930 $ 173,310 $ 202,318 Derivative Liabilities $ 287,694 $ 6,423 Credit risk transfer strip liabilities 174,945 — $ 462,639 $ 6,423
Summary of Investment In CRT Strips	Following is a summary of the Company’s investment in CRT strips Credit risk transfer strips contractually restricted from sale (1) March 31, 2020 December 31, 2019 (in thousands) Assets Through June 13, 2020 $ — $ 17,629 To maturity — 37,301 $ — $ 54,930 Liabilities Through June 13, 2020 $ 68,477 $ — To maturity 106,468 — $ 174,945 $ — (1) The terms of the agreement underlying the CRT securities restricts sales of the securities, other than sales under agreements to repurchase, without the approval of Fannie Mae, for specified periods from the date of issuance.
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 Derivative liabilities Other March 31, 2020 December 31, 2019 Fair value Fair value Notional Derivative Derivative Notional Derivative Derivative Instrument amount assets liabilities amount assets liabilities (in thousands) Not subject to master netting arrangements: CRT derivatives 23,123,085 $ — 185,933 24,824,616 $ 115,863 $ — Interest rate lock commitments 4,977,773 79,514 130 3,199,680 11,726 572 Repurchase agreement derivatives 5,275 — 5,275 — Subject to master netting agreements ─ economic hedging purposes: Forward purchase contracts 11,876,671 247,814 2,091 5,883,198 7,525 3,600 Forward sale contracts 10,244,926 7,193 146,256 9,297,179 637 15,644 MBS put options 8,550,000 2,924 — 4,000,000 1,625 — Swap futures 2,500,000 38,678 — 2,075,000 4,347 — Call options on interest rate futures 2,800,000 29,121 — 2,662,500 3,809 — Put options on interest rate futures 7,425,000 14,691 — 950,000 2,859 — Swaptions 3,700,000 — — 2,700,000 — — Bond futures 235,500 — — 114,500 — — Total derivative instruments before netting 425,210 334,410 153,666 19,816 Netting (251,900 ) (46,716 ) (6,278 ) (13,393 ) $ 173,310 $ 287,694 $ 147,388 $ 6,423 Margin deposits (received from) placed with derivatives counterparties, net $ (205,185 ) $ 7,114 Derivative assets pledged to secure: Notes payable $ 115,110 Assets sold under agreements to repurchase 27,073 $ 142,183
Summary of Net Derivative Assets	Following is a summary of net derivative assets: March 31, 2020 December 31, 2019 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: CRT derivatives $ — $ — $ — $ 115,863 $ — $ 115,863 Interest rate lock commitments 79,514 — 79,514 11,726 — 11,726 Repurchase agreement derivatives 5,275 — 5,275 5,275 — 5,275 84,789 — 84,789 132,864 — 132,864 Subject to master netting arrangements: Forward purchase contracts 247,814 — 247,814 7,525 — 7,525 Forward sale contracts 7,193 — 7,193 637 — 637 MBS put options 2,924 — 2,924 1,625 — 1,625 Swap futures 38,678 — 38,678 4,347 — 4,347 Call options on interest rate futures 29,121 — 29,121 3,809 — 3,809 Put options on interest rate futures 14,691 — 14,691 2,859 — 2,859 Netting — (251,900 ) (251,900 ) — (6,278 ) (6,278 ) 340,421 (251,900 ) 88,521 20,802 (6,278 ) 14,524 $ 425,210 $ (251,900 ) $ 173,310 $ 153,666 $ (6,278 ) $ 147,388
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, 2020 December 31, 2019 Net amount Gross amounts Net amount Gross amounts of assets not offset in the of assets not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments received amount sheet instruments received amount (in thousands) CRT derivatives $ — $ — $ — $ — $ 115,863 $ — $ — $ 115,863 Interest rate lock commitments 79,514 — — 79,514 11,726 — — 11,726 RJ O’Brien & Associates, LLC 43,813 — — 43,813 6,668 — — 6,668 J.P. Morgan Securities LLC 19,903 — — 19,903 1,551 — — 1,551 Goldman Sachs & Co. LLC 9,783 — — 9,783 352 — — 352 Deutsche Bank Securities LLC 5,633 — — 5,633 5,398 — — 5,398 Bank of America, N.A. 5,574 — — 5,574 2,489 — — 2,489 Bank of Oklahoma 2,255 — — 2,255 — — — — BNP Paribas 2,009 — — 2,009 — — — — Jefferies & Company, Inc. 1,445 — — 1,445 — — — — Other 3,381 — — 3,381 3,341 — — 3,341 $ 173,310 $ — $ — $ 173,310 $ 147,388 $ — $ — $ 147,388
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, 2020 December 31, 2019 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 CRT derivatives $ 185,933 $ — $ 185,933 $ — $ — $ — Interest rate lock commitments 130 130 572 572 Subject to master netting arrangements: Forward purchase contracts 2,091 — 2,091 3,600 — 3,600 Forward sales contracts 146,256 — 146,256 15,644 — 15,644 Netting — (46,716 ) (46,716 ) — (13,393 ) (13,393 ) 148,347 (46,716 ) 101,631 19,244 (13,393 ) 5,851 334,410 (46,716 ) 287,694 19,816 (13,393 ) 6,423 Assets sold under agreements to repurchase: UPB 6,348,385 — 6,348,385 6,649,179 — 6,649,179 Unamortized debt issuance costs (193 ) — (193 ) (289 ) — (289 ) 6,348,192 — 6,348,192 6,648,890 — 6,648,890 $ 6,682,602 $ (46,716 ) $ 6,635,886 $ 6,668,706 $ (13,393 ) $ 6,655,313
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 qualify 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, 2020 December 31, 2019 Net amount Gross amounts Net amount Gross amounts of liabilities not offset in the of liabilities not offset in the presented consolidated presented consolidated in the balance sheet in the balance sheet consolidated Cash consolidated Cash balance Financial collateral Net balance Financial collateral Net sheet instruments pledged amount sheet instruments pledged amount (in thousands) CRT derivatives $ 185,933 $ — $ — $ 185,933 $ — $ — $ — $ — Interest rate lock commitments 130 — — 130 572 — — 572 J.P. Morgan Securities LLC 1,159,021 (1,159,021 ) — — 1,736,829 (1,736,829 ) — — Daiwa Capital Markets 1,031,902 (1,028,634 ) — 3,268 906,439 (906,439 ) — — Bank of America, N.A. 915,856 (915,856 ) — — 1,339,291 (1,339,291 ) — — Citigroup Global Markets Inc. 717,350 (715,161 ) — 2,189 412,999 (411,933 ) — 1,066 Barclays Capital Inc. 606,915 (606,915 ) — — — — — — Mizuho Securities 581,866 (578,543 ) — 3,323 392,038 (391,627 ) — 411 Morgan Stanley & Co. LLC 545,001 (491,810 ) — 53,191 656,728 (656,728 ) — — Credit Suisse Securities (USA) LLC 380,285 (356,454 ) — 23,831 720,411 (719,902 ) — 509 RBC Capital Markets, L.P. 241,676 (241,676 ) — — 290,388 (290,388 ) — — Amherst Pierpont Securities LLC 177,641 (173,541 ) — 4,100 80,309 (80,309 ) — — BNP Paribas 80,774 (80,774 ) — — 116,155 (115,733 ) — 422 Federal National Mortgage Association 5,140 — — 5,140 1,996 — — 1,996 Wells Fargo Securities, LLC 4,490 — — 4,490 — — — — Other 2,099 — — 2,099 1,447 — — 1,447 $ 6,636,079 $ (6,348,385 ) $ — $ 287,694 $ 6,655,602 $ (6,649,179 ) $ — $ 6,423
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 operations line items where such gains and losses are included: Quarter ended March 31, Derivative activity Statement of operations line 2020 2019 (in thousands) Interest rate lock commitments Net gain on loans acquired for sale $ 68,231 $ 28,502 CRT derivatives Net (loss) gain on investments $ (283,742 ) $ 27,503 Repurchase agreement derivatives Interest expense $ — $ (231 ) Hedged item: Interest rate lock commitments and loans acquired for sale Net gain on loans acquired for sale $ (140,368 ) $ (34,345 ) Mortgage servicing rights Net loan servicing fees $ 767,186 $ 41,135 Fixed-rate and prepayment sensitive assets and LIBOR-indexed repurchase agreements Net (loss) gain on investments $ 64,931 $ 7,380
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 for economic hedging purposes: Notional amounts, quarter ended March 31, 2020 Beginning Dispositions/ End Instrument of quarter Additions expirations of quarter (in thousands) Forward purchase contracts 5,883,198 89,638,934 (83,645,461 ) 11,876,671 Forward sales contracts 9,297,179 108,403,664 (107,455,917 ) 10,244,926 MBS put options 4,000,000 14,250,000 (9,700,000 ) 8,550,000 Swaptions 2,700,000 9,400,000 (8,400,000 ) 3,700,000 Call options on interest rate futures 2,662,500 19,292,500 (19,155,000 ) 2,800,000 Put options on interest rate futures 950,000 15,025,000 (8,550,000 ) 7,425,000 Swap futures 2,075,000 4,925,000 (4,500,000 ) 2,500,000 Bond futures 114,500 4,932,800 (4,811,800 ) 235,500 Notional amounts, quarter ended March 31, 2019 Beginning Dispositions/ End Instrument of quarter Additions expirations of quarter (in thousands) Forward purchase contracts 3,072,223 33,419,932 (31,366,086 ) 5,126,069 Forward sales contracts 4,595,241 42,338,646 (41,992,403 ) 4,941,484 MBS put options 2,550,000 9,600,000 (8,000,000 ) 4,150,000 MBS call options 500,000 5,400,000 (2,800,000 ) 3,100,000 Call options on interest rate futures 512,500 3,537,500 (2,575,000 ) 1,475,000 Put options on interest rate futures 1,102,500 5,352,500 (5,505,000 ) 950,000 Swap futures — 150,000 — 150,000 Bond futures 815,000 2,702,400 (3,352,400 ) 165,000

Real Estate Acquired in Settl_2

Real Estate Acquired in Settlement of Loans (Tables)	3 Months Ended
	Mar. 31, 2020
Other Real Estate [Abstract]
Summary of Financial Information Relating to REO	Following is a summary of financial information relating to REO: Quarter ended March 31, 2020 2019 (in thousands) Balance at beginning of quarter $ 65,583 $ 85,681 Transfers: From loans at fair value and advances 1,166 4,550 From real estate held for investment — 324 Results of REO: Valuation adjustments, net (1,503 ) (3,561 ) Gain on sale, net 1,535 2,081 32 (1,480 ) Sales (15,943 ) (16,900 ) Balance at end of quarter $ 50,838 $ 72,175 March 31, 2020 December 31, 2019 (in thousands) REO pledged to secure assets sold under agreements to repurchase $ 30,385 $ 40,938

Mortgage Servicing Rights (Tabl

Mortgage Servicing Rights (Tables)	3 Months Ended
	Mar. 31, 2020
Text Block [Abstract]
Summary of MSRs Carried at Fair Value	Following is a summary of MSRs: Quarter ended March 31, 2020 2019 (in thousands) Balance at beginning of quarter $ 1,535,705 $ 1,162,369 MSRs resulting from loan sales 248,822 131,868 Changes in fair value: Due to changes in valuation inputs used in valuation model (1) (563,247 ) (96,508 ) Other changes in fair value (2) (63,954 ) (40,821 ) (627,201 ) (137,329 ) Balance at end of quarter $ 1,157,326 $ 1,156,908 March 31, 2020 December 31, 2019 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and secured by mortgage servicing assets $ 1,141,337 $ 1,510,651 (1) Primarily reflects changes in pricing spread (discount rate), prepayment speed, and servicing cost inputs. (2) Represents changes due to realization of expected cash flows.
Summary of Net Loan Servicing Fees Relating to MSRs	Servicing fees relating to MSRs are recorded in Net loan servicing fees – from nonaffiliates Quarter ended March 31, 2020 2019 (in thousands) Contractually-specified servicing fees $ 94,469 $ 61,272 Ancillary and other fees: Late charges 500 330 Other 6,691 2,878 $ 101,660 $ 64,480

Assets Sold Under Agreements _2

Assets Sold Under Agreements to Repurchase (Tables)	3 Months Ended
	Mar. 31, 2020
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, 2020 2019 (dollars in thousands) Weighted average interest rate (1) 2.31 % 3.49 % Average balance $ 6,302,900 $ 4,844,689 Total interest expense (2) $ 37,750 $ 36,851 Maximum daily amount outstanding $ 8,664,587 $ 5,210,162 (1) Excludes the effect of amortization of net debt issuance costs of $1.4 million for the quarter ended March 31, 2020 and net debt issuance premiums of $5.7 million for the quarter ended March 31, 2019. (2) The Company’s interest expense relating to assets sold under agreements to repurchase for the quarter ended March 31, 2019 includes recognition of incentives it received for financing certain of its loans acquired for sale satisfying certain consumer debt relief characteristics under a master repurchase agreement. During the quarter ended March 31, 2019, the Company recognized $7.5 million in such incentives as a reduction of Interest expense. March 31, 2020 December 31, 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 6,348,385 $ 6,649,179 Unamortized debt issuance costs, net (193 ) (289 ) $ 6,348,192 $ 6,648,890 Weighted average interest rate 1.87 % 2.85 % Available borrowing capacity (1): Committed $ 339,180 $ — Uncommitted 2,780,671 2,278,264 $ 3,119,851 $ 2,278,264 Margin deposits placed with counterparties included in Other $ 6,271 $ 91,871 Assets securing agreements to repurchase: Mortgage-backed securities $ 3,947,420 $ 2,839,633 Loans acquired for sale at fair value $ 2,813,903 $ 4,070,134 Loans at fair value $ 4,045 $ 12,390 CRT strips $ — $ 27,073 Real estate acquired in settlement of loans $ 30,385 $ 40,938 MSRs (2) $ 1,141,337 $ 1,354,907 Deposits securing CRT arrangements $ — $ 445,194 (1) The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets financed. (2) Beneficial interests in Freddie Mac and Fannie Mae MSRs are pledged as collateral under both Assets sold under agreements to repurchase Notes payable secured by credit risk transfer and mortgage servicing assets
Summary of Maturities of Outstanding Advances Under Repurchase Agreements by Maturity Date	Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date: Remaining maturity at March 31, 2020 Unpaid principal balance (in thousands) Within 30 days $ 3,768,236 Over 30 to 90 days 2,288,473 Over 90 days to 180 days 241,676 Over 180 days to one year 50,000 Over one year to two years — $ 6,348,385 Weighted average maturity (in months) 1.3
Summary of Assets Sold under Agreements to Repurchase by Counterparty	Securities Counterparty Amount at risk Weighted average maturity (in thousands) JPMorgan Chase & Co. $ 40,809 April 17, 2020 Bank of America, N.A. $ 26,610 April 14, 2020 Daiwa Capital Markets America Inc. $ 49,020 April 14, 2020 Barclays Capital Inc. $ 31,579 April 15, 2020 Mizuho Securities $ 28,671 April 10, 2020 Amherst Pierpont Securities LLC $ 8,469 April 13, 2020
Loans RE and MSRs Sold Under Agreements to Repurchase [Member]
Summary of Assets Sold under Agreements to Repurchase by Counterparty	Loans, REO and MSRs Counterparty Amount Weighted average maturity Facility maturity (in thousands) Citibank, N.A. $ 101,917 June 18, 2020 August 4, 2020 Credit Suisse First Boston Mortgage Capital LLC $ 99,635 April 24, 2020 April 24, 2020 JPMorgan Chase & Co. $ 27,149 May 20, 2020 October 9, 2020 Bank of America, N.A. $ 34,885 May 4, 2020 March 11, 2021 Morgan Stanley $ 34,928 June 19, 2020 August 21, 2020 Royal Bank of Canada $ 17,665 May 29, 2020 May 29, 2020 BNP Paribas $ 5,950 June 16, 2020 July 31, 2020

Mortgage Loan Participation P_2

Mortgage Loan Participation Purchase and Sale Agreements (Tables)	3 Months Ended
	Mar. 31, 2020
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, 2020 2019 (dollars in thousands) Weighted average interest rate (1) 2.73 % 3.70 % Average balance $ 41,301 $ 56,210 Total interest expense $ 338 $ 574 Maximum daily amount outstanding $ 94,387 $ 207,065 (1) Excludes the effect of amortization of debt issuance costs of $57,000 and $55,000 for the quarters ended March 31, 2020 and 2019, respectively.

Notes Payable Secured By Cred_2

Notes Payable Secured By Credit Risk Transfer and Mortgage Servicing Assets (Tables)	3 Months Ended
	Mar. 31, 2020
Debt Disclosure [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, 2020 2019 (dollars in thousands) Weighted average interest rate (1) 4.10 % 4.89 % Average balance $ 1,860,213 $ 465,377 Total interest expense $ 19,618 $ 5,823 Maximum daily amount outstanding $ 2,032,665 $ 745,730 (1) Excludes the effect of amortization of debt issuance costs of $609,000 and $256,000 for the quarters ended March 31, 2020 and 2019, respectively. March 31, 2020 December 31, 2019 (dollars in thousands) Carrying value: Amount outstanding $ 1,973,252 $ 1,702,262 Unamortized debt issuance costs (5,726 ) (5,967 ) $ 1,967,526 $ 1,696,295 Weighted average interest rate 3.37 % 4.30 % Assets securing notes payable: MSRs (1) $ 1,141,337 $ 1,510,651 CRT Agreements: Deposits securing CRT arrangements $ 1,855,936 $ 1,524,590 Derivative assets $ — $ 115,110 (1) Beneficial interests in Freddie Mac and Fannie Mae MSRs are pledged as collateral for both Assets sold under agreements to repurchase Notes payable

Exchangeable Senior Notes (Tabl

Exchangeable Senior Notes (Tables)	3 Months Ended
	Mar. 31, 2020
Text Block [Abstract]
Summary of Financial Information Relating to Exchangeable Notes	Following is financial information relating to the Exchangeable Notes: Quarter ended March 31, 2020 2019 (in thousands) Average balance $ 460,000 $ 250,000 Total interest expense $ 7,266 $ 3,661 March 31, 2020 December 31, 2019 (in thousands) Carrying value: UPB $ 460,000 $ 460,000 Unamortized debt issuance costs and conversion option (15,475 ) (16,494 ) $ 444,525 $ 443,506

Asset-Backed Financing of a V_2

Asset-Backed Financing of a Variable Interest Entity at Fair Value (Tables)	3 Months Ended
	Mar. 31, 2020
Text Block [Abstract]
Summary of Financial Information Relating to Asset-Backed Financing of a VIE at Fair Value	Following is a summary of financial information relating to the asset-backed financing of a VIE at fair value described in Note 6— Variable Interest Entities. Quarter ended March 31, 2020 2019 (dollars in thousands) Average balance $ 240,765 $ 275,787 Total interest expense $ 4,527 $ 3,268 Weighted average interest rate 3.39 % 3.55 % March 31, 2020 December 31, 2019 (dollars in thousands) Fair value $ 232,565 $ 243,360 UPB $ 227,811 $ 239,169 Weighted average interest rate 3.51 % 3.51 %

Liability for Losses Under Re_2

Liability for Losses Under Representations and Warranties (Tables)	3 Months Ended
	Mar. 31, 2020
Liability For Representations And Warranties [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, 2020 2019 (in thousands) Balance, beginning of quarter $ 7,614 $ 7,514 Provision for losses: Pursuant to loan sales 1,030 720 Reduction in liability due to change in estimate (1,344 ) (528 ) Losses incurred, net — (18 ) Balance, end of quarter $ 7,300 $ 7,688 UPB of loans subject to representations and warranties at end of quarter $ 131,049,135 $ 96,514,379

Commitments and Contingencies (

Commitments and Contingencies (Tables)	3 Months Ended
	Mar. 31, 2020
Commitments And Contingencies Disclosure [Abstract]
Company's Outstanding Contractual Commitments	The following table summarizes the Company’s outstanding contractual commitments: March 31, 2020 (in thousands) Commitments to purchase loans acquired for sale $ 4,977,773 Face amount of firm commitment to purchase credit risk transfer securities $ 2,056,893

Shareholders' Equity (Tables)

Shareholders' Equity (Tables)	3 Months Ended
	Mar. 31, 2020
Equity [Abstract]
Schedule of Preferred Shares of Beneficial Interest	Preferred shares of beneficial interest are summarized below: Dividends per share, quarter ended March 31, Series Description (1) Number of shares Liquidation preference Issuance discount Carrying value 2020 2019 Fixed-to-floating rate cumulative redeemable preferred (in thousands, except dividends per share) A 8.125% Issued March 2017 4,600 $ 115,000 $ 3,828 $ 111,172 $ 0.51 $ 0.51 B 8.00% Issued July 2017 7,800 195,000 6,465 188,535 $ 0.50 $ 0.50 12,400 $ 310,000 $ 10,293 $ 299,707 (1) Par value is $0.01 per share.
Summary of Activities under ATM Equity Offering Program	Following is a summary of the activities under the ATM equity offering program: Quarter ended Number of common shares Average price per share Gross proceeds Net proceeds (Amounts in thousands, except average price per share) March 31, 2020 241 $ 23.46 $ 5,654 $ 5,597
Summary of Share Repurchase Activity	The following table summarizes the Company’s share repurchase activity: Quarter ended March 31, Cumulative 2020 2019 total (1) (in thousands) Common shares repurchased 783 — 15,514 Cost of common shares repurchased $ 5,783 $ — $ 222,408 (2) Amounts represent the share repurchase program total from its inception in August 2015 through March 31, 2020.

Net (Loss) Gain on Investments

Net (Loss) Gain on Investments (Tables)	3 Months Ended
	Mar. 31, 2020
Investments Debt And Equity Securities [Abstract]
Summary of Net (Loss) Gain on Investments	Net (loss) gain on investments is summarized below: Quarter ended March 31, 2020 2019 (in thousands) From nonaffiliates: Mortgage-backed securities $ 115,967 $ 36,922 Loans at fair value: Held in a VIE (2,869 ) 3,585 Distressed (1,142 ) 485 CRT arrangements (487,292 ) 30,950 Firm commitment to purchase CRT securities (492,513 ) 22,190 Asset-backed financing of a VIE at fair value 1,928 (2,857 ) Hedging derivatives 64,931 7,380 (800,990 ) 98,655 From PFSI—ESS (14,141 ) (3,562 ) $ (815,131 ) $ 95,093

Net Loan Servicing Fees (Tables

Net Loan Servicing Fees (Tables)	3 Months Ended
	Mar. 31, 2020
Mortgage Loan Servicing Fees [Abstract]
Summary of Net Loan Servicing Fees	Net loan servicing fees are summarized below: Quarter ended March 31, 2020 2019 (in thousands) From nonaffiliates: Contractually specified (1) $ 94,469 $ 61,272 Other 7,191 3,208 Effect of MSRs fair value changes: Realization of cashflows and amortization (63,955 ) (40,821 ) Market changes (563,246 ) (96,508 ) (627,201 ) (137,329 ) Gains on hedging derivatives 767,186 41,135 139,985 (96,194 ) Net servicing fees from non-affiliates 241,645 (31,714 ) From PFSI—MSR recapture income 2,927 634 Net loan servicing fees $ 244,572 $ (31,080 ) Average servicing portfolio UPB $ 136,687,324 $ 95,844,879 (1) Consists of contractually specified servicing fees, net of Agency guarantee fees.

Net Gain on Loans Acquired fo_2

Net Gain on Loans Acquired for Sale (Tables)	3 Months Ended
	Mar. 31, 2020
Text Block [Abstract]
Schedule of Net Gain on Loans Acquired for Sale	Net gain on loans acquired for sale is summarized below: Quarter ended March 31, 2020 2019 (in thousands) From nonaffiliates: Cash loss: Loans $ (68,954 ) $ (101,721 ) Hedging activities (23,378 ) (14,315 ) (92,332 ) (116,036 ) Non-cash gain: Recognition of fair value of firm commitment to purchase CRT securities (26,649 ) 19,600 Receipt of MSRs in mortgage loan sale transactions 248,822 131,868 Provision for losses relating to representations and warranties provided in mortgage loan sales: Pursuant to loans sales (1,030 ) (720 ) Reduction in liability due to change in estimate 1,344 528 314 (192 ) Change in fair value of loans and derivatives held at end of quarter: IRLCs 68,231 (1,531 ) Loans (36,782 ) 5,650 Hedging derivatives (116,990 ) (20,030 ) (85,541 ) (15,911 ) 136,946 135,365 Total from nonaffiliates 44,614 19,329 From PFSI—cash gain 4,161 1,994 $ 48,775 $ 21,323

Net Interest Income (Tables)

Net Interest Income (Tables)	3 Months Ended
	Mar. 31, 2020
Banking And Thrift Interest [Abstract]
Summary of Net Interest Income	Net interest income is summarized below: Quarter ended March 31, 2020 2019 (in thousands) Interest income: From nonaffiliates: Cash and short-term investments $ 1,627 $ 670 Mortgage-backed securities 15,568 19,452 Loans acquired for sale at fair value 31,523 20,438 Loans at fair value: Held in a VIE 2,641 2,924 Distressed 59 1,248 Deposits securing CRT arrangements 6,099 6,775 Placement fees relating to custodial funds 12,398 8,266 Other 234 242 70,149 60,015 From PFSI—ESS 1,974 3,066 72,123 63,081 Interest expense: To nonaffiliates: Assets sold under agreements to repurchase (1) 37,750 36,851 Mortgage loan participation purchase and sale agreements 338 574 Notes payable secured by credit risk transfer and mortgage servicing assets 19,618 5,823 Exchangeable Notes 7,266 3,661 Asset-backed financings of a VIE at fair value 4,527 3,268 Interest shortfall on repayments of loans serviced for Agency securitizations 9,439 2,271 Interest on loan impound deposits 912 495 79,850 52,943 To PFSI—Assets sold under agreement to repurchase 1,218 1,796 81,068 54,739 Net interest income $ (8,945 ) $ 8,342 (1) In 2017, the Company entered into a master repurchase agreement that provided the Company with incentives to finance loans approved for satisfying certain consumer relief characteristics as provided in the agreement. During the quarter ended March 31, 2019, the Company recognized $7.5 million in such incentives as reductions of Interest expense

Share-Based Compensation Plans

Share-Based Compensation Plans (Tables)	3 Months Ended
	Mar. 31, 2020
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, 2020 2019 (in thousands) Grants: Restricted share units 92 96 Performance share units 112 79 Total share units granted 204 175 Grant date fair value: Restricted share units $ 1,978 $ 1,978 Performance share units 2,428 1,631 Total grant date value of share units $ 4,406 $ 3,609 Vestings: Restricted share units 123 226 Performance share units (1) 143 141 Total share units vested 266 367 Compensation expense relating to share-based grants $ 186 $ 1,617 (1) The actual number of performance-based RSUs vested during the quarter ended March 31, 2020 was 196,000 common shares, which is approximately 137% of the 143,000 originally granted performance-based RSUs, due to the Company exceeding the established performance targets.
Summary of Restricted Share Units and Performance Share Units Expected to Vest	March 31, 2020 Restricted share units Performance share units Shares expected to vest: Number of units (in thousands) 198 204 Grant date average fair value per unit $ 20.48 $ 19.71 Average remaining vesting period (months) 9 9

Other Expenses (Tables)

Other Expenses (Tables)	3 Months Ended
	Mar. 31, 2020
Other Income And Expenses [Abstract]
Summary of Other Expenses	Other expenses are summarized below: Quarter ended March 31, 2020 2019 (in thousands) Common overhead allocation from PFSI $ 1,540 $ 1,236 Bank service charges 541 568 Technology 429 373 Insurance 339 280 Other 871 1,009 $ 3,720 $ 3,466

Earnings Per Share (Tables)

Earnings Per Share (Tables)	3 Months Ended
	Mar. 31, 2020
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, 2020 2019 (in thousands except per share amounts) Net (loss) income $ (594,673 ) $ 53,527 Income attributable to preferred shares (6,234 ) (6,234 ) Effect of participating securities—share-based compensation awards (50 ) (184 ) Net (loss) income attributable to common shareholders (600,957 ) 47,109 Interest on Exchangeable Notes, net of income taxes (1) — 2,709 Income attributable to participating securities — 184 Diluted net (loss) income attributable to common shareholders $ (600,957 ) $ 50,002 Weighted average basic shares outstanding 100,245 64,629 Dilutive securities: Shares issuable under share-based compensation plan — 275 Shares issuable pursuant to exchange of the Exchangeable Notes (1) — 8,467 Diluted weighted average number of shares outstanding 100,245 73,371 Basic (loss) earnings per share $ (5.99 ) $ 0.73 Diluted (loss) earnings per share $ (5.99 ) $ 0.68 (1) During 2019, the Company issued the 2024 Notes. The 2024 Notes include a cash conversion option. The Company intends to cash settle the 2024 Notes. Therefore, the effect of conversion of the 2024 Notes is excluded from diluted (loss) earnings per share.
Summary of Potentially Dilutive Shares Excluded from Computation of Diluted Earnings Per Share	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, 2020 2019 (in thousands) Shares issuable under share-based compensation plan 135 209 Shares issuable pursuant to exchange of the Exchangeable Notes 8,467 —

Segments (Tables)

Segments (Tables)	3 Months Ended
	Mar. 31, 2020
Segment Reporting [Abstract]
Financial Highlights by Operating Segment	Financial highlights by operating segment are summarized below: Credit Interest rate sensitive sensitive Correspondent Quarter ended March 31, 2020 strategies strategies production Corporate Total (in thousands) Net investment (loss) income: Net (loss) gain on investments $ (919,109 ) $ 103,978 $ — $ — $ (815,131 ) Net loan servicing fees — 244,572 — — 244,572 Net gain on loans acquired for sale (1) (32,306 ) — 81,081 — 48,775 Net interest (expense) income: Interest income 6,556 33,241 31,407 919 72,123 Interest expense (14,566 ) (41,608 ) (24,309 ) (585 ) (81,068 ) (8,010 ) (8,367 ) 7,098 334 (8,945 ) Other 166 — 23,988 58 24,212 (959,259 ) 340,183 112,167 392 (506,517 ) Expenses: Loan fulfillment and servicing fees payable to PFSI 301 14,220 41,940 — 56,461 Management fees — — — 9,055 9,055 Other 911 1,182 4,918 5,381 12,392 1,212 15,402 46,858 14,436 77,908 Pretax (loss) income $ (960,471 ) $ 324,781 $ 65,309 $ (14,044 ) $ (584,425 ) Total assets at quarter end $ 1,947,153 $ 5,664,991 $ 3,068,163 $ 1,238,181 $ 11,918,488 (1) During the quarter ended March 31, 2019, the chief operating decision maker began attributing a portion of the initial fair value the Company recognizes relating to its firm commitment to purchase CRT securities upon the sale of loans to the correspondent production segment in recognition of pricing changes in the correspondent production segment. Accordingly, the Company allocated a gain of $5.7 million of the initial firm commitment recognized in Net gain on loans acquired for sale Credit Interest rate sensitive sensitive Correspondent Quarter ended March 31, 2019 strategies strategies production Corporate Total (in thousands) Net investment income: Net gain on investments $ 53,808 $ 41,285 $ — $ — $ 95,093 Net gain on loans acquired for sale (1) 11,097 — 10,226 — 21,323 Net loan servicing fees — (31,080 ) — — (31,080 ) Net interest income (expense): Interest income 8,256 34,079 20,316 430 63,081 Interest expense (12,022 ) (33,055 ) (9,662 ) — (54,739 ) (3,766 ) 1,024 10,654 430 8,342 Other (30 ) — 12,964 6 12,940 61,109 11,229 33,844 436 106,618 Expenses: Loan fulfillment and servicing fees payable to PFSI 465 10,106 27,573 — 38,144 Management fees — — — 7,248 7,248 Other 2,271 318 2,650 6,120 11,359 2,736 10,424 30,223 13,368 56,751 Pretax income (loss) $ 58,373 $ 805 $ 3,621 $ (12,932 ) $ 49,867 Total assets at quarter end $ 1,617,022 $ 4,326,579 $ 1,511,887 $ 100,499 $ 7,555,987 (1) During the quarter ended March 31, 2019, the chief operating decision maker began attributing a portion of the initial fair value the Company recognizes relating to its firm commitment to purchase CRT securities upon the sale of loans to the correspondent production segment in recognition of pricing changes in the correspondent production segment. Accordingly, the Company allocated $8.6 million of the initial firm commitment recognized in Net gain on loans acquired for sale

Supplemental Cash Flow Inform_2

Supplemental Cash Flow Information (Tables)	3 Months Ended
	Mar. 31, 2020
Supplemental Cash Flow Elements [Abstract]
Summary of Supplemental Cash Flow Information	Quarter ended March 31, 2020 2019 (in thousands) Payments: Interest $ 104,757 $ 67,466 Non-cash investing activities: Transfer of loans and advances to real estate acquired in settlement of loans $ 1,166 $ 4,550 Transfer from real estate held for investment to real estate acquired in settlement of loans $ — $ 424 Receipt of mortgage servicing rights as proceeds from sales of loans at fair value $ 248,822 $ 131,868 Receipt of excess servicing spread pursuant to recapture agreement with PennyMac Financial Services, Inc. $ 379 $ 508 Capitalization of servicing advances pursuant to mortgage loan modifications $ — $ 457 Non-cash financing activities: Dividends declared, not paid $ 25,009 $ 32,262

Regulatory Capital and Liquid_2

Regulatory Capital and Liquidity Requirements (Tables)	3 Months Ended
	Mar. 31, 2020
Mortgage Banking [Abstract]
Summary of Capital and Liquidity Amounts and Requirements by Agencies	The Agencies’ capital and liquidity amounts and requirements, the calculations of which are defined by each entity, are summarized below: Net Worth (1) Tangible Net Worth / Total Assets Ratio (1) Liquidity (1) Fannie Mae and Freddie Mac Actual Required Actual Required Actual Required (dollars in thousands) March 31, 2020 $ 945,251 $ 364,552 15 % 6 % $ 512,249 $ 48,739 December 31, 2019 $ 627,144 $ 341,009 8 % 6 % $ 128,806 $ 44,970 (1) Calculated in accordance with the Agencies’ requirements.

Organization - Additional Infor

Organization - Additional Information (Detail)	3 Months Ended
	Mar. 31, 2020Segment
Accounting Policies [Abstract]
Number of business segments	4
Percentage of taxable income for distributions	90.00%

Basis of Presentation and Rec_2

Basis of Presentation and Recently Issued Accounting Pronouncements - Additional Information (Detail) - USD ($)	Mar. 31, 2020	Mar. 31, 2019
Accounting Policies [Abstract]
Restricted cash	$ 0	$ 0

Transactions with Related Par_3

Transactions with Related Parties - Correspondent Production Activities - Additional Information (Detail) $ in Thousands	3 Months Ended
	Mar. 31, 2020USD ($)
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%
PennyMac Loan Services, LLC [Member]
Mortgage Loans On Real Estate [Line Items]
Servicing agreement expiration date	Sep. 12, 2020
Renewal period of servicing agreement	18 months
PennyMac Loan Services, LLC [Member] | Fannie Mae Or Freddie Mac Mortgage Loans | Maximum [Member]
Mortgage Loans On Real Estate [Line Items]
Basis point for monthly fulfillment fee	0.35%
PennyMac Loan Services, LLC [Member] | 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

Transactions with Related Par_4

Transactions with Related Parties - Summary of Correspondent Production Activity (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Related Party Transaction [Line Items]
Loan fulfillment fees earned by PLS	$ 41,940	$ 27,574
Purchases of loans acquired for sale from PLS	2,246,127	884,510
Loans included in Loans acquired for sale at fair value pending sale to PLS	2,856,042		$ 4,148,425
PennyMac Loan Services, LLC [Member]
Related Party Transaction [Line Items]
Loan fulfillment fees earned by PLS	41,940	27,574
UPB of loans fulfilled by PLS	16,152,543	8,135,552
Sourcing fees received from PLS included in Net gain on loans acquired for sale	4,161	1,994
UPB of loans sold to PLS	13,870,280	6,647,338
Purchases of loans acquired for sale from PLS	2,246,127	884,510
Tax service fees paid to PLS	3,980	$ 2,243
Loans included in Loans acquired for sale at fair value pending sale to PLS	$ 222,662		$ 490,383

Transactions with Related Par_5

Transactions with Related Parties - Prime Servicing - Additional Information (Detail) - PennyMac Loan Services, LLC [Member]	3 Months Ended
	Mar. 31, 2020USD ($)
Subserviced loan [Member] | Fixed-Rate Mortgage Loans [Member]
Mortgage Loans On Real Estate [Line Items]
Base servicing fees per month	$ 7.50
Subserviced loan [Member] | Adjustable rate mortgage loans [Member]
Mortgage Loans On Real Estate [Line Items]
Base servicing fees per month	8.50
Non-Distressed Mortgage Loans [Member]
Mortgage Loans On Real Estate [Line Items]
Base servicing fees for REO per month	75
Non-Distressed Mortgage Loans [Member] | Minimum [Member]
Mortgage Loans On Real Estate [Line Items]
Additional servicing fees per loan per month	10
Non-Distressed Mortgage Loans [Member] | Maximum [Member]
Mortgage Loans On Real Estate [Line Items]
Additional servicing fees per loan per month	$ 55

Transactions with Related Par_6

Transactions with Related Parties - Special Servicing - Additional Information (Detail) - PennyMac Loan Services, LLC [Member]	3 Months Ended
	Mar. 31, 2020USD ($)
Mortgage Loans On Real Estate [Line Items]
REO rental fee	$ 30
Lease renewal fee for REO	$ 100
Rental income percentage gross	9.00%
Servicing agreement expiration date	Sep. 12, 2020
Renewal period of servicing agreement	18 months
Distressed loans [Member]
Mortgage Loans On Real Estate [Line Items]
Base servicing fees for REO per month	$ 75
Supplemental fee received per month	25
Activity based fees	$ 500
Services agreement fees collection period	18 months
Distressed loans [Member] | Minimum [Member]
Mortgage Loans On Real Estate [Line Items]
Base servicing fees per month	$ 30
Activity based fees	750
Distressed loans [Member] | Maximum [Member]
Mortgage Loans On Real Estate [Line Items]
Base servicing fees per month	85
Activity based fees	$ 1,750

Transactions with Related Par_7

Transactions with Related Parties - MSR Recapture Agreement - Additional Information (Detail)	3 Months Ended
	Mar. 31, 2020
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%

Transactions with Related Par_8

Transactions with Related Parties - Summary of Loan Servicing Fees Earned and Mortgage Servicing Rights Recaptured Income Earned (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Related Party Transaction [Line Items]
Loan servicing fees	$ 14,521	$ 10,570
Average MSR portfolio UPB	136,687,324	95,844,879
PennyMac Loan Services, LLC [Member]
Related Party Transaction [Line Items]
Loan servicing fees	14,521	10,570
Average MSR portfolio UPB	136,687,324	95,953,915
From PennyMac Financial Services, Inc.	2,927	634
PennyMac Loan Services, LLC [Member] | Loans acquired for sale at fair value [Member]
Related Party Transaction [Line Items]
Loan servicing fees	536	239
Average MSR portfolio UPB	3,215,418	1,633,711
PennyMac Loan Services, LLC [Member] | Loans at fair value [Member]
Related Party Transaction [Line Items]
Loan servicing fees	300	463
PennyMac Loan Services, LLC [Member] | Distressed [Member]
Related Party Transaction [Line Items]
Average MSR portfolio UPB	11,249	112,923
PennyMac Loan Services, LLC [Member] | Held in a VIE [Member]
Related Party Transaction [Line Items]
Average MSR portfolio UPB	253,759	289,771
PennyMac Loan Services, LLC [Member] | Mortgage servicing rights [Member]
Related Party Transaction [Line Items]
Loan servicing fees	$ 13,685	$ 9,868

Transactions with Related Par_9

Transactions with Related Parties - Management Fees - Additional Information (Detail) - USD ($)	Feb. 01, 2019	Mar. 31, 2020	Aug. 04, 2009
Mortgage Loans On Real Estate [Line Items]
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 immediately preceding the date of termination.
Fannie Mae [Member]
Mortgage Loans On Real Estate [Line Items]
MBS yield, average number of year		30 years
PNMAC Capital Management LLC [Member]
Mortgage Loans On Real Estate [Line Items]
Percentage of change in net income due to quarterly adjustments		8.00%
Servicing agreement expiration date	Feb. 1, 2023	Sep. 12, 2020
Services agreement fees collection period		18 months
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 equal to the sum of: (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.

Transactions with Related Pa_10

Transactions with Related Parties - Summary of Management Fee Expense (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Related Party Transaction [Line Items]
Total management fee incurred during the period	$ 9,055	$ 7,248
PNMAC Capital Management LLC [Member]
Related Party Transaction [Line Items]
Total management fee incurred during the period	9,055	7,248
Average shareholders' equity amounts used to calculate management fee expense	2,466,740	1,651,648
PNMAC Capital Management LLC [Member] | Base [Member]
Related Party Transaction [Line Items]
Total management fee incurred during the period	9,055	6,109
PNMAC Capital Management LLC [Member] | Performance incentive [Member]
Related Party Transaction [Line Items]
Total management fee incurred during the period	$ 0	$ 1,139

Transactions with Related Pa_11

Transactions with Related Parties - Summary of Expenses (Detail) - PNMAC Capital Management LLC [Member] - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Related Party Transaction [Line Items]
Common overhead incurred by PCM and its affiliates	$ 1,540	$ 1,236
Compensation	120	120
Expenses incurred on the Company’s behalf, net	1,271	570
Total expenses incurred in transaction with affiliates	2,931	1,926
Payments and settlements during the quarter	$ 33,683	$ 15,189

Transactions with Related Pa_12

Transactions with Related Parties - Note Payable to PLS - Additional Information (Detail) - USD ($)	Feb. 01, 2019	Dec. 19, 2016	Mar. 31, 2020	Dec. 31, 2019	Aug. 04, 2009
Related Party Transaction [Line Items]
Recapture percentage loan fee rate and unpaid principal balance refinance loans		90.00%
Recapture percentage loan fee rate and unpaid principal balance modified 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
Servicing agreement expiration date	Feb. 1, 2023		Sep. 12, 2020
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

Transactions with Related Pa_13

Transactions with Related Parties - Summary of Investing Activity (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
ESS:
Repayments	$ 9,308	$ 10,552
Interest income	72,123	63,081
Net (loss) gain included in Net (loss) gain on investments:
Net (loss) gain on investments	(815,131)	95,093
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value	157,109		$ 178,586
PennyMac Financial Services, Inc. [Member]
ESS:
Received pursuant to a recapture agreement	379	508
Repayments	9,308	10,552
Interest income	1,974	3,066
Net (loss) gain included in Net (loss) gain on investments:
Valuation changes	(14,522)	(4,051)
Recapture income	381	489
Net (loss) gain on investments	(14,141)	$ (3,562)
Excess servicing spread purchased from PennyMac Financial Services, Inc. at fair value	$ 157,109		$ 178,586

Transactions with Related Pa_14

Transactions with Related Parties - Summary of Financing Activities (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Related Party Transaction [Line Items]
Interest expense	$ 81,068	$ 54,739
PennyMac Financial Services, Inc. [Member]
Related Party Transaction [Line Items]
Net repayments of assets sold under agreements to repurchase	7,746	5,096
Interest expense	1,218	1,796
Assets sold to PFSI under agreement to repurchase	99,766		$ 107,512
Conditional Reimbursement payable to PCM included in Due to PennyMac Financial Services, Inc.	10		$ 221
PNMAC Capital Management LLC [Member]
Related Party Transaction [Line Items]
Payment of conditional reimbursement to PCM	$ 211	$ 75

Transactions with Related Pa_15

Transactions with Related Parties - Summary of Amounts Receivable From and Payable to PFSI (Detail) - PennyMac Financial Services, Inc. [Member] - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Due from PFSI:
MSR recapture	$ 151	$ 149
Other	3,361	2,611
Due from Affiliates	3,512	2,760
Due to PFSI:
Fulfillment fees	17,366	18,285
Allocated expenses and expenses paid by PFSI on PMT’s behalf	16,314	3,724
Management fees	9,055	10,579
Correspondent production fees	8,475	10,606
Loan servicing fees	4,929	4,659
Interest on Assets sold to PFSI under agreement to repurchase	74	85
Conditional Reimbursement payable to PCM included in Due to PennyMac Financial Services, Inc.	10	221
Total expense due to affiliate	$ 56,223	$ 48,159

Transactions with Related Pa_16

Transactions with Related Parties - Summary of Transfer Cash to Fund Loan Servicing Advances (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019	Mar. 31, 2019	Dec. 31, 2018
Related Party Transaction [Line Items]
Loan servicing advances	$ 39,030	$ 48,971
Real estate acquired in settlement of loans	50,838	65,583	$ 72,175	$ 85,681
PennyMac Loan Services, LLC [Member]
Related Party Transaction [Line Items]
Loan servicing advances	39,030	48,971
Real estate acquired in settlement of loans	16,739	21,549
Servicing advances and real estate acquired	$ 55,769	$ 70,520

Loan Sales - Summary of Cash Fl

Loan Sales - Summary of Cash Flows between Company and Transferees in Transfers Accounted for Sales (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Cash flows:
Loan servicing fees received net of guarantee fees	$ 94,469	$ 61,272
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member]
Cash flows:
Proceeds from sales	19,718,151	9,475,174
Loan servicing fees received net of guarantee fees	$ 94,469	$ 61,272

Loan Sales - Summary of Collect

Loan Sales - Summary of Collection Status Information for Loans Accounted for Sales (Detail) - Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member] - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Mortgage Loans On Real Estate [Line Items]
UPB of loans outstanding	$ 141,439,454	$ 130,663,117
Collection Status (UPB)
30-89 days delinquent	1,175,506	1,014,094
90 or more days delinquent:
Not in foreclosure	286,162	258,036
In foreclosure	50,856	53,697
Bankruptcy	142,019	130,936
Custodial funds managed by the Company	$ 3,935,103	$ 2,529,984

Variable Interest Entities - Ad

Variable Interest Entities - Additional Information (Detail) - USD ($) $ in Millions	Sep. 30, 2013	Mar. 31, 2020
Jumbo Mortgage Loan Financing [Member] | Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member]
Mortgage Loans on Real Estate [Line Items]
Certificates issued	$ 537
Weighted yield	3.90%
Credit Risk Transfer Agreements [Member] | Minimum [Member]
Mortgage Loans on Real Estate [Line Items]
Initially established percentage of unpaid principal balance of loans sold under recourse obligation losses		3.50%
Increase to maximum percentage of outstanding unpaid principal balance		4.50%
Credit Risk Transfer Agreements [Member] | Maximum [Member]
Mortgage Loans on Real Estate [Line Items]
Initially established percentage of unpaid principal balance of loans sold under recourse obligation losses		4.00%
Increase to maximum percentage of outstanding unpaid principal balance		5.00%

Variable Interest Entities - Su

Variable Interest Entities - Summary of Credit Risk Transfer Agreements (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
CRT derivatives
Net investment (loss) income	$ (506,517)	$ 106,618
Carrying value of CRT arrangements:
Derivative and credit risk transfer strip assets	173,310		$ 202,318
CRT strips	174,945		0
Interest-only security payable at fair value	14,134		25,709
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 loans sold	14,683,055	7,702,080
Investments:
Change in expected face amount of firm commitment to purchase CRT securities and commitments to fund Deposits securing CRT arrangements resulting from sales of loans	554,690	281,917
CRT strips
Realized	14,750
Valuation changes	(229,875)
Credit risk transfer strips	(215,125)
CRT derivatives
Realized	17,201	21,043
Valuation changes	(300,943)	6,460
Gains (losses) recognized on gross derivative related to credit risk transactions	(283,742)	27,503
Interest-only security payable at fair value	11,575	3,447
Gains (losses) recognized on gross derivative related to credit risk transactions	(487,292)	30,950
Firm commitments to purchase CRT securities	(492,513)	22,190
Gains (losses) recognized on CRT agreements upon firm commitments to purchase CRT securities	(979,805)	53,140
Net gain on loans acquired for sale — Fair value of firm commitment to purchase CRT securities recognized upon sale of loans	(26,649)	19,600
Interest income — Deposits securing CRT arrangements	6,099	6,775
Net investment (loss) income	(1,000,355)	79,515
Payments made to settle losses on credit risk transfer arrangements	1,517	$ 895
Carrying value of CRT arrangements:
CRT strips	0		54,930
CRT derivatives	0		115,863
Derivative and credit risk transfer strip assets	0		170,793
CRT strips	174,945		0
CRT derivatives	185,933		0
Derivative and credit risk transfer strip liabilities	360,878		0
Firm commitment to purchase credit risk transfer securities at fair value	(409,649)		109,513
Deposits securing CRT arrangements	1,855,936		1,969,784
Interest-only security payable at fair value	14,134		25,709
Derivative and credit risk transfer strip assets	0		142,183
Derivative and credit risk transfer strip assets pledged to secure	1,855,936		1,969,784
Face amount of firm commitment to purchase CRT securities	2,056,893		1,502,203
UPB of loans — funded credit risk transfer arrangements	38,208,418		41,944,117
Collection status (UPB):
Current	37,579,314		41,355,622
30-89 days delinquent	496,043		463,331
90-180 days delinquent	110,775		106,234
180 or more days delinquent	14,520		8,802
Foreclosure	7,766		10,128
Bankruptcy	60,439		55,452
UPB of loans — firm commitment to purchase CRT securities	51,422,319		38,738,396
Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member] | Credit Risk Transfer Agreements [Member] | Purchase Commitment [Member]
Collection status (UPB):
Current	51,162,276		38,581,080
30-89 days delinquent	244,601		146,256
90-180 days delinquent	9,056		9,109
180 or more days delinquent	2,469		0
Foreclosure	3,917		1,951
Bankruptcy	$ 8,267		$ 2,980

Variable Interest Entities - _2

Variable Interest Entities - Summary of Credit Risk Transfer Agreements (Parenthetical) (Detail) $ in Millions	Mar. 31, 2020USD ($)
Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member]
Transfer Of Financial Assets Accounted For As Sales [Line Items]
Deposits securing CRT strips and derivatives liabilities	$ 360.9

Variable Interest Entities - _3

Variable Interest Entities - Summary of Jumbo Mortgage Loan Financing (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Mortgage Loans on Real Estate [Line Items]
Interest income	$ 72,123	$ 63,081
Interest expense	81,068	54,739
Loans at fair value	251,423		$ 270,793
Asset-backed financing of a variable interest entity at fair value	232,565		243,360
Jumbo Mortgage Loan Financing [Member] | Variable Interest Entity, Primary Beneficiary, Aggregated Disclosure [Member]
Mortgage Loans on Real Estate [Line Items]
Interest income	2,641	2,924
Interest expense	4,527	$ 3,268
Loans at fair value	242,301		256,367
Asset-backed financing of a variable interest entity at fair value	232,565		243,360
Certificates retained at fair value	$ 9,736		$ 13,007

Fair Value - Summary of Financi

Fair Value - Summary of Financial Statement Items Measured at Fair Value on Recurring Basis (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019	Mar. 31, 2019	Dec. 31, 2018
Assets:
Short-term investments	$ 137,960	$ 90,836
Mortgage-backed securities at fair value pledged to creditors	3,947,420	2,839,633
Loans acquired for sale at fair value	2,856,042	4,148,425
Excess servicing spread purchased from PFSI	157,109	178,586
Derivative and credit risk transfer strip assets:
Derivative assets	425,210	153,666
Derivative assets, Netting	(251,900)	(6,278)
Total derivative and credit risk transfer strip assets after netting	173,310	147,388
Firm commitment to purchase credit risk transfer securities at fair value	0	109,513
Mortgage servicing rights at fair value	1,157,326	1,535,705	$ 1,156,908	$ 1,162,369
Firm commitment to purchase credit risk transfer securities at fair value	0	109,513
Liabilities:
Asset-backed financing of a VIE at fair value	232,565	243,360
Interest-only security payable at fair value	14,134	25,709
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	334,410	19,816
Derivative liabilities, Netting	(46,716)	(13,393)
Total derivative liabilities after netting	287,694	6,423
Firm commitment to purchase credit risk transfer securities at fair value	409,649	0
CRT Derivatives [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	0	115,863
Derivative assets, Netting	0	0
Total derivative and credit risk transfer strip assets after netting	0	115,863
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	185,933	0
Interest Rate Lock Commitments [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	79,514	11,726
Total derivative and credit risk transfer strip assets after netting	79,514	11,726
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	130	572
Forward Purchase Contracts [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	247,814	7,525
Derivative assets, Netting	0	0
Total derivative and credit risk transfer strip assets after netting	247,814	7,525
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	2,091	3,600
Derivative liabilities, Netting	0	0
Forward Sales Contracts [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	7,193	637
Derivative assets, Netting	0	0
Total derivative and credit risk transfer strip assets after netting	7,193	637
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	146,256	15,644
Derivative liabilities, Netting	0	0
MBS Put Options [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	2,924	1,625
Derivative assets, Netting	0	0
Total derivative and credit risk transfer strip assets after netting	2,924	1,625
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	0	0
Call Options on Interest Rate Futures [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	29,121	3,809
Derivative assets, Netting	0	0
Total derivative and credit risk transfer strip assets after netting	29,121	3,809
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	0	0
Put Options on Interest Rate Futures [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	14,691	2,859
Derivative assets, Netting	0	0
Total derivative and credit risk transfer strip assets after netting	14,691	2,859
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	0	0
Swap Futures [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	38,678	4,347
Derivative assets, Netting	0	0
Total derivative and credit risk transfer strip assets after netting	38,678	4,347
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	0	0
Repurchase Agreement Derivatives [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	5,275	5,275
Derivative assets, Netting	0	0
Total derivative and credit risk transfer strip assets after netting	5,275	5,275
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	0	0
Recurring [Member]
Assets:
Short-term investments	137,960	90,836
Mortgage-backed securities at fair value pledged to creditors	3,947,420	2,839,633
Loans acquired for sale at fair value	2,856,042	4,148,425
Loans at fair value	251,423	270,793
Excess servicing spread purchased from PFSI	157,109	178,586
Derivative and credit risk transfer strip assets:
Derivative assets	425,210	208,596
Derivative assets, Netting	(251,900)	(6,278)
Total derivative and credit risk transfer strip assets after netting	173,310	202,318
Firm commitment to purchase credit risk transfer securities at fair value		109,513
Mortgage servicing rights at fair value	1,157,326	1,535,705
Total Assets	8,680,590	9,375,809
Firm commitment to purchase credit risk transfer securities at fair value		109,513
Liabilities:
Asset-backed financing of a VIE at fair value	232,565	243,360
Interest-only security payable at fair value	14,134	25,709
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	509,355	19,816
Derivative liabilities, Netting	(46,716)	(13,393)
Total derivative liabilities after netting	462,639	6,423
Firm commitment to purchase credit risk transfer securities at fair value	409,649
Total liabilities	1,118,987	275,492
Recurring [Member] | Credit Risk Transfer Strips [Member]
Derivative and credit risk transfer strip assets:
Derivative assets		54,930
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	174,945
Recurring [Member] | CRT Derivatives [Member]
Derivative and credit risk transfer strip assets:
Derivative assets		115,863
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	185,933
Recurring [Member] | Interest Rate Lock Commitments [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	79,514	11,726
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	130	572
Recurring [Member] | Forward Purchase Contracts [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	247,814	7,525
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	2,091	3,600
Recurring [Member] | Forward Sales Contracts [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	7,193	637
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	146,256	15,644
Recurring [Member] | Level 1 [Member]
Assets:
Short-term investments	137,960	90,836
Mortgage-backed securities at fair value pledged to creditors	0	0
Loans acquired for sale at fair value	0	0
Loans at fair value	0	0
Excess servicing spread purchased from PFSI	0	0
Derivative and credit risk transfer strip assets:
Derivative assets	43,812	6,668
Derivative assets, Netting	0	0
Total derivative and credit risk transfer strip assets after netting	43,812	6,668
Firm commitment to purchase credit risk transfer securities at fair value		0
Mortgage servicing rights at fair value	0	0
Total Assets	181,772	97,504
Firm commitment to purchase credit risk transfer securities at fair value		0
Liabilities:
Asset-backed financing of a VIE at fair value	0	0
Interest-only security payable at fair value	0	0
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	0	0
Derivative liabilities, Netting	0	0
Total derivative liabilities after netting	0	0
Firm commitment to purchase credit risk transfer securities at fair value	0
Total liabilities	0	0
Recurring [Member] | Level 1 [Member] | Credit Risk Transfer Strips [Member]
Derivative and credit risk transfer strip assets:
Derivative assets		0
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	0
Recurring [Member] | Level 1 [Member] | CRT Derivatives [Member]
Derivative and credit risk transfer strip assets:
Derivative assets		0
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	0
Recurring [Member] | Level 1 [Member] | Interest Rate Lock Commitments [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	0	0
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	0	0
Recurring [Member] | Level 1 [Member] | Forward Purchase Contracts [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	0	0
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	0	0
Recurring [Member] | Level 1 [Member] | Forward Sales Contracts [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	0	0
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	0	0
Recurring [Member] | Level 2 [Member]
Assets:
Short-term investments	0	0
Mortgage-backed securities at fair value pledged to creditors	3,947,420	2,839,633
Loans acquired for sale at fair value	2,833,501	4,129,858
Loans at fair value	242,301	256,367
Excess servicing spread purchased from PFSI	0	0
Derivative and credit risk transfer strip assets:
Derivative assets	296,609	14,134
Derivative assets, Netting	0	0
Total derivative and credit risk transfer strip assets after netting	296,609	14,134
Firm commitment to purchase credit risk transfer securities at fair value		0
Mortgage servicing rights at fair value	0	0
Total Assets	7,319,831	7,239,992
Firm commitment to purchase credit risk transfer securities at fair value		0
Liabilities:
Asset-backed financing of a VIE at fair value	232,565	243,360
Interest-only security payable at fair value	0	0
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	148,347	19,244
Derivative liabilities, Netting	0	0
Total derivative liabilities after netting	148,347	19,244
Firm commitment to purchase credit risk transfer securities at fair value	0
Total liabilities	380,912	262,604
Recurring [Member] | Level 2 [Member] | Credit Risk Transfer Strips [Member]
Derivative and credit risk transfer strip assets:
Derivative assets		0
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	0
Recurring [Member] | Level 2 [Member] | CRT Derivatives [Member]
Derivative and credit risk transfer strip assets:
Derivative assets		0
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	0
Recurring [Member] | Level 2 [Member] | Interest Rate Lock Commitments [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	0	0
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	0	0
Recurring [Member] | Level 2 [Member] | Forward Purchase Contracts [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	247,814	7,525
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	2,091	3,600
Recurring [Member] | Level 2 [Member] | Forward Sales Contracts [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	7,193	637
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	146,256	15,644
Recurring [Member] | Level 3 [Member]
Assets:
Short-term investments	0	0
Mortgage-backed securities at fair value pledged to creditors	0	0
Loans acquired for sale at fair value	22,541	18,567
Loans at fair value	9,122	14,426
Excess servicing spread purchased from PFSI	157,109	178,586
Derivative and credit risk transfer strip assets:
Derivative assets	84,789	187,794
Derivative assets, Netting	0	0
Total derivative and credit risk transfer strip assets after netting	84,789	187,794
Firm commitment to purchase credit risk transfer securities at fair value		109,513
Mortgage servicing rights at fair value	1,157,326	1,535,705
Total Assets	1,430,887	2,044,591
Firm commitment to purchase credit risk transfer securities at fair value		109,513
Liabilities:
Asset-backed financing of a VIE at fair value	0	0
Interest-only security payable at fair value	14,134	25,709
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	361,008	572
Derivative liabilities, Netting	0	0
Total derivative liabilities after netting	361,008	572
Firm commitment to purchase credit risk transfer securities at fair value	409,649
Total liabilities	784,791	26,281
Recurring [Member] | Level 3 [Member] | Credit Risk Transfer Strips [Member]
Derivative and credit risk transfer strip assets:
Derivative assets		54,930
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	174,945
Recurring [Member] | Level 3 [Member] | CRT Derivatives [Member]
Derivative and credit risk transfer strip assets:
Derivative assets		115,863
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	185,933
Recurring [Member] | Level 3 [Member] | Interest Rate Lock Commitments [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	79,514	11,726
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	130	572
Recurring [Member] | Level 3 [Member] | Forward Purchase Contracts [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	0	0
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	0	0
Recurring [Member] | Level 3 [Member] | Forward Sales Contracts [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	0	0
Derivative and credit risk transfer strip liabilities:
Derivative liabilities	0	0
Recurring [Member] | MBS Put Options [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	2,924	1,625
Recurring [Member] | MBS Put Options [Member] | Level 1 [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	0	0
Recurring [Member] | MBS Put Options [Member] | Level 2 [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	2,924	1,625
Recurring [Member] | MBS Put Options [Member] | Level 3 [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	0	0
Recurring [Member] | Call Options on Interest Rate Futures [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	29,121	3,809
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 1 [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	29,121	3,809
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 2 [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	0	0
Recurring [Member] | Call Options on Interest Rate Futures [Member] | Level 3 [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	0	0
Recurring [Member] | Put Options on Interest Rate Futures [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	14,691	2,859
Recurring [Member] | Put Options on Interest Rate Futures [Member] | Level 1 [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	14,691	2,859
Recurring [Member] | Put Options on Interest Rate Futures [Member] | Level 2 [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	0	0
Recurring [Member] | Put Options on Interest Rate Futures [Member] | Level 3 [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	0	0
Recurring [Member] | Swap Futures [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	38,678	4,347
Recurring [Member] | Swap Futures [Member] | Level 1 [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	0	0
Recurring [Member] | Swap Futures [Member] | Level 2 [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	38,678	4,347
Recurring [Member] | Swap Futures [Member] | Level 3 [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	0	0
Recurring [Member] | Repurchase Agreement Derivatives [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	5,275	5,275
Recurring [Member] | Repurchase Agreement Derivatives [Member] | Level 1 [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	0	0
Recurring [Member] | Repurchase Agreement Derivatives [Member] | Level 2 [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	0	0
Recurring [Member] | Repurchase Agreement Derivatives [Member] | Level 3 [Member]
Derivative and credit risk transfer strip assets:
Derivative assets	$ 5,275	$ 5,275

Fair Value - Summary of Changes

Fair Value - Summary of Changes in Items Measured Using Level 3 Inputs on Recurring Basis (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Assets:
Amounts received as proceeds from sales of loans	$ 248,822	$ 131,868
Transfers:
Loans to REO	(1,166)	(4,550)
Interest Rate Lock Commitments [Member]
Assets:
Beginning balance	11,154
Transfers:
Ending balance	79,384
Firm commitment to purchase CRT securities [Member]
Assets:
Beginning balance	109,513
Changes in fair value included in results of operations arising from:
Ending balance	409,649
Recurring [Member]
Assets:
Beginning balance	2,044,019	1,702,165
Purchases and issuances	102,268	15,292
Repayments and sales	(54,004)	(42,918)
Capitalization of interest and fees	1,974	3,828
ESS received pursuant to a recapture agreement with PFSI	379	508
Amounts received as proceeds from sales of loans	222,173	151,468
Capitalization of advances		457
Changes in fair value included in results of operations arising from:
Changes in instrument-specific credit risk	0	1,059
Other factors	(1,530,360)	(66,973)
Total	(1,530,360)	(65,914)
Transfers:
Loans to REO	(885)	(7,792)
Loans acquired for sale at fair value from "Level 2" to "Level 3"		790
Interest rate lock commitments to loans acquired for sale	(125,334)	(30,033)
Ending balance	660,230	1,727,851
Changes in fair value recognized during the quarter relating to assets	(1,586,352)	(101,998)
Recurring [Member] | CRT Strips [Member]
Assets:
Beginning balance	54,930
Purchases and issuances	0
Repayments and sales	(14,750)
Capitalization of interest and fees	0
ESS received pursuant to a recapture agreement with PFSI	0
Amounts received as proceeds from sales of loans	0
Changes in fair value included in results of operations arising from:
Changes in instrument-specific credit risk	0
Other factors	(215,125)
Total	(215,125)
Transfers:
Loans to REO	0
Interest rate lock commitments to loans acquired for sale	0
Ending balance	(174,945)
Changes in fair value recognized during the quarter relating to assets	(229,875)
Recurring [Member] | CRT Derivatives [Member]
Assets:
Beginning balance	115,863	123,987
Purchases and issuances	0	0
Repayments and sales	(18,054)	(21,043)
Capitalization of interest and fees	0	0
ESS received pursuant to a recapture agreement with PFSI	0	0
Amounts received as proceeds from sales of loans	0	0
Capitalization of advances		0
Changes in fair value included in results of operations arising from:
Changes in instrument-specific credit risk	0	0
Other factors	(283,742)	27,503
Total	(283,742)	27,503
Transfers:
Loans to REO	0	0
Loans acquired for sale at fair value from "Level 2" to "Level 3"		0
Interest rate lock commitments to loans acquired for sale	0	0
Ending balance	(185,933)	130,447
Changes in fair value recognized during the quarter relating to assets	(300,944)	6,460
Recurring [Member] | Loans acquired for sale [Member]
Assets:
Beginning balance	18,567	17,474
Purchases and issuances	11,291	3,331
Repayments and sales	(7,557)	(3,222)
Capitalization of interest and fees	0	0
ESS received pursuant to a recapture agreement with PFSI	0	0
Amounts received as proceeds from sales of loans	0	0
Capitalization of advances		0
Changes in fair value included in results of operations arising from:
Changes in instrument-specific credit risk	0	0
Other factors	240	(12)
Total	240	(12)
Transfers:
Loans to REO	0	0
Loans acquired for sale at fair value from "Level 2" to "Level 3"		790
Interest rate lock commitments to loans acquired for sale	0	0
Ending balance	22,541	18,361
Changes in fair value recognized during the quarter relating to assets	160	(54)
Recurring [Member] | Interest Rate Lock Commitments [Member]
Assets:
Beginning balance	11,154	11,988
Purchases and issuances	89,919	2,971
Repayments and sales	0	0
Capitalization of interest and fees	0	0
ESS received pursuant to a recapture agreement with PFSI	0	0
Amounts received as proceeds from sales of loans	0	0
Capitalization of advances		0
Changes in fair value included in results of operations arising from:
Changes in instrument-specific credit risk	0	0
Other factors	103,645	25,531
Total	103,645	25,531
Transfers:
Loans to REO	0	0
Loans acquired for sale at fair value from "Level 2" to "Level 3"		0
Interest rate lock commitments to loans acquired for sale	(125,334)	(30,033)
Ending balance	79,384	10,457
Changes in fair value recognized during the quarter relating to assets	79,384	10,457
Recurring [Member] | Interest-only security payable [Member]
Changes in fair value included in results of operations arising from:
Changes in instrument-specific credit risk\Other factors	(11,575)	(3,447)
Ending balance	14,134	32,564
Changes in fair value recognized during the quarter relating to liability	(11,575)	(3,447)
Liabilities:
Beginning balance	25,709	36,011
Beginning balance	25,709	36,011
Recurring [Member] | Interest-only security payable [Member] | Credit Risk [Member]
Changes in fair value included in results of operations arising from:
Changes in instrument-specific credit risk\Other factors	0	0
Recurring [Member] | Interest-only security payable [Member] | Other Factors [Member]
Changes in fair value included in results of operations arising from:
Changes in instrument-specific credit risk\Other factors	(11,575)	(3,447)
Recurring [Member] | Loans at fair value [Member]
Assets:
Beginning balance	14,426	117,732
Purchases and issuances	1,058	1,077
Repayments and sales	(4,335)	(3,609)
Capitalization of interest and fees	0	762
ESS received pursuant to a recapture agreement with PFSI	0	0
Amounts received as proceeds from sales of loans	0	0
Capitalization of advances		457
Changes in fair value included in results of operations arising from:
Changes in instrument-specific credit risk	0	1,059
Other factors	(1,142)	(574)
Total	(1,142)	485
Transfers:
Loans to REO	(885)	(7,792)
Loans acquired for sale at fair value from "Level 2" to "Level 3"		0
Interest rate lock commitments to loans acquired for sale	0	0
Ending balance	9,122	109,112
Changes in fair value recognized during the quarter relating to assets	(841)	329
Recurring [Member] | Excess servicing spread [Member]
Assets:
Beginning balance	178,586	216,110
Purchases and issuances	0	0
Repayments and sales	(9,308)	(10,552)
Capitalization of interest and fees	1,974	3,066
ESS received pursuant to a recapture agreement with PFSI	379	508
Amounts received as proceeds from sales of loans	0	0
Capitalization of advances		0
Changes in fair value included in results of operations arising from:
Changes in instrument-specific credit risk	0	0
Other factors	(14,522)	(4,051)
Total	(14,522)	(4,051)
Transfers:
Loans to REO	0	0
Loans acquired for sale at fair value from "Level 2" to "Level 3"		0
Interest rate lock commitments to loans acquired for sale	0	0
Ending balance	157,109	205,081
Changes in fair value recognized during the quarter relating to assets	(14,522)	(4,051)
Recurring [Member] | Firm commitment to purchase CRT securities [Member]
Assets:
Beginning balance	109,513	37,994
Purchases and issuances	0	0
Repayments and sales	0	0
Capitalization of interest and fees	0	0
ESS received pursuant to a recapture agreement with PFSI	0	0
Amounts received as proceeds from sales of loans	(26,649)	19,600
Capitalization of advances		0
Changes in fair value included in results of operations arising from:
Changes in instrument-specific credit risk	0	0
Other factors	(492,513)	22,190
Total	(492,513)	22,190
Transfers:
Loans to REO	0	0
Loans acquired for sale at fair value from "Level 2" to "Level 3"		0
Interest rate lock commitments to loans acquired for sale	0	0
Ending balance	(409,649)	79,784
Changes in fair value recognized during the quarter relating to assets	(492,513)	22,190
Recurring [Member] | Mortgage servicing rights [Member]
Assets:
Beginning balance	1,535,705	1,162,369
Purchases and issuances	0	0
Repayments and sales	0	0
Capitalization of interest and fees	0	0
ESS received pursuant to a recapture agreement with PFSI	0	0
Amounts received as proceeds from sales of loans	248,822	131,868
Capitalization of advances		0
Changes in fair value included in results of operations arising from:
Changes in instrument-specific credit risk	0	0
Other factors	(627,201)	(137,329)
Total	(627,201)	(137,329)
Transfers:
Loans to REO	0	0
Loans acquired for sale at fair value from "Level 2" to "Level 3"		0
Interest rate lock commitments to loans acquired for sale	0	0
Ending balance	1,157,326	1,156,908
Changes in fair value recognized during the quarter relating to assets	(627,201)	(137,329)
Recurring [Member] | Repurchase Agreement Derivatives [Member]
Assets:
Beginning balance	5,275	14,511
Purchases and issuances	0	7,913
Repayments and sales	0	(4,492)
Capitalization of interest and fees	0	0
ESS received pursuant to a recapture agreement with PFSI	0	0
Amounts received as proceeds from sales of loans	0	0
Capitalization of advances		0
Changes in fair value included in results of operations arising from:
Changes in instrument-specific credit risk	0	0
Other factors	0	(231)
Total	0	(231)
Transfers:
Loans to REO	0	0
Loans acquired for sale at fair value from "Level 2" to "Level 3"		0
Interest rate lock commitments to loans acquired for sale	0	0
Ending balance	5,275	17,701
Changes in fair value recognized during the quarter relating to assets	$ 0	$ 0

Fair Value - Fair Values and Re

Fair Value - Fair Values and Related Principal Amounts Due upon Maturity of Loans Accounted for Under Fair Value Option (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Loans, fair value [Abstract]
Fair value	$ 251,423	$ 270,793
Fair value, Total	251,423	270,793
Loans, principal amount due upon maturity [Abstract]
Principal amount due upon maturity	264,248	287,288
Principal amount due upon maturity	264,248	286,479
Loans, difference, [Abstract]
Difference	(12,825)	(16,495)
Loans acquired for sale at fair value [Member]
Loans, fair value [Abstract]
Current through 89 days delinquent:	2,855,085	4,147,374
90 or more days delinquent, not in foreclosure	126	572
90 or more days delinquent, in foreclosure	831	479
Fair value	957	1,051
Fair value, Total	2,856,042	4,148,425
Loans, principal amount due upon maturity [Abstract]
Current through 89 days delinquent:	2,714,821	4,010,444
90 or more days delinquent, not in foreclosure	163	615
90 or more days delinquent, in foreclosure	1,003	566
Principal amount due upon maturity	2,715,987	4,011,625
Loans, difference, [Abstract]
Current through 89 days delinquent:	140,264	136,930
90 or more days delinquent, not in foreclosure	(37)	(43)
90 or more days delinquent, in foreclosure	(172)	(87)
Difference	140,055	136,800
Loans acquired for sale at fair value [Member] | Nonperforming mortgage loans [Member]
Loans, principal amount due upon maturity [Abstract]
Principal amount due upon maturity	1,166	1,181
Loans, difference, [Abstract]
Difference	(209)	(130)
Loans at Fair Value Held in Consolidated VIE [Member]
Loans, fair value [Abstract]
Current through 89 days delinquent:	241,647	255,706
90 or more days delinquent, not in foreclosure	654	661
90 or more days delinquent, in foreclosure	0	0
Fair value	242,301	256,367
Loans, principal amount due upon maturity [Abstract]
Current through 89 days delinquent:	239,935	251,425
90 or more days delinquent, not in foreclosure	809	809
90 or more days delinquent, in foreclosure	0	0
Principal amount due upon maturity	240,744	252,234
Loans, difference, [Abstract]
Current through 89 days delinquent:	1,712	4,281
90 or more days delinquent, not in foreclosure	(155)	(148)
90 or more days delinquent, in foreclosure	0	0
Difference	1,557	4,133
Loans at Fair Value Held in Consolidated VIE [Member] | Nonperforming mortgage loans [Member]
Loans, fair value [Abstract]
Fair value	654	661
Loans, principal amount due upon maturity [Abstract]
Principal amount due upon maturity	809	809
Loans, difference, [Abstract]
Difference	(155)	(148)
Loans and Mortgage Loans under Forward Purchase Agreements at Fair Value [Member]
Loans, fair value [Abstract]
Current through 89 days delinquent:	2,557	3,179
90 or more days delinquent, not in foreclosure	3,600	4,897
90 or more days delinquent, in foreclosure	2,965	6,350
Fair value	9,122	14,426
Loans, principal amount due upon maturity [Abstract]
Current through 89 days delinquent:	4,884	6,202
90 or more days delinquent, not in foreclosure	12,559	13,154
90 or more days delinquent, in foreclosure	6,061	15,698
Principal amount due upon maturity	23,504	35,054
Loans, difference, [Abstract]
Current through 89 days delinquent:	(2,327)	(3,023)
90 or more days delinquent, not in foreclosure	(8,959)	(8,257)
90 or more days delinquent, in foreclosure	(3,096)	(9,348)
Difference	(14,382)	(20,628)
Loans and Mortgage Loans under Forward Purchase Agreements at Fair Value [Member] | Nonperforming mortgage loans [Member]
Loans, fair value [Abstract]
Fair value	6,565	11,247
Loans, principal amount due upon maturity [Abstract]
Principal amount due upon maturity	18,620	28,852
Loans, difference, [Abstract]
Difference	$ (12,055)	$ (17,605)

Fair Value - Summary of Chang_2

Fair Value - Summary of Changes in Fair Value Included in Current Period Income (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)		$ 32,366
Credit Risk Transfer Strips [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	$ (215,125)
Net Gain (Loss) on Investments [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)		36,922
Net Gain (Loss) on Investments [Member] | Credit Risk Transfer Strips [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	(215,125)
Net Gain on Loans Acquired for Sale [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)		0
Net Gain on Loans Acquired for Sale [Member] | Credit Risk Transfer Strips [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0
Net Loan Servicing Fees [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)		0
Net Loan Servicing Fees [Member] | Credit Risk Transfer Strips [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0
Net Interest Income [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)		(4,556)
Net Interest Income [Member] | Credit Risk Transfer Strips [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0
Interest-only security payable [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	11,575	3,447
Interest-only security payable [Member] | Net Gain (Loss) on Investments [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	11,575	3,447
Interest-only security payable [Member] | Net Gain on Loans Acquired for Sale [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0	0
Interest-only security payable [Member] | Net Loan Servicing Fees [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0	0
Interest-only security payable [Member] | Net Interest Income [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0	0
Asset-Backed Financing of the VIE at Fair Value [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	(563)	(3,678)
Asset-Backed Financing of the VIE at Fair Value [Member] | Net Gain (Loss) on Investments [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	1,928	(2,857)
Asset-Backed Financing of the VIE at Fair Value [Member] | Net Gain on Loans Acquired for Sale [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0	0
Asset-Backed Financing of the VIE at Fair Value [Member] | Net Loan Servicing Fees [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0	0
Asset-Backed Financing of the VIE at Fair Value [Member] | Net Interest Income [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	(2,491)	(821)
Liabilities, Total [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	11,012	(231)
Liabilities, Total [Member] | Net Gain (Loss) on Investments [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	13,503	590
Liabilities, Total [Member] | Net Gain on Loans Acquired for Sale [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0	0
Liabilities, Total [Member] | Net Loan Servicing Fees [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0	0
Liabilities, Total [Member] | Net Interest Income [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	(2,491)	(821)
Mortgage-backed securities at fair value [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	103,965
Mortgage-backed securities at fair value [Member] | Net Gain (Loss) on Investments [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	115,967
Mortgage-backed securities at fair value [Member] | Net Gain on Loans Acquired for Sale [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0
Mortgage-backed securities at fair value [Member] | Net Loan Servicing Fees [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0
Mortgage-backed securities at fair value [Member] | Net Interest Income [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	(12,002)
Loans acquired for sale at fair value [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	147,558	37,803
Loans acquired for sale at fair value [Member] | Net Gain (Loss) on Investments [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0	0
Loans acquired for sale at fair value [Member] | Net Gain on Loans Acquired for Sale [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	147,558	37,803
Loans acquired for sale at fair value [Member] | Net Loan Servicing Fees [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0	0
Loans acquired for sale at fair value [Member] | Net Interest Income [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0	0
Loans at fair value [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	(3,717)	4,953
Loans at fair value [Member] | Net Gain (Loss) on Investments [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	(4,010)	4,070
Loans at fair value [Member] | Net Gain on Loans Acquired for Sale [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0	0
Loans at fair value [Member] | Net Loan Servicing Fees [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0	0
Loans at fair value [Member] | Net Interest Income [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	293	883
Firm commitment to purchase CRT securities [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	(519,162)	41,790
Firm commitment to purchase CRT securities [Member] | Net Gain (Loss) on Investments [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	(492,513)	22,190
Firm commitment to purchase CRT securities [Member] | Net Gain on Loans Acquired for Sale [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	(26,649)	19,600
Firm commitment to purchase CRT securities [Member] | Net Loan Servicing Fees [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0	0
Firm commitment to purchase CRT securities [Member] | Net Interest Income [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0	0
Excess servicing spread [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	(12,548)	(985)
Excess servicing spread [Member] | Net Gain (Loss) on Investments [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	(14,522)	(4,051)
Excess servicing spread [Member] | Net Gain on Loans Acquired for Sale [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0	0
Excess servicing spread [Member] | Net Loan Servicing Fees [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0	0
Excess servicing spread [Member] | Net Interest Income [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	1,974	3,066
MSRs at fair value [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	(627,201)	(137,329)
MSRs at fair value [Member] | Net Gain (Loss) on Investments [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0	0
MSRs at fair value [Member] | Net Gain on Loans Acquired for Sale [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0	0
MSRs at fair value [Member] | Net Loan Servicing Fees [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	(627,201)	(137,329)
MSRs at fair value [Member] | Net Interest Income [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	0	0
Assets, Total [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	(1,126,230)	(21,402)
Assets, Total [Member] | Net Gain (Loss) on Investments [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	(610,203)	59,131
Assets, Total [Member] | Net Gain on Loans Acquired for Sale [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	120,909	57,403
Assets, Total [Member] | Net Loan Servicing Fees [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	(627,201)	(137,329)
Assets, Total [Member] | Net Interest Income [Member]
Fair Value, Option, Quantitative Disclosures [Line Items]
Changes in fair value included in current period income (expense)	$ (9,735)	$ (607)

Fair Value - Summary of Carryin

Fair Value - Summary of Carrying Value of Assets Re-measured Based on Fair Value on Nonrecurring Basis (Detail) - Nonrecurring [Member] - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Real estate acquired in settlement of loans	$ 14,810	$ 24,115
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
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
Level 3 [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Real estate acquired in settlement of loans	$ 14,810	$ 24,115

Fair Value - Summary of Chang_3

Fair Value - Summary of Changes in Fair Value Recognized in Assets that Remeasured at Fair Value on a Nonrecurring Basis (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Nonrecurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Real estate asset acquired in settlement of loans	$ (1,191)	$ (2,438)

Fair Value - Fair Values of Not

Fair Value - Fair Values of Notes Payable Secured by Credit Risk Transfer and Mortgage Servicing Rights and Exchangeable Senior Notes (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Notes Payable Secured by Credit Risk Transfer and Mortgage Servicing Assets [Member] | Carrying Value [Member]
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items]
Notes payable	$ 1,967,526	$ 1,696,295
Notes Payable Secured by Credit Risk Transfer and Mortgage Servicing Assets [Member] | Fair Value [Member]
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items]
Notes payable	1,264,573	1,705,544
Exchangeable Notes [Member] | Carrying Value [Member]
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items]
Notes payable	444,525	443,506
Exchangeable Notes [Member] | Fair Value [Member]
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items]
Notes payable	$ 375,077	$ 462,117

Fair Value - Additional Informa

Fair Value - Additional Information (Detail) - Level 3 [Member]	3 Months Ended
	Mar. 31, 2020	Dec. 31, 2019
Repurchase Agreement Derivatives [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Ratios included in estimated fair value	99.00%	99.00%
Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Estimated loans at fair value of cash flows valuation, discounted annual rate	20.00%

Fair Value - Summary of Key Inp

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, 2020	Mar. 31, 2019	Dec. 31, 2019
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Excess servicing spread purchased from PFSI	$ 157,109		$ 178,586
UPB of underlying loans (in thousands)	19,341,270	$ 9,245,177
Excess servicing spread [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Excess servicing spread purchased from PFSI	157,109		178,586
Excess servicing spread [Member] | Weighted Average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
UPB of underlying loans (in thousands)	$ 19,153,856		$ 19,904,571
Average servicing fee rate (in basis points)	0.34%		0.34%
Average ESS rate (in basis points)	0.19%		0.19%
Pricing spread	5.60%		3.10%
Annual total prepayment speed	11.90%		11.00%
Life (in years)	5 years 9 months 18 days		6 years 1 month 6 days
Excess servicing spread [Member] | Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pricing spread	5.40%		3.00%
Annual total prepayment speed	8.70%		8.70%
Life (in years)	2 years 8 months 12 days		2 years 8 months 12 days
Excess servicing spread [Member] | Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Pricing spread	5.80%		3.30%
Annual total prepayment speed	14.90%		16.20%
Life (in years)	7 years 1 month 6 days		7 years 2 months 12 days

Fair Value - Quantitative Summa

Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Review and Approval of Broker-provided Fair Values for CRT Agreements (Detail) - CRT Agreements [Member] - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2020	Dec. 31, 2019
Fair value of CRT derivatives
Fair value of CRT derivatives assets	$ 0	$ 115,863
Fair value of CRT derivatives liabilities	185,933	0
UPB of loans in reference pools	$ 23,123,085	$ 24,824,616
Discount Rate [Member] | Minimum [Member]
Fair value of CRT derivatives
Key inputs used in fair value for CRT agreements	10.70%	4.70%
Discount Rate [Member] | Maximum [Member]
Fair value of CRT derivatives
Key inputs used in fair value for CRT agreements	11.70%	5.30%
Discount Rate [Member] | Weighted Average [Member]
Fair value of CRT derivatives
Key inputs used in fair value for CRT agreements	10.90%	5.20%
Voluntary Prepayment Speed [Member] | Minimum [Member]
Fair value of CRT derivatives
Key inputs used in fair value for CRT agreements	18.10%	16.40%
Voluntary Prepayment Speed [Member] | Maximum [Member]
Fair value of CRT derivatives
Key inputs used in fair value for CRT agreements	20.50%	18.50%
Voluntary Prepayment Speed [Member] | Weighted Average [Member]
Fair value of CRT derivatives
Key inputs used in fair value for CRT agreements	20.00%	17.90%
Involuntary Prepayment Speed [Member] | Minimum [Member]
Fair value of CRT derivatives
Key inputs used in fair value for CRT agreements	0.70%	0.20%
Involuntary Prepayment Speed [Member] | Maximum [Member]
Fair value of CRT derivatives
Key inputs used in fair value for CRT agreements	1.00%	0.30%
Involuntary Prepayment Speed [Member] | Weighted Average [Member]
Fair value of CRT derivatives
Key inputs used in fair value for CRT agreements	0.90%	0.30%
Remaining Loss Expectation [Member] | Minimum [Member]
Fair value of CRT derivatives
Key inputs used in fair value for CRT agreements	0.40%	0.10%
Remaining Loss Expectation [Member] | Maximum [Member]
Fair value of CRT derivatives
Key inputs used in fair value for CRT agreements	0.60%	0.10%
Remaining Loss Expectation [Member] | Weighted Average [Member]
Fair value of CRT derivatives
Key inputs used in fair value for CRT agreements	0.60%	0.10%

Fair Value - Quantitative Sum_2

Fair Value - Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Pull-Through Rate [Member] | Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Key inputs used in valuation of IRLCs	36.70%	64.60%
Pull-Through Rate [Member] | Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Key inputs used in valuation of IRLCs	100.00%	100.00%
Pull-Through Rate [Member] | Weighted Average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Key inputs used in valuation of IRLCs	84.40%	93.30%
Servicing Fee Multiple [Member] | Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Key inputs used in valuation of IRLCs	1.40%	2.10%
Servicing Fee Multiple [Member] | Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Key inputs used in valuation of IRLCs	5.40%	5.80%
Servicing Fee Multiple [Member] | Weighted Average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Key inputs used in valuation of IRLCs	4.10%	4.70%
Percentage of UPB [Member] | Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Key inputs used in valuation of IRLCs	0.40%	0.70%
Percentage of UPB [Member] | Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Key inputs used in valuation of IRLCs	1.50%	2.20%
Percentage of UPB [Member] | Weighted Average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Key inputs used in valuation of IRLCs	1.20%	1.40%
Interest Rate Lock Commitments [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value	$ 79,384	$ 11,154

Fair Value - Summary of Key Uno

Fair Value - Summary of Key Unobservable Inputs Used in Valuation Credit Risk Transfer Strips (Detail) $ in Thousands	Mar. 31, 2020USD ($)	Dec. 31, 2019USD ($)
CRT strips:
Assets	$ 0	$ 54,930
Liabilities	174,945	0
CRT Strips [Member]
CRT strips:
Assets		54,930
Liabilities	174,945
UPB of loans in the reference pools	$ 15,085,333	$ 17,119,501
CRT Strips [Member] | Discount Rate [Member]
CRT strips:
Key inputs used in valuation	0.148	0.063
CRT Strips [Member] | Voluntary Prepayment Speed [Member]
CRT strips:
Key inputs used in valuation	0.225	0.234
CRT Strips [Member] | Involuntary Prepayment Speed [Member]
CRT strips:
Key inputs used in valuation	0.009	0.002
CRT Strips [Member] | Remaining Loss Expectation [Member]
CRT strips:
Key inputs used in valuation	0.006	0.001

Fair Value - Summary of Key U_2

Fair Value - Summary of Key Unobservable Inputs Used in Valuation of Firm Commitment to Purchase CRT Securities (Detail) - Firm commitment to purchase CRT securities [Member] $ in Thousands	Mar. 31, 2020USD ($)	Dec. 31, 2019USD ($)
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Assets		$ 109,513
Liabilities	$ 409,649
UPB of loans in the reference pools	$ 51,422,319	$ 38,738,396
Discount Rate [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Key inputs used in valuation	0.116	0.065
Voluntary Prepayment Speed [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Key inputs used in valuation	0.170	0.143
Involuntary Prepayment Speed [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Key inputs used in valuation	0.005	0.001
Remaining Loss Expectation [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Key inputs used in valuation	0.005	0.001

Fair Value - Key Assumptions Us

Fair Value - Key Assumptions Used in Determining Fair Value of MSRs at Time of Initial Recognition (Detail) $ in Thousands	3 Months Ended
	Mar. 31, 2020USD ($)$ / Loan	Mar. 31, 2019USD ($)$ / Loan
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value, MSR recognized | $	$ 248,822	$ 131,868
Fair value, UPB of underlying loans | $	$ 19,341,270	$ 9,245,177
Fair value, Weighted-average annual servicing fee rate (in basis points)	0.30%	0.32%
Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value inputs, Pricing spread during period	6.70%	5.80%
Fair Value inputs, Prepayment speed during period	9.90%	4.90%
Fair Value inputs, Weighted average life during period	3 years 7 months 6 days	1 year 9 months 18 days
Fair Value inputs, Annual per loan cost of servicing during period	78	78
Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value inputs, Pricing spread during period	9.90%	9.50%
Fair Value inputs, Prepayment speed during period	20.90%	42.20%
Fair Value inputs, Weighted average life during period	6 years 10 months 24 days	10 years 6 months
Fair Value inputs, Annual per loan cost of servicing during period	78	78
Weighted Average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value inputs, Pricing spread during period	6.80%	5.80%
Fair Value inputs, Prepayment speed during period	12.20%	12.20%
Fair Value inputs, Weighted average life during period	6 years 6 months	6 years 7 months 6 days
Fair Value inputs, Annual per loan cost of servicing during period	78	78

Fair Value - Quantitative Sum_3

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) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2020USD ($)$ / Loan	Dec. 31, 2019USD ($)$ / Loan	Mar. 31, 2019USD ($)	Dec. 31, 2018USD ($)
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Balance at end of period	$ 1,157,326	$ 1,535,705	$ 1,156,908	$ 1,162,369
UPB of underlying loans, Fair Value	$ 141,781,305	$ 131,024,381
Weighted-average annual servicing fee rate (in basis points), Fair value input	0.28%	0.28%
Weighted-average note interest rate, Fair value	4.10%	4.20%
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	$ (15,514)	$ (20,666)
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	(30,583)	(40,783)
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	(59,455)	(79,453)
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	(36,511)	(35,768)
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	(70,955)	(69,973)
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	(134,254)	(134,068)
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	(8,249)	(9,964)
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	(16,497)	(19,928)
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	$ (32,994)	$ (39,856)
Minimum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Estimated fair value inputs, Pricing spread	8.30%	6.80%
Estimated fair value inputs, Prepayment speed	11.00%	10.20%
Estimated fair value inputs, Annual per-loan cost of servicing | $ / Loan	78	77
Minimum [Member] | Mortgage service rights [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Estimated fair value inputs, Life (in years)	2 years 6 months	2 years 4 months 24 days
Maximum [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Estimated fair value inputs, Pricing spread	11.40%	9.90%
Estimated fair value inputs, Prepayment speed	23.70%	22.00%
Estimated fair value inputs, Annual per-loan cost of servicing | $ / Loan	79	78
Maximum [Member] | Mortgage service rights [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Estimated fair value inputs, Life (in years)	4 years 8 months 12 days	6 years 6 months
Weighted Average [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Estimated fair value inputs, Pricing spread	8.30%	6.80%
Estimated fair value inputs, Prepayment speed	18.10%	12.10%
Estimated fair value inputs, Annual per-loan cost of servicing | $ / Loan	79	78
Weighted Average [Member] | Mortgage service rights [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Estimated fair value inputs, Life (in years)	4 years 7 months 6 days	6 years 3 months 18 days

Mortgage-Backed Securities - Su

Mortgage-Backed Securities - Summary of Investment in Mortgage Backed Securities Activity (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Mortgage Backed Securities [Line Items]
Balance at beginning of quarter	$ 2,839,633
Changes in fair value included in income arising from:
Balance at end of quarter	3,947,420
Mortgage Backed Securities [Member]
Mortgage Backed Securities [Line Items]
Balance at beginning of quarter	2,839,633	$ 2,610,422
Purchases	1,615,486	0
Sales	(488,729)	0
Repayments	(122,935)	(53,682)
Changes in fair value included in income arising from:
Amortization of purchase premiums	(12,002)	(4,556)
Valuation adjustments	115,967	36,922
Total changes in fair value included in income	103,965	32,366
Balance at end of quarter	$ 3,947,420	$ 2,589,106

Mortgage-Backed Securities - _2

Mortgage-Backed Securities - Summary of Investment in Mortgage Backed Securities (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Mortgage Backed Securities [Line Items]
Fair value	$ 3,947,420	$ 2,839,633
Mortgage Backed Securities [Member]
Mortgage Backed Securities [Line Items]
Principal balance	3,748,353	2,755,798
Unamortized net purchase premiums	60,988	40,740
Accumulated valuation changes	138,079	43,095
Fair value	3,947,420	2,839,633
Fannie Mae [Member] | Mortgage Backed Securities [Member]
Mortgage Backed Securities [Line Items]
Principal balance	2,158,369	1,946,203
Unamortized net purchase premiums	32,226	29,657
Accumulated valuation changes	84,915	33,233
Fair value	2,275,510	2,009,093
Freddie Mac [Member] | Mortgage Backed Securities [Member]
Mortgage Backed Securities [Line Items]
Principal balance	1,589,984	809,595
Unamortized net purchase premiums	28,762	11,083
Accumulated valuation changes	53,164	9,862
Fair value	$ 1,671,910	$ 830,540

Mortgage-Backed Securities - _3

Mortgage-Backed Securities - Summary of Investment in Mortgage Backed Securities (Parenthetical) (Detail)	3 Months Ended	12 Months Ended
	Mar. 31, 2020	Dec. 31, 2019
Minimum [Member]
Mortgage Backed Securities [Line Items]
Mortgage backed securities, maturity period	10 years	10 years

Loans Acquired for Sale at Fa_3

Loans Acquired for Sale at Fair Value - Summary of Distribution of Company's Loans Acquired for Sale at Fair Value (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans acquired for sale at fair value	$ 2,856,042	$ 4,148,425
Loans pledged to secure total	2,813,903	4,070,134
PennyMac Loan Services, LLC [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans acquired for sale at fair value	222,662	490,383
Loans acquired for sale at fair value [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans pledged to secure Assets sold under agreements to repurchase	2,813,903	4,070,134
Agency-Eligible [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans acquired for sale at fair value	2,606,796	3,626,038
Held for Sale to PLS - Government-Insured or Guaranteed [Member] | PennyMac Loan Services, LLC [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans acquired for sale at fair value	222,662	490,383
Jumbo [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans acquired for sale at fair value	4,043	13,437
Commercial Real Estate [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans acquired for sale at fair value	1,035	1,015
Home Equity Lines of Credit [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans acquired for sale at fair value	5,829	4,632
Repurchased Pursuant to Representations and Warranties [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Loans acquired for sale at fair value	$ 15,677	$ 12,920

Loans Acquired for Sale at Fa_4

Loans Acquired for Sale at Fair Value - Additional Information (Detail) - PennyMac Loan Services, LLC [Member]	3 Months Ended
	Mar. 31, 2020
Minimum [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Sourcing fee on average number of calendar days 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 loans are held prior to purchase by PLS	0.035%

Loans at Fair Value - Summary o

Loans at Fair Value - Summary of Distribution of Company's Loans at Fair Value (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Financing Receivable, Recorded Investment [Line Items]
Fair value	$ 251,423	$ 270,793
Unpaid principal balance	264,248	286,479
Asset-backed financing of a VIE at fair value	242,301	256,367
Loans at fair value pledged to secure	246,346	268,757
Loans acquired for sale at fair value [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	2,856,042	4,148,425
Assets sold under agreements to repurchase	4,045	12,390
Distressed [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	9,122	14,426
Unpaid principal balance	23,504	35,054
Fixed interest rate jumbo loans held in a VIE [Member]
Financing Receivable, Recorded Investment [Line Items]
Fair value	242,301	256,367
Unpaid principal balance	$ 240,744	$ 251,425

Derivative and Credit Risk Tr_3

Derivative and Credit Risk Transfer Strip Assets and Liabilities - Summary of Derivative and Credit Risk Transfer Assets and Liabilities (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Derivative Instruments And Hedging Activities Disclosure [Abstract]
Derivative Assets	$ 173,310	$ 147,388
Credit risk transfer strip assets	0	54,930
Derivative and credit risk transfer strip assets	173,310	202,318
Derivative Liabilities	287,694	6,423
Liabilities	174,945	0
Total derivative and credit risk transfer liabilities	$ 462,639	$ 6,423

Derivative and Credit Risk Tr_4

Derivative and Credit Risk Transfer Strip Assets and Liabilities - Summary of Investment In CRT Strips (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Credit risk transfer strips Contractually restricted from sale
CRT strips, Assets	$ 0	$ 54,930
CRT strips, Liabilities	174,945	0
Credit Risk Transfer Strips [Member]
Credit risk transfer strips Contractually restricted from sale
CRT strips, Assets	0	54,930
CRT strips, Liabilities	174,945	0
Credit Risk Transfer Strips [Member] | Through June 13, 2020 [Member]
Credit risk transfer strips Contractually restricted from sale
CRT strips, Assets	0	17,629
CRT strips, Liabilities	68,477	0
Credit Risk Transfer Strips [Member] | To Maturity [Member]
Credit risk transfer strips Contractually restricted from sale
CRT strips, Assets	0	37,301
CRT strips, Liabilities	$ 106,468	$ 0

Derivative and Credit Risk Tr_5

Derivative and Credit Risk Transfer Strip Assets and Liabilities - Derivative Assets and Derivative Liabilities and Related Margin Deposits Recorded in Other Assets (Detail) - USD ($)	Mar. 31, 2020	Dec. 31, 2019	Mar. 31, 2019	Dec. 31, 2018
Derivatives Fair Value [Line Items]
Total derivative assets instruments before netting	$ 425,210,000	$ 153,666,000
Derivative assets, Netting	(251,900,000)	(6,278,000)
Total derivative and credit risk transfer strip assets after netting	173,310,000	147,388,000
Margin deposits (received from) placed with derivatives counterparties, net	(205,185,000)	7,114,000
Derivative assets pledged to secure:
Notes payable	1,967,526,000	1,696,295,000
Derivative and credit risk transfer strip assets	173,310,000	202,318,000
Total derivative liabilities	334,410,000	19,816,000
Derivative liabilities, Netting	(46,716,000)	(13,393,000)
Total derivative liabilities after netting	287,694,000	6,423,000
Derivative assets related to CRT Derivatives [Member]
Derivative assets pledged to secure:
Notes payable	0	115,110,000
Assets sold under agreements to repurchase	0	27,073,000
Derivative and credit risk transfer strip assets	0	142,183,000
Repurchase Agreement Derivatives [Member]
Derivatives Fair Value [Line Items]
Total derivative assets instruments before netting	5,275,000	5,275,000
Derivative assets, Netting	0	0
Total derivative and credit risk transfer strip assets after netting	5,275,000	5,275,000
Derivative assets pledged to secure:
Total derivative liabilities	0	0
CRT Derivatives [Member]
Derivatives Fair Value [Line Items]
Notional amount	23,123,085,000	24,824,616,000
Total derivative assets instruments before netting	0	115,863,000
Derivative assets, Netting	0	0
Total derivative and credit risk transfer strip assets after netting	0	115,863,000
Derivative assets pledged to secure:
Total derivative liabilities	185,933,000	0
Swaptions [Member]
Derivatives Fair Value [Line Items]
Total derivative assets instruments before netting	0	0
Interest Rate Lock Commitments [Member]
Derivatives Fair Value [Line Items]
Notional amount	4,977,773,000	3,199,680,000
Total derivative assets instruments before netting	79,514,000	11,726,000
Total derivative and credit risk transfer strip assets after netting	79,514,000	11,726,000
Derivative assets pledged to secure:
Total derivative liabilities	130,000	572,000
Forward Purchase Contracts [Member]
Derivatives Fair Value [Line Items]
Notional amount	11,876,671,000	5,883,198,000	$ 5,126,069,000	$ 3,072,223,000
Total derivative assets instruments before netting	247,814,000	7,525,000
Derivative assets, Netting	0	0
Total derivative and credit risk transfer strip assets after netting	247,814,000	7,525,000
Derivative assets pledged to secure:
Total derivative liabilities	2,091,000	3,600,000
Derivative liabilities, Netting	0	0
Forward Sale Contracts [Member]
Derivatives Fair Value [Line Items]
Notional amount	10,244,926,000	9,297,179,000	4,941,484,000	4,595,241,000
Total derivative assets instruments before netting	7,193,000	637,000
Derivative assets, Netting	0	0
Total derivative and credit risk transfer strip assets after netting	7,193,000	637,000
Derivative assets pledged to secure:
Total derivative liabilities	146,256,000	15,644,000
Derivative liabilities, Netting	0	0
Swaptions [Member]
Derivatives Fair Value [Line Items]
Notional amount	3,700,000,000	2,700,000,000
Derivative assets pledged to secure:
Total derivative liabilities	0	0
MBS Put Options [Member]
Derivatives Fair Value [Line Items]
Notional amount	8,550,000,000	4,000,000,000	4,150,000,000	2,550,000,000
Total derivative assets instruments before netting	2,924,000	1,625,000
Derivative assets, Netting	0	0
Total derivative and credit risk transfer strip assets after netting	2,924,000	1,625,000
Derivative assets pledged to secure:
Total derivative liabilities	0	0
Call Options on Interest Rate Futures [Member]
Derivatives Fair Value [Line Items]
Notional amount	2,800,000,000	2,662,500,000	1,475,000,000	512,500,000
Total derivative assets instruments before netting	29,121,000	3,809,000
Derivative assets, Netting	0	0
Total derivative and credit risk transfer strip assets after netting	29,121,000	3,809,000
Derivative assets pledged to secure:
Total derivative liabilities	0	0
Put Options on Interest Rate Futures [Member]
Derivatives Fair Value [Line Items]
Notional amount	7,425,000,000	950,000,000	950,000,000	1,102,500,000
Total derivative assets instruments before netting	14,691,000	2,859,000
Derivative assets, Netting	0	0
Total derivative and credit risk transfer strip assets after netting	14,691,000	2,859,000
Derivative assets pledged to secure:
Total derivative liabilities	0	0
Swap Futures [Member]
Derivatives Fair Value [Line Items]
Notional amount	2,500,000,000	2,075,000,000	150,000,000	0
Total derivative assets instruments before netting	38,678,000	4,347,000
Derivative assets, Netting	0	0
Total derivative and credit risk transfer strip assets after netting	38,678,000	4,347,000
Derivative assets pledged to secure:
Total derivative liabilities	0	0
Bond Futures [Member]
Derivatives Fair Value [Line Items]
Notional amount	235,500,000	114,500,000	$ 165,000,000	$ 815,000,000
Total derivative assets instruments before netting	0	0
Derivative assets pledged to secure:
Total derivative liabilities	$ 0	$ 0

Derivative and Credit Risk Tr_6

Derivative and Credit Risk Transfer Strip Assets and Liabilities - Summary of Activity in Notional Amount for Derivative Contracts (Detail) - USD ($)	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Forward Purchase Contracts [Member]
Derivatives Fair Value [Line Items]
Notional amount, beginning of year	$ 5,883,198,000	$ 3,072,223,000
Additions	89,638,934,000	33,419,932,000
Dispositions/expirations	(83,645,461,000)	(31,366,086,000)
Notional amount, end of year	11,876,671,000	5,126,069,000
Forward Sales Contracts [Member]
Derivatives Fair Value [Line Items]
Notional amount, beginning of year	9,297,179,000	4,595,241,000
Additions	108,403,664,000	42,338,646,000
Dispositions/expirations	(107,455,917,000)	(41,992,403,000)
Notional amount, end of year	10,244,926,000	4,941,484,000
Swaptions [Member]
Derivatives Fair Value [Line Items]
Notional amount, beginning of year	2,700,000,000
Additions	9,400,000,000
Dispositions/expirations	(8,400,000,000)
Notional amount, end of year	3,700,000,000
MBS Put Options [Member]
Derivatives Fair Value [Line Items]
Notional amount, beginning of year	4,000,000,000	2,550,000,000
Additions	14,250,000,000	9,600,000,000
Dispositions/expirations	(9,700,000,000)	(8,000,000,000)
Notional amount, end of year	8,550,000,000	4,150,000,000
MBS Call Options [Member]
Derivatives Fair Value [Line Items]
Notional amount, beginning of year		500,000,000
Additions		5,400,000,000
Dispositions/expirations		(2,800,000,000)
Notional amount, end of year		3,100,000,000
Call Options on Interest Rate Futures [Member]
Derivatives Fair Value [Line Items]
Notional amount, beginning of year	2,662,500,000	512,500,000
Additions	19,292,500,000	3,537,500,000
Dispositions/expirations	(19,155,000,000)	(2,575,000,000)
Notional amount, end of year	2,800,000,000	1,475,000,000
Put Options on Interest Rate Futures [Member]
Derivatives Fair Value [Line Items]
Notional amount, beginning of year	950,000,000	1,102,500,000
Additions	15,025,000,000	5,352,500,000
Dispositions/expirations	(8,550,000,000)	(5,505,000,000)
Notional amount, end of year	7,425,000,000	950,000,000
Swap Futures [Member]
Derivatives Fair Value [Line Items]
Notional amount, beginning of year	2,075,000,000	0
Additions	4,925,000,000	150,000,000
Dispositions/expirations	(4,500,000,000)	0
Notional amount, end of year	2,500,000,000	150,000,000
Bond Futures [Member]
Derivatives Fair Value [Line Items]
Notional amount, beginning of year	114,500,000	815,000,000
Additions	4,932,800,000	2,702,400,000
Dispositions/expirations	(4,811,800,000)	(3,352,400,000)
Notional amount, end of year	$ 235,500,000	$ 165,000,000

Derivative and Credit Risk Tr_7

Derivative and Credit Risk Transfer Strip Assets and Liabilities - Summary of Net Derivative Assets (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Offsetting Assets [Line Items]
Gross amounts of recognized assets	$ 425,210	$ 153,666
Gross amounts offset in the consolidated balance sheet	(251,900)	(6,278)
Total derivative and credit risk transfer strip assets after netting	173,310	147,388
Net amounts of assets presented in the consolidated balance sheet	(251,900)	(6,278)
Repurchase Agreement Derivatives [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	5,275	5,275
Gross amounts offset in the consolidated balance sheet	0	0
Total derivative and credit risk transfer strip assets after netting	5,275	5,275
CRT Derivatives [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	0	115,863
Gross amounts offset in the consolidated balance sheet	0	0
Total derivative and credit risk transfer strip assets after netting	0	115,863
Interest Rate Lock Commitments [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	79,514	11,726
Total derivative and credit risk transfer strip assets after netting	79,514	11,726
Forward Purchase Contracts [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	247,814	7,525
Gross amounts offset in the consolidated balance sheet	0	0
Total derivative and credit risk transfer strip assets after netting	247,814	7,525
Forward Sale Contracts [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	7,193	637
Gross amounts offset in the consolidated balance sheet	0	0
Total derivative and credit risk transfer strip assets after netting	7,193	637
Derivatives Not Subject To Master Netting Adjustment [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	84,789	132,864
Gross amounts offset in the consolidated balance sheet	0	0
Total derivative and credit risk transfer strip assets after netting	84,789	132,864
Derivatives Not Subject To Master Netting Adjustment [Member] | Interest Rate Lock Commitments [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	79,514	11,726
Gross amounts offset in the consolidated balance sheet	0	0
Total derivative and credit risk transfer strip assets after netting	79,514	11,726
MBS Put Options [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	2,924	1,625
Gross amounts offset in the consolidated balance sheet	0	0
Total derivative and credit risk transfer strip assets after netting	2,924	1,625
Call Options on Interest Rate Futures [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	29,121	3,809
Gross amounts offset in the consolidated balance sheet	0	0
Total derivative and credit risk transfer strip assets after netting	29,121	3,809
Put Options on Interest Rate Futures [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	14,691	2,859
Gross amounts offset in the consolidated balance sheet	0	0
Total derivative and credit risk transfer strip assets after netting	14,691	2,859
Swap Futures [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	38,678	4,347
Gross amounts offset in the consolidated balance sheet	0	0
Total derivative and credit risk transfer strip assets after netting	38,678	4,347
Netting [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	0	0
Gross amounts offset in the consolidated balance sheet	(251,900)	(6,278)
Total derivative and credit risk transfer strip assets after netting	(251,900)	(6,278)
Derivatives Subject to Master Netting Arrangements [Member]
Offsetting Assets [Line Items]
Gross amounts of recognized assets	340,421	20,802
Gross amounts offset in the consolidated balance sheet	(251,900)	(6,278)
Total derivative and credit risk transfer strip assets after netting	$ 88,521	$ 14,524

Derivative and Credit Risk Tr_8

Derivative and Credit Risk Transfer Strip Assets and Liabilities - Summary of Derivative Assets, Financial Instruments and Collateral Held by Counterparty (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Offsetting Assets [Line Items]
Total derivative and credit risk transfer strip assets after netting	$ 173,310	$ 147,388
Financial instruments	0	0
Cash collateral received	0	0
Net amount	173,310	147,388
CRT Derivatives [Member]
Offsetting Assets [Line Items]
Total derivative and credit risk transfer strip assets after netting	0	115,863
Financial instruments	0	0
Cash collateral received	0	0
Net amount	0	115,863
Interest Rate Lock Commitments [Member]
Offsetting Assets [Line Items]
Total derivative and credit risk transfer strip assets after netting	79,514	11,726
Financial instruments	0	0
Cash collateral received	0	0
Net amount	79,514	11,726
RJ O'Brien & Associates, LLC [Member]
Offsetting Assets [Line Items]
Total derivative and credit risk transfer strip assets after netting	43,813	6,668
Financial instruments	0	0
Cash collateral received	0	0
Net amount	43,813	6,668
J.P. Morgan Securities LLC [Member]
Offsetting Assets [Line Items]
Total derivative and credit risk transfer strip assets after netting	19,903	1,551
Financial instruments	0	0
Cash collateral received	0	0
Net amount	19,903	1,551
Goldman Sachs & Co. LLC [Member]
Offsetting Assets [Line Items]
Total derivative and credit risk transfer strip assets after netting	9,783	352
Financial instruments	0	0
Cash collateral received	0	0
Net amount	9,783	352
Deutsche Bank Securities LLC [Member]
Offsetting Assets [Line Items]
Total derivative and credit risk transfer strip assets after netting	5,633	5,398
Financial instruments	0	0
Cash collateral received	0	0
Net amount	5,633	5,398
Bank of America, N.A. [Member]
Offsetting Assets [Line Items]
Total derivative and credit risk transfer strip assets after netting	5,574	2,489
Financial instruments	0	0
Cash collateral received	0	0
Net amount	5,574	2,489
Bank of Okhlahoma [Member]
Offsetting Assets [Line Items]
Total derivative and credit risk transfer strip assets after netting	2,255	0
Financial instruments	0	0
Cash collateral received	0	0
Net amount	2,255	0
BNP Paribas [Member]
Offsetting Assets [Line Items]
Total derivative and credit risk transfer strip assets after netting	2,009	0
Financial instruments	0	0
Cash collateral received	0	0
Net amount	2,009	0
Jefferies & Company, Inc. [Member]
Offsetting Assets [Line Items]
Total derivative and credit risk transfer strip assets after netting	1,445	0
Financial instruments	0	0
Cash collateral received	0	0
Net amount	1,445	0
Other [Member]
Offsetting Assets [Line Items]
Total derivative and credit risk transfer strip assets after netting	3,381	3,341
Financial instruments	0	0
Cash collateral received	0	0
Net amount	$ 3,381	$ 3,341

Derivative and Credit Risk Tr_9

Derivative and Credit Risk Transfer Strip Assets and Liabilities - Schedule of Offsetting of Derivative Liabilities and Financial Liabilities (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	$ 6,682,602	$ 6,668,706
Gross amounts offset in the consolidated balance sheet	(46,716)	(13,393)
Net amounts of liabilities presented in the consolidated balance sheet	6,635,886	6,655,313
Unpaid Principal Balance [Member]
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	6,348,385	6,649,179
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	6,348,385	6,649,179
Forward Purchase Contracts [Member]
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	2,091	3,600
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	2,091	3,600
Forward Sales Contracts [Member]
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	146,256	15,644
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	146,256	15,644
Derivatives Not Subject To Master Netting Adjustment [Member] | Interest Rate Lock Commitments [Member]
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	130	572
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	130	572
Derivatives Not Subject To Master Netting Adjustment [Member] | CRT Derivatives [Member]
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	185,933	0
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	185,933	0
Netting [Member]
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	0	0
Gross amounts offset in the consolidated balance sheet	(46,716)	(13,393)
Net amounts of liabilities presented in the consolidated balance sheet	(46,716)	(13,393)
Derivatives Subject to Master Netting Arrangements [Member]
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	148,347	19,244
Gross amounts offset in the consolidated balance sheet	(46,716)	(13,393)
Net amounts of liabilities presented in the consolidated balance sheet	101,631	5,851
Derivative Liabilities Before Netting [Member]
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	334,410	19,816
Gross amounts offset in the consolidated balance sheet	(46,716)	(13,393)
Net amounts of liabilities presented in the consolidated balance sheet	287,694	6,423
Unamortized Debt Issuance Costs [Member]
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	(193)	(289)
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	(193)	(289)
Security Sold Under Agreements to Repurchase [Member]
Offsetting Liabilities [Line Items]
Gross amounts of recognized liabilities	6,348,192	6,648,890
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	$ 6,348,192	$ 6,648,890

Derivative and Credit Risk T_10

Derivative and Credit Risk Transfer Strip Assets and Liabilities - Summary of Derivative Liabilities, Financial Liabilities and Collateral Pledged by Counterparty (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	$ 6,635,886	$ 6,655,313
Security Sold Under Agreements to Repurchase [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	6,348,192	6,648,890
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	6,636,079	6,655,602
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(6,348,385)	(6,649,179)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	287,694	6,423
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | CRT Derivatives [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	185,933	0
Gross amounts not offset in the consolidated balance sheet, Financial instruments	0	0
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	185,933	0
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Interest Rate Lock Commitments [Member] | Security Sold Under Agreements to Repurchase [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	130	572
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	130	572
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | J.P. Morgan Securities LLC [Member] | Security Sold Under Agreements to Repurchase [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	1,159,021	1,736,829
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(1,159,021)	(1,736,829)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	0	0
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Daiwa Capital Markets [Member] | Security Sold Under Agreements to Repurchase [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	1,031,902	906,439
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(1,028,634)	(906,439)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	3,268	0
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Bank of America, N.A. [Member] | Security Sold Under Agreements to Repurchase [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	915,856	1,339,291
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(915,856)	(1,339,291)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	0	0
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Citigroup Global Markets Inc. [Member] | Security Sold Under Agreements to Repurchase [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	717,350	412,999
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(715,161)	(411,933)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	2,189	1,066
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Barclays Capital Inc. [Member] | Security Sold Under Agreements to Repurchase [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	606,915	0
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(606,915)	0
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	0	0
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Mizuho Securities [Member] | Security Sold Under Agreements to Repurchase [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	581,866	392,038
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(578,543)	(391,627)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	3,323	411
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Morgan Stanley & Co. LLC [Member] | Security Sold Under Agreements to Repurchase [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	545,001	656,728
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(491,810)	(656,728)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	53,191	0
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Credit Suisse Securities (USA) LLC [Member] | Security Sold Under Agreements to Repurchase [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	380,285	720,411
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(356,454)	(719,902)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	23,831	509
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | RBC Capital Markets, L.P. [Member] | Security Sold Under Agreements to Repurchase [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	241,676	290,388
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(241,676)	(290,388)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	0	0
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Amherst Pierpont Securities LLC [Member] | Security Sold Under Agreements to Repurchase [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	177,641	80,309
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(173,541)	(80,309)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	4,100	0
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | BNP Paribas [Member] | Security Sold Under Agreements to Repurchase [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	80,774	116,155
Gross amounts not offset in the consolidated balance sheet, Financial instruments	(80,774)	(115,733)
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	0	422
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Federal National Mortgage Association [Member] | Security Sold Under Agreements to Repurchase [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	5,140	1,996
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	5,140	1,996
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Wells Fargo Securities, LLC [Member] | Security Sold Under Agreements to Repurchase [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	4,490	0
Gross amounts not offset in the consolidated balance sheet, Financial instruments	0	0
Gross amounts not offset in the consolidated balance sheet, Cash collateral pledged	0	0
Net amount	4,490	0
Unpaid Principal Balance Before Unamortized Debt Issuance Costs Adjustment [Member] | Other [Member] | Security Sold Under Agreements to Repurchase [Member]
Offsetting Liabilities [Line Items]
Net amount of liabilities presented in the consolidated balance sheet	2,099	1,447
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	$ 2,099	$ 1,447

Derivative and Credit Risk T_11

Derivative and Credit Risk Transfer Strip Assets and Liabilities - Net Gains (Losses) Recognized on Derivative Financial Instruments (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Gain Loss on 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	$ 68,231	$ 28,502
Interest expense [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains on derivative financial instruments used as economic hedges	0	(231)
Fixed-rate and prepayments sensitive 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	64,931	7,380
CRT Derivatives [Member] | Net gain (loss) on investments [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains on derivative financial instruments used as economic hedges	(283,742)	27,503
Interest rate lock commitments and loans acquired for sale at fair value [Member] | Gain Loss on loans acquired for sale [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains on derivative financial instruments used as economic hedges	(140,368)	(34,345)
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	$ 767,186	$ 41,135

Real Estate Acquired in Settl_3

Real Estate Acquired in Settlement of Loans - Summary of Financial Information Relating to REO (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Real Estate [Abstract]
Balance at beginning of quarter	$ 65,583	$ 85,681
Transfers From loans at fair value and advances	1,166	4,550
Transfer from real estate held for investment	0	324
Results of REO:
Valuation adjustments, net	(1,503)	(3,561)
Gain on sale, net	1,535	2,081
Total gain (loss), net	32	(1,480)
Sales	(15,943)	(16,900)
Balance at end of quarter	50,838	$ 72,175
REO pledged to secure assets sold under agreements to repurchase	$ 30,385		$ 40,938

Mortgage Servicing Rights - Sum

Mortgage Servicing Rights - Summary of MSRs Carried at Fair Value (Detail) - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Servicing Asset At Fair Value Changes In Fair Value [Abstract]
Balance at beginning of quarter		$ 1,535,705	$ 1,162,369
MSRs resulting from loan sales		248,822	131,868
Due to changes in valuation inputs used in valuation model	[1]	(563,247)	(96,508)
Other changes in fair value	[2]	(63,954)	(40,821)
Change in fair value, Total		(627,201)	(137,329)
Balance at end of quarter		1,157,326	$ 1,156,908
Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable secured by mortgage servicing assets		$ 1,141,337		$ 1,510,651
[1]	Primarily reflects changes in pricing spread (discount rate), prepayment speed, and servicing cost inputs.
[2]	Represents changes due to realization of expected cash flows.

Mortgage Servicing Rights - S_2

Mortgage Servicing Rights - Summary of Net Loan Servicing Fees Relating to MSRs (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Transfers And Servicing [Abstract]
Contractually-specified servicing fees	$ 94,469	$ 61,272
Late charges	500	330
Other	6,691	2,878
Net mortgage loan servicing fees	$ 101,660	$ 64,480

Assets Sold Under Agreements _3

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, 2020	Mar. 31, 2019	Dec. 31, 2019
Assets Sold under Agreements to Repurchase [Line Items]
Weighted average interest rate	2.31%	3.49%
Average balance	$ 6,302,900,000	$ 4,844,689,000
Total interest expense	37,750,000	36,851,000
Maximum daily amount outstanding	8,664,587,000	$ 5,210,162,000
Unpaid principal balance	6,348,385,000		$ 6,649,179,000
Assets sold under agreements to repurchase, At year end	$ 6,348,192,000		$ 6,648,890,000
Weighted average interest rate	1.87%		2.85%
Available borrowing capacity, Committed	$ 339,180,000		$ 0
Available borrowing capacity, Uncommitted	2,780,671,000		2,278,264,000
Available borrowing capacity	3,119,851,000		2,278,264,000
Margin deposits placed with counterparties included in Other assets	6,271,000		91,871,000
Assets Sold Under Agreements to Repurchase [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Unamortized debt issuance costs, net	(193,000)		(289,000)
Mortgage Backed Securities [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Assets securing agreements to repurchase	3,947,420,000		2,839,633,000
Loans Acquired For Sale At Fair Value [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Assets securing agreements to repurchase	2,813,903,000		4,070,134,000
Loans at Fair Value [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Assets securing agreements to repurchase	4,045,000		12,390,000
Real estate acquired in settlement of loans [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Assets securing agreements to repurchase	30,385,000		40,938,000
Mortgage service rights [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Assets securing agreements to repurchase	1,141,337,000		1,354,907,000
Deposits securing CRT Agreements [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Assets securing agreements to repurchase	0		445,194,000
CRT Strips [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Assets securing agreements to repurchase	$ 0		$ 27,073,000

Assets Sold Under Agreements _4

Assets Sold Under Agreements to Repurchase - Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase (Parenthetical) (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Assets Sold under Agreements to Repurchase [Line Items]
Amortization of debt issuance costs	$ 3,127	$ (4,899)
Master Repurchase Agreement [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Incentives as a reductions to finance mortgage loans included in interest expense	$ 7,500	7,500
Repurchase expiration date	Aug. 21, 2019
Assets Sold Under Agreements to Repurchase [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amortization of debt issuance costs	$ 1,400
Amortization of debt issuance premiums		$ 5,700

Assets Sold Under Agreements _5

Assets Sold Under Agreements to Repurchase - Summary of Maturities of Outstanding Advances Under Repurchase Agreements by Maturity Date (Detail) $ in Thousands	3 Months Ended
	Mar. 31, 2020USD ($)
Assets Sold under Agreements to Repurchase [Line Items]
Maturity of repurchase agreements	$ 6,348,385
Weighted average maturity (in months)	1 month 9 days
Within 30 days [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Maturity of repurchase agreements	$ 3,768,236
Over 30 to 90 days [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Maturity of repurchase agreements	2,288,473
Over 90 days to 180 days [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Maturity of repurchase agreements	241,676
Over 180 days to one year [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Maturity of repurchase agreements	50,000
Over one year to two years [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Maturity of repurchase agreements	$ 0

Assets Sold Under Agreements _6

Assets Sold Under Agreements to Repurchase - Summary of Assets Sold under Agreements to Repurchase by Counterparty (Detail) $ in Thousands	3 Months Ended
	Mar. 31, 2020USD ($)
Credit Suisse First Boston Mortgage Capital LLC Maturity in 2020 [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	$ 99,635
Mortgage acquired for sale Weighted-average repurchase agreement maturity	Apr. 24, 2020
Facility maturity	Apr. 24, 2020
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	$ 101,917
Mortgage acquired for sale Weighted-average repurchase agreement maturity	Jun. 18, 2020
Facility maturity	Aug. 4, 2020
Bank of America, N.A. [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 26,610
Weighted average maturity	Apr. 14, 2020
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	$ 34,885
Mortgage acquired for sale Weighted-average repurchase agreement maturity	May 4, 2020
Facility maturity	Mar. 11, 2021
JPMorgan Chase & Co. [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 40,809
Weighted average maturity	Apr. 17, 2020
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	$ 27,149
Mortgage acquired for sale Weighted-average repurchase agreement maturity	May 20, 2020
Facility maturity	Oct. 9, 2020
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	$ 34,928
Mortgage acquired for sale Weighted-average repurchase agreement maturity	Jun. 19, 2020
Facility maturity	Aug. 21, 2020
Royal Bank of Canada [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	$ 17,665
Mortgage acquired for sale Weighted-average repurchase agreement maturity	May 29, 2020
Facility maturity	May 29, 2020
BNP Paribas [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	$ 5,950
Mortgage acquired for sale Weighted-average repurchase agreement maturity	Jun. 16, 2020
Facility maturity	Jul. 31, 2020
Daiwa Capital Markets [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 49,020
Weighted average maturity	Apr. 14, 2020
Barclays Capital Inc. [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 31,579
Weighted average maturity	Apr. 15, 2020
Mizuho Securities [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 28,671
Weighted average maturity	Apr. 10, 2020
Amherst Pierpont Securities LLC [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Amount at risk	$ 8,469
Weighted average maturity	Apr. 13, 2020

Mortgage Loan Participation P_3

Mortgage Loan Participation Purchase and Sale Agreements - Summary of Mortgage Loan Participation Purchase and Sale Agreements (Detail) - Mortgage Loan Participation Purchase and Sale Agreement [Member] - USD ($)	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Mortgage Loan Participation Purchase And Sale Agreement [Line Items]
Weighted average interest rate	2.73%	3.70%
Average balance	$ 41,301,000	$ 56,210,000
Total interest expense	338,000	574,000
Maximum daily amount outstanding	$ 94,387,000	$ 207,065,000

Mortgage Loan Participation P_4

Mortgage Loan Participation Purchase and Sale Agreements - Summary of Mortgage Loan Participation Purchase and Sale Agreements (Parenthetical) (Detail) - USD ($)	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Mortgage Loan Participation Purchase And Sale Agreement [Line Items]
Amortization of debt issuance costs	$ 3,127,000	$ (4,899,000)
Mortgage Loan Participation Purchase and Sale Agreement [Member]
Mortgage Loan Participation Purchase And Sale Agreement [Line Items]
Amortization of debt issuance costs	$ 57,000	$ 55,000

Notes Payable Secured By Cred_3

Notes Payable Secured By Credit Risk Transfer and Mortgage Servicing Assets - Additional Information (Detail) - USD ($)	Feb. 14, 2020	Oct. 16, 2019	Jun. 11, 2019	Mar. 29, 2019	Apr. 25, 2018	Mar. 31, 2020	Feb. 01, 2018
Secured Term Notes [Member]
Short-term Debt [Line Items]
Aggregate loan amount	$ 350,000,000	$ 375,000,000	$ 638,000,000	$ 295,700,000	$ 450,000,000
Maturity date of debt instrument	Feb. 27, 2023	Oct. 27, 2022	May 29, 2023	Mar. 27, 2022	Apr. 25, 2023
Debt instrument extended maturity date subject to term note indenture	Feb. 28, 2025	Oct. 29, 2024	Jun. 28, 2025	Mar. 29, 2024	Apr. 25, 2025
Loan and Security Agreement with Credit Suisse First Boston Mortgage Capital LLC [Member]
Short-term Debt [Line Items]
Maturity date of debt instrument						Apr. 24, 2020
Loan and Security Agreement with Credit Suisse First Boston Mortgage Capital LLC [Member] | Maximum [Member]
Short-term Debt [Line Items]
Aggregate loan amount							$ 175,000,000
Fixed-rate and prepayments sensitive assets and LIBOR- indexed repurchase agreements [Member] | Secured Term Notes [Member]
Short-term Debt [Line Items]
Debt Instrument, Description of Variable Rate Basis	one-month	one-month	one-month	one-month		one-month
Debt instrument interest rate spread	2.35%	2.70%	2.75%	2.00%	2.35%

Notes Payable Secured By Cred_4

Notes Payable Secured By Credit Risk Transfer and Mortgage Servicing Assets - Summary of Financial Information Relating to Note Payable (Detail) - USD ($)	3 Months Ended		12 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Carrying value:
Amount outstanding	$ 1,973,252,000		$ 1,702,262,000
Balance	1,967,526,000		1,696,295,000
Assets securing notes payable:
MSRs	1,141,337,000		1,510,651,000
Deposits securing CRT arrangements	$ 1,855,936,000		1,524,590,000
Derivative assets			142,183,000
Notes Payable [Member]
Debt Instrument [Line Items]
Weighted-average interest rate	4.10%	4.89%
Average balance	$ 1,860,213,000	$ 465,377,000
Total interest expense	19,618,000	5,823,000
Maximum daily amount outstanding	2,032,665,000	$ 745,730,000
Carrying value:
Unamortized debt issuance costs	$ (5,726,000)		$ (5,967,000)
Weighted average interest rate	3.37%		4.30%
Assets securing notes payable:
Derivative assets	$ 0		$ 115,110,000

Notes Payable Secured By Cred_5

Notes Payable Secured By Credit Risk Transfer and Mortgage Servicing Assets - Summary of Financial Information Relating to Note Payable (Parenthetical) (Detail) - USD ($)	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Debt Instrument [Line Items]
Amortization of debt issuance costs	$ 3,127,000	$ (4,899,000)
Notes Payable [Member]
Debt Instrument [Line Items]
Amortization of debt issuance costs	$ 609,000	$ 256,000

Exchangeable Senior Notes - Add

Exchangeable Senior Notes - Additional Information (Detail)	Nov. 04, 2019USD ($)	Apr. 30, 2013USD ($)	Mar. 31, 2020USD ($)$ / shares
Exchangeable Senior Notes due November 1, 2024 [Member]
Debt Instrument [Line Items]
Issuance of debt through private offering	$ 210,000,000
Percentage of interest on debt	5.50%
Principal amount of the exchangeable notes	$ 1,000
Maturity date of debt instrument	Nov. 1, 2024
Exchangeable Senior Notes due November 1, 2024 [Member] | Initial Exchangeable Rate [Member]
Debt Instrument [Line Items]
Number of shares exchanged per exchangeable notes	40.1010
Exchangeable Senior Notes due May 1, 2020 [Member]
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
Maturity date of debt instrument			May 1, 2020
Increased in cash dividend | $ / shares			$ 0.57
Exchangeable Senior Notes due May 1, 2020 [Member] | Initial Exchangeable Rate [Member]
Debt Instrument [Line Items]
Number of shares exchanged per exchangeable notes		33.5149

Exchangeable Senior Notes - Sum

Exchangeable Senior Notes - Summary of Financial Information Relating to Exchangeable Senior Notes (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Carrying value:
UPB	$ 460,000		$ 460,000
Exchangeable senior notes	444,525		443,506
Convertible Debt [Member]
Debt Instrument [Line Items]
Average balance	460,000	$ 250,000
Total interest expense	7,266	$ 3,661
Carrying value:
Unamortized debt issuance costs and conversion option	$ (15,475)		$ (16,494)

Asset-Backed Financing of a V_3

Asset-Backed Financing of a Variable Interest Entity at Fair Value - Summary of Financial Information Relating to Asset-Backed Financing of a VIE at Fair Value (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Variable Interest Entity [Line Items]
Asset-backed financing of a variable interest entity at fair value	$ 232,565		$ 243,360
Variable Interest Entities [Member]
Variable Interest Entity [Line Items]
Asset-backed financing of a variable interest entity at fair value	232,565		243,360
Asset-Backed Financing of the VIE at Fair Value [Member] | Variable Interest Entities [Member]
Variable Interest Entity [Line Items]
Asset-backed financing of a variable interest entity at fair value	232,565		243,360
UPB	227,811		$ 239,169
Asset-Backed Financing of the VIE at Fair Value [Member] | Variable Interest Entities [Member] | Asset Backed Secured Financing Liability Fair Value [Member]
Variable Interest Entity [Line Items]
Average balance	240,765	$ 275,787
Total interest expense	$ 4,527	$ 3,268
Weighted average interest rate	3.39%	3.55%
Weighted average interest rate	3.51%		3.51%

Liability for Losses under Re_3

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, 2020	Mar. 31, 2019
Mortgage Banking [Abstract]
Balance, beginning of quarter	$ 7,614	$ 7,514
Provision for losses:
Pursuant to loan sales	1,030	720
Reduction in liability due to change in estimate	(1,344)	(528)
Losses incurred, net	0	(18)
Balance, end of quarter	7,300	7,688
UPB of loans subject to representations and warranties at end of quarter	$ 131,049,135	$ 96,514,379

Commitments and Contingencies -

Commitments and Contingencies - Company's Outstanding Contractual Commitments (Detail) $ in Thousands	Mar. 31, 2020USD ($)
Commitments to purchase mortgage loans:
Commitments to purchase loans acquired for sale	$ 4,977,773
Face amount of firm commitment to purchase credit risk transfer securities	$ 2,056,893

Shareholders' Equity - Summary

Shareholders' Equity - Summary of Preferred Shares of Beneficial Interest (Detail) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Class Of Stock [Line Items]
Number of shares	12,400,000		12,400,000
Liquidation preference	$ 310,000		$ 310,000
Issuance discount	10,293
Carrying value	$ 299,707		$ 299,707
8.125% Series A Preferred Stock [Member]
Class Of Stock [Line Items]
Number of shares	4,600,000
Liquidation preference	$ 115,000
Issuance discount	3,828
Carrying value	$ 111,172
Dividends per share	$ 0.51	$ 0.51
8.00% Series B Preferred Stock [Member]
Class Of Stock [Line Items]
Number of shares	7,800,000
Liquidation preference	$ 195,000
Issuance discount	6,465
Carrying value	$ 188,535
Dividends per share	$ 0.50	$ 0.50

Shareholders' Equity - Summar_2

Shareholders' Equity - Summary of Preferred Shares of Beneficial Interest (Parenthetical) (Detail) - $ / shares	Jul. 05, 2017	Jul. 31, 2017	Mar. 31, 2017	Mar. 31, 2020	Dec. 31, 2019
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%	5.99%		8.00%
Sale of Stock, Transaction Date				Jul. 31, 2017
Preferred stock, par value		$ 0.01		$ 0.01

Shareholders' Equity - Addition

Shareholders' Equity - Additional Information (Detail) - USD ($)	Jul. 05, 2017	Jul. 31, 2017	Mar. 31, 2017	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019	Aug. 31, 2015
Schedule Of Capitalization Equity [Line Items]
Preferred stock, par value				$ 0.01		$ 0.01
Reimbursement paid for every $100 of performance incentive fees earned				$ 10
Performance incentive fees earned				100
Payments of contingent underwriting fees to underwriters				211,000	$ 152,000
IPO [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. 1, 2023
Management [Member]
Schedule Of Capitalization Equity [Line Items]
Reimbursement of contingent underwriting fee to manager				$ 76,000	75,000
Maximum [Member]
Schedule Of Capitalization Equity [Line Items]
Common stock shares Repurchase authorized amount							$ 300,000,000
Equity Distribution Agreement [Member]
Schedule Of Capitalization Equity [Line Items]
Maximum aggregate offering price					$ 200,000,000
Common stock shares available for issuance value				$ 74,400,000
8.125% Series A Preferred Stock [Member]
Schedule Of Capitalization Equity [Line Items]
Issuance of preferred shares, Shares			4,600,000
Cumulative dividend, beneficial interest rate			8.125%	8.125%
Preferred stock, par value			$ 0.01	$ 0.01
8.125% Series A Preferred Stock [Member] | Fixed Annuity | Date Of Original Issuance To March 14,2024 [Member]
Schedule Of Capitalization Equity [Line Items]
Preferred stock, liquidation preference			$ 25
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%
8.00% Series B Preferred Stock [Member]
Schedule Of Capitalization Equity [Line Items]
Issuance of preferred shares, Shares		7,800,000
Cumulative dividend, beneficial interest rate	8.00%	5.99%		8.00%
Preferred stock, par value		$ 0.01		$ 0.01
Preferred stock, liquidation preference		$ 25
8.125% Series A And 8.00% Series B Preferred Stock [Member]
Schedule Of Capitalization Equity [Line Items]
Preferred stock redemption price per share				$ 25

Shareholders' Equity - Summar_3

Shareholders' Equity - Summary of Activities under ATM Equity Offering Program (Detail) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Class Of Stock [Line Items]
Net proceeds	$ 5,654	$ 149,467
Common Shares [Member]
Class Of Stock [Line Items]
Number of common shares	241	7,221
Equity Distribution Agreement [Member]
Class Of Stock [Line Items]
Average price per share	$ 23.46
Gross proceeds	$ 5,654
Net proceeds	$ 5,597
Equity Distribution Agreement [Member] | Common Shares [Member]
Class Of Stock [Line Items]
Number of common shares	241

Shareholders' Equity - Summar_4

Shareholders' Equity - Summary of Share Repurchase Activity (Detail) - USD ($) shares in Thousands, $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Equity [Abstract]
Common shares repurchased	783	0
Cumulative shares repurchased	15,514
Cost of common shares repurchased	$ 5,783	$ 0
Cumulative cost of shares repurchased	$ 222,408

Net (Loss) Gain on Investment_2

Net (Loss) Gain on Investments - Summary of Net (Loss) Gain on Investments (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items]
Loans at fair value	$ 136,946	$ 135,365
Net (loss) gain on investments	(815,131)	95,093
Nonaffiliates [Member]
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items]
Investment securities at fair value, Mortgage-backed securities	115,967	36,922
CRT arrangements	(487,292)	30,950
Firm commitment to purchase CRT securities	(492,513)	22,190
Asset-backed financing of a VIE at fair value	1,928	(2,857)
Hedging derivatives	64,931	7,380
Net (loss) gain on investments	(800,990)	98,655
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 (loss) gain on investments	(14,141)	(3,562)
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]
Loans at fair value	(2,869)	3,585
Distressed [Member] | Nonaffiliates [Member]
Schedule Of Gain Loss On Investments Including Marketable Securities And Investments Held At Cost Income Statement Reported Amounts Summary [Line Items]
Loans at fair value	$ (1,142)	$ 485

Net Loan Servicing Fees - Summa

Net Loan Servicing Fees - Summary of Net Loan Servicing Fees (Detail) - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2020	Mar. 31, 2019
Components of Net Servicing Fee Income [Line Items]
Contractually specified		$ 101,660	$ 64,480
Effect of MSRs fair value changes:
Realization of cashflows and amortization	[1]	(63,954)	(40,821)
Market changes	[2]	(563,247)	(96,508)
Change in fair value, Total		(627,201)	(137,329)
Total Effect of MSRs		139,985	(96,194)
Net servicing fees from non-affiliates		244,572	(31,080)
Average servicing portfolio UPB		136,687,324	95,844,879
PennyMac Financial Services, Inc. [Member]
Effect of MSRs fair value changes:
From PFSI—MSR recapture income		2,927	634
Nonaffiliates [Member]
Components of Net Servicing Fee Income [Line Items]
Contractually specified		94,469	61,272
Other		7,191	3,208
Effect of MSRs fair value changes:
Realization of cashflows and amortization		(63,955)	(40,821)
Market changes		(563,246)	(96,508)
Change in fair value, Total		(627,201)	(137,329)
Total Effect of MSRs		139,985	(96,194)
Net servicing fees from non-affiliates		241,645	(31,714)
Nonaffiliates [Member] | Mortgage service rights [Member]
Effect of MSRs fair value changes:
Gains on hedging derivatives		$ 767,186	$ 41,135
[1]	Represents changes due to realization of expected cash flows.
[2]	Primarily reflects changes in pricing spread (discount rate), prepayment speed, and servicing cost inputs.

Net Gain on Loans Acquired fo_3

Net Gain on Loans Acquired for Sale - Summary of Net Gain on Mortgage Loans Acquired for Sale (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Provision for losses relating to representations and warranties provided in mortgage loan sales:
Pursuant to loans sales	$ (1,030)	$ (720)
Change in fair value of loans and derivatives held at end of quarter:
Net cash of gain on mortgage loans acquired for sale	136,946	135,365
Net gain on loans acquired for sale	48,775	21,323
PennyMac Financial Services, Inc. [Member]
Change in fair value of loans and derivatives held at end of quarter:
Net gain on loans acquired for sale	4,161	1,994
Nonaffiliates [Member]
Cash loss:
Loans	(68,954)	(101,721)
Hedging activities	(23,378)	(14,315)
Cash gain, net of effects of cash hedging, on sale of mortgage loans acquired for sale	(92,332)	(116,036)
Non-cash gain:
Recognition of fair value of firm commitment to purchase CRT securities	(26,649)	19,600
Receipt of MSRs in mortgage loan sale transactions	248,822	131,868
Provision for losses relating to representations and warranties provided in mortgage loan sales:
Pursuant to loans sales	(1,030)	(720)
Reduction in liability due to change in estimate	1,344	528
Provision for losses relating to representations and warranties	314	(192)
Change in fair value of loans and derivatives held at end of quarter:
IRLCs	68,231	(1,531)
Loans	(36,782)	5,650
Hedging derivatives	(116,990)	(20,030)
Total non cash portion of gain on mortgage loans acquired for sale	(85,541)	(15,911)
Net gain on loans acquired for sale	$ 44,614	$ 19,329

Net Interest Income - Summary o

Net Interest Income - Summary of Net Interest Income (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Interest income:
Interest income	$ 72,123	$ 63,081
Interest expense:
Assets sold under agreements to repurchase	37,750	36,851
Interest expense, total	81,068	54,739
Net interest (expense) income	(8,945)	8,342
Exchangeable Notes [Member]
Interest expense:
Total interest expense	7,266	3,661
PennyMac Financial Services, Inc. [Member]
Interest income:
Interest income	1,974	3,066
Interest expense:
Assets sold under agreements to repurchase	1,218	1,796
Nonaffiliates [Member]
Interest income:
Cash and short-term investments	1,627	670
Mortgage-backed securities	15,568	19,452
Loans acquired for sale at fair value	31,523	20,438
Distressed	59	1,248
Deposits securing CRT arrangements	6,099	6,775
Placement fees relating to custodial funds	12,398	8,266
Other	234	242
Interest income	70,149	60,015
Interest expense:
Assets sold under agreements to repurchase	37,750	36,851
Mortgage loan participation purchase and sale agreements	338	574
Notes payable secured by credit risk transfer and mortgage servicing assets	19,618	5,823
Asset-backed financings of a VIE at fair value	4,527	3,268
Interest shortfall on repayments of loans serviced for Agency securitizations	9,439	2,271
Interest on loan impound deposits	912	495
Interest expense, total	79,850	52,943
Nonaffiliates [Member] | Exchangeable Notes [Member]
Interest expense:
Total interest expense	7,266	3,661
Nonaffiliates [Member] | Variable Interest Entities [Member]
Interest income:
Loans at fair value	$ 2,641	$ 2,924

Net Interest Income - Summary_2

Net Interest Income - Summary of Net Interest Income (Parenthetical) (Detail) - Master Repurchase Agreement [Member] - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Schedule Of Investment Income Reported Amounts By Category [Line Items]
Incentives as a reductions to finance mortgage loans included in interest expense	$ 7.5	$ 7.5
Repurchase agreement expiration date	Aug. 21, 2019
Maturity date description	The master repurchase agreement expired on August 21, 2019.

Share-Based Compensation Plan_2

Share-Based Compensation Plans - Additional Information (Detail)	3 Months Ended
	Mar. 31, 2020
Maximum [Member]
Share Based Compensation Arrangement By Share Based Payment Award [Line Items]
Percentage of Company's issued and outstanding shares	8.00%
Maximum [Member] | Restricted Share Units [Member]
Share Based Compensation Arrangement By Share Based Payment Award [Line Items]
Vesting period	3 years
Minimum [Member] | Restricted Share Units [Member]
Share Based Compensation Arrangement By Share Based Payment Award [Line Items]
Vesting period	1 year

Share-Based Compensation Plan_3

Share-Based Compensation Plans - Summary of Share-Based Compensation Activity (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Share Based Compensation Arrangement By Share Based Payment Award [Line Items]
Total share units granted	204,000	175,000
Total grant date value of share units	$ 4,406	$ 3,609
Total share units vested	266,000	367,000
Compensation expense relating to share-based grants	$ 186	$ 1,617
Restricted Shares Units [Member]
Share Based Compensation Arrangement By Share Based Payment Award [Line Items]
Total share units granted	92,000	96,000
Total grant date value of share units	$ 1,978	$ 1,978
Total share units vested	123,000	226,000
Performance Shares Units [Member]
Share Based Compensation Arrangement By Share Based Payment Award [Line Items]
Total share units granted	112,000	79,000
Total grant date value of share units	$ 2,428	$ 1,631
Total share units vested	143,000	141,000

Share-Based Compensation Plan_4

Share-Based Compensation Plans - Summary of Share-Based Compensation Activity (Parenthetical) (Detail) - shares	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Share Based Compensation Arrangement By Share Based Payment Award [Line Items]
Total share units vested	266,000	367,000
Performance Shares Units [Member]
Share Based Compensation Arrangement By Share Based Payment Award [Line Items]
Share vested due to exceeding performance goal	196,000
Vesting percentage	137.00%
Total share units vested	143,000	141,000

Share-Based Compensation Plan_5

Share-Based Compensation Plans - Summary of Restricted Share Units and Performance Share Units Expected to Vest (Detail) shares in Thousands	3 Months Ended
	Mar. 31, 2020$ / sharesshares
Restricted Share Units [Member]
Shares expected to vest:
Number of units (in thousands) | shares	198
Grant date average fair value per unit | $ / shares	$ 20.48
Average remaining vesting period (months)	9 months
Performance Share Units [Member]
Shares expected to vest:
Number of units (in thousands) | shares	204
Grant date average fair value per unit | $ / shares	$ 19.71
Average remaining vesting period (months)	9 months

Other Expenses - Summary of Oth

Other Expenses - Summary of Other Expenses (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Other Operating Income Expense [Line Items]
Total other expenses	$ 3,720	$ 3,466
Common Overhead Allocation from PFSI [Member]
Other Operating Income Expense [Line Items]
Total other expenses	1,540	1,236
Bank Service Charges [Member]
Other Operating Income Expense [Line Items]
Total other expenses	541	568
Technology [Member]
Other Operating Income Expense [Line Items]
Total other expenses	429	373
Insurance [Member]
Other Operating Income Expense [Line Items]
Total other expenses	339	280
Other [Member]
Other Operating Income Expense [Line Items]
Total other expenses	$ 871	$ 1,009

Income Taxes - Additional Infor

Income Taxes - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended		27 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Mar. 31, 2020
Income Tax [Line Items]
Effective income tax rates	(1.80%)
Expense (benefit) from income taxes	$ 10,248	$ (3,660)
Income (loss) before benefit from income taxes	(584,425)	49,867
Percentage of deduction from taxable income			20.00%
Taxable REIT Subsidiary [Member]
Income Tax [Line Items]
Expense (benefit) from income taxes	10,100	3,900
Income (loss) before benefit from income taxes	(21,800)	$ (17,400)
Net deferred tax assets	$ 27,000		$ 27,000

Earnings Per Share - Summary of

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, 2020	Mar. 31, 2019
Earnings Per Share [Abstract]
Net income (loss)	$ (594,673)	$ 53,527
Income attributable to preferred shares	(6,234)	(6,234)
Effect of participating securities—share-based compensation awards	(50)	(184)
Net (loss) income attributable to common shareholders	(600,957)	47,109
Interest on Exchangeable Notes, net of income taxes	0	2,709
Income attributable to participating securities	0	184
Diluted net (loss) income attributable to common shareholders	$ (600,957)	$ 50,002
Weighted average basic shares outstanding	100,245	64,629
Dilutive securities:
Shares issuable under share-based compensation plan	0	275
Shares issuable pursuant to exchange of the Exchangeable Notes	0	8,467
Diluted weighted average number of shares outstanding	100,245	73,371
Basic (loss) earnings per share	$ (5.99)	$ 0.73
Diluted (loss) earnings per share	$ (5.99)	$ 0.68

Earnings Per Share - Summary _2

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, 2020	Mar. 31, 2019
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	135	209
Shares Issuable Pursuant to Exchange of Exchangeable Notes [Member]
Antidilutive Securities Excluded From Computation Of Earnings Per Share [Line Items]
Potentially dilutive stock excluded from the diluted earnings per share	8,467	0

Segments - Additional Informati

Segments - Additional Information (Detail)	3 Months Ended
	Mar. 31, 2020Segment
Segment Reporting [Abstract]
Number of business segments	4

Segments - Financial Highlights

Segments - Financial Highlights by Operating Segment (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Net investment (loss) income:
Net (loss) gain on investments	$ (815,131)	$ 95,093
Net loan servicing fees	244,572	(31,080)
Net gain on loans acquired for sale	48,775	21,323
Net interest (expense) income:
Interest income	72,123	63,081
Interest expense	(81,068)	(54,739)
Net interest (expense) income	(8,945)	8,342
Other	24,212	12,940
Net investment (loss) income	(506,517)	106,618
Expenses:
Loan fulfillment and servicing fees payable to PFSI	56,461	38,144
Management fees	9,055	7,248
Other	12,392	11,359
Total expenses	77,908	56,751
Pretax (loss) income	(584,425)	49,867
Total assets at quarter end	11,918,488	7,555,987	$ 11,771,351
Credit Sensitive Strategies [Member]
Net investment (loss) income:
Net (loss) gain on investments	(919,109)	53,808
Net loan servicing fees	0	0
Net gain on loans acquired for sale	(32,306)	11,097
Net interest (expense) income:
Interest income	6,556	8,256
Interest expense	(14,566)	(12,022)
Net interest (expense) income	(8,010)	(3,766)
Other	166	(30)
Net investment (loss) income	(959,259)	61,109
Expenses:
Loan fulfillment and servicing fees payable to PFSI	301	465
Management fees	0	0
Other	911	2,271
Total expenses	1,212	2,736
Pretax (loss) income	(960,471)	58,373
Total assets at quarter end	1,947,153	1,617,022
Interest Rate Sensitive Strategies [Member]
Net investment (loss) income:
Net (loss) gain on investments	103,978	41,285
Net loan servicing fees	244,572	(31,080)
Net gain on loans acquired for sale	0	0
Net interest (expense) income:
Interest income	33,241	34,079
Interest expense	(41,608)	(33,055)
Net interest (expense) income	(8,367)	1,024
Other	0	0
Net investment (loss) income	340,183	11,229
Expenses:
Loan fulfillment and servicing fees payable to PFSI	14,220	10,106
Management fees	0	0
Other	1,182	318
Total expenses	15,402	10,424
Pretax (loss) income	324,781	805
Total assets at quarter end	5,664,991	4,326,579
Correspondent production [Member]
Net investment (loss) income:
Net (loss) gain on investments	0	0
Net loan servicing fees	0	0
Net gain on loans acquired for sale	81,081	10,226
Net interest (expense) income:
Interest income	31,407	20,316
Interest expense	(24,309)	(9,662)
Net interest (expense) income	7,098	10,654
Other	23,988	12,964
Net investment (loss) income	112,167	33,844
Expenses:
Loan fulfillment and servicing fees payable to PFSI	41,940	27,573
Management fees	0	0
Other	4,918	2,650
Total expenses	46,858	30,223
Pretax (loss) income	65,309	3,621
Total assets at quarter end	3,068,163	1,511,887
Corporate [Member]
Net investment (loss) income:
Net (loss) gain on investments	0	0
Net loan servicing fees	0	0
Net gain on loans acquired for sale	0	0
Net interest (expense) income:
Interest income	919	430
Interest expense	(585)	0
Net interest (expense) income	334	430
Other	58	6
Net investment (loss) income	392	436
Expenses:
Loan fulfillment and servicing fees payable to PFSI	0	0
Management fees	9,055	7,248
Other	5,381	6,120
Total expenses	14,436	13,368
Pretax (loss) income	(14,044)	(12,932)
Total assets at quarter end	$ 1,238,181	$ 100,499

Segments - Financial Highligh_2

Segments - Financial Highlights by Operating Segment (Parenthetical) (Detail) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Correspondent production [Member]
Segment Reporting Information [Line Items]
Allocated gain (loss) on Initial firm commitment recognized gain allocated to net gain on loans acquired for sale	$ 5.7	$ 8.6

Supplemental Cash Flow Inform_3

Supplemental Cash Flow Information - Summary of Supplemental Cash Flow Information (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Payments:
Interest	$ 104,757	$ 67,466
Non-cash investing activities:
Transfer of loans and advances to real estate acquired in settlement of loans	1,166	4,550
Transfer from real estate held for investment to real estate acquired in settlement of loans	0	424
Receipt of mortgage servicing rights as proceeds from sales of loans at fair value	248,822	131,868
Receipt of excess servicing spread pursuant to recapture agreement with PennyMac Financial Services, Inc.	379	508
Capitalization of servicing advances pursuant to mortgage loan modifications	0	457
Non-cash financing activities:
Dividends declared, not paid	$ 25,009	$ 32,262

Regulatory Capital and Liquid_3

Regulatory Capital and Liquidity Requirements - Additional Information (Detail) - USD ($)	Mar. 31, 2020	Jan. 31, 2020
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items]
Minimum net worth amount	$ 2,500,000
Basis point	0.25%	0.25%
Unpaid Principal Balance [Member]
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items]
Basis point	0.035%
Unpaid Principal Balance [Member] | Ginnie Mae [Member]
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items]
Minimum net worth amount		$ 2,500,000
Basis point		0.35%
Liquidity requirement basis point		0.10%
Unpaid Principal Balance [Member] | Fannie Mae Or Freddie Mac [Member]
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items]
Liquidity requirement basis point		0.04%
Nonperforming mortgage loans [Member]
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items]
Basis point	2.00%	3.00%
Minimum [Member]
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items]
Basis point	6.00%
Minimum [Member] | Nonperforming mortgage loans [Member]
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items]
Basis point		4.00%

Regulatory Capital and Liquid_4

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, 2020	Dec. 31, 2019
Capital Requirements By Agencies [Line Items]
Net Worth, Actual	$ 945,251	$ 627,144
Net Worth, Required	$ 364,552	$ 341,009
Tangible Net Worth / Total Assets Ratio, Actual	15.00%	8.00%
Tangible Net Worth / Total Assets Ratio, Required	6.00%	6.00%
Liquidity, Actual	$ 512,249	$ 128,806
Liquidity, Required	$ 48,739	$ 44,970

Subsequent Events - Additional

Subsequent Events - Additional Information (Details) - USD ($) $ in Millions	May 01, 2020	Apr. 30, 2020	Mar. 31, 2020
Subsequent Events [Member]
Subsequent Event [Line Items]
Investment in Mortgage Backed Securities sold		$ 1,000
Exchangeable Senior Notes due May 1, 2020 [Member]
Subsequent Event [Line Items]
Repurchase of notes			$ 123.6
Weighted average price percentage			98.60%
Gain on extinguishment of debt			$ 2.2
Matured and repayment of senior exchangeable notes			May 1, 2020
Exchangeable Senior Notes due May 1, 2020 [Member] | Subsequent Events [Member]
Subsequent Event [Line Items]
Repayments of debt	$ 126.4