PennyMac Financial Services (PFSI) 10-Q6 Aug 202020 Q2 Quarterly reportFinancial data

Company Profile

Document and Entity Information

Document and Entity Information - shares	6 Months Ended
Document and Entity Information - shares	Jun. 30, 2020	Aug. 05, 2020
Document and Entity Information
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Jun. 30, 2020
Document Transition Report	false
Entity File Number	001-38727
Entity Registrant Name	PennyMac Financial Services, Inc.
Entity Central Index Key	0001745916
Entity Incorporation, State or Country Code	DE
Entity Tax Identification Number	83-1098934
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
Title of 12(b) Security	Common Stock, $0.0001 par value
Trading Symbol	PFSI
Security Exchange Name	NYSE
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Accelerated Filer
Amendment Flag	false
Current Fiscal Year End Date	--12-31
Entity Small Business	false
Entity Emerging Growth Company	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding		72,390,922
Document Fiscal Year Focus	2020
Document Fiscal Period Focus	Q2

CONSOLIDATED BALANCE SHEETS

CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
ASSETS
Cash (includes $896,058 and $52,599 pledged to creditors)	$ 910,257	$ 188,291
Short-term investments at fair value	7,746	74,611
Loans held for sale at fair value (includes $4,873,662 and $4,846,138 pledged to creditors)	4,918,253	4,912,953
Derivative assets	400,302	159,686
Servicing advances, net (includes valuation allowance of $102,497 and $82,157; $197,094 and $207,460 pledged to creditors)	282,285	331,169
Mortgage servicing rights at fair value (includes $2,209,928 and $2,920,603 pledged to creditors)	2,213,539	2,926,790
Operating lease right-of-use assets	73,571	73,090
Loans eligible for repurchase	13,762,157	1,046,527
Other (includes $16,400 and $32,598 pledged to creditors)	522,625	333,557
Total assets	23,226,475	10,204,017
LIABILITIES
Assets sold under agreements to repurchase	3,759,315	4,141,053
Mortgage loans participation purchase and sale agreements	536,395	497,948
Obligations under capital lease	16,749	20,810
Notes payable secured by mortgage servicing assets	1,294,949	1,294,070
Derivative liabilities	21,154	22,330
Operating lease liabilities	93,605	91,320
Accounts payable and accrued expenses	216,399	175,273
Mortgage servicing liabilities at fair value	29,858	29,140
Income taxes payable	736,870	504,569
Liability for loans eligible for repurchase	13,762,157	1,046,527
Liability for losses under representations and warranties	25,909	21,446
Total liabilities	20,747,282	8,142,510
Commitments and contingencies - Note 15
STOCKHOLDERS' EQUITY
Additional paid-in capital	1,113,412	1,335,107
Retained earnings	1,365,774	726,392
Total stockholders' equity	2,479,193	2,061,507
Total liabilities and stockholders' equity	23,226,475	10,204,017
Common Stock
STOCKHOLDERS' EQUITY
Common stock - authorized 200,000,000 shares of $0.0001 par value; issued and outstanding, 72,358,167 and 78,515,047 shares respectively	7	8
PMT
ASSETS
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors	90,101	107,512
Investment in PennyMac Mortgage Investment Trust at fair value	1,310	1,672
Receivable, from PennyMac Investment Trust	44,329	48,159
LIABILITIES
Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value	151,206	178,586
Payable to PennyMac Mortgage Investment Trust	56,558	73,280
Private National Mortgage Acceptance Company, LLC
LIABILITIES
Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement	$ 46,158	$ 46,158

CONSOLIDATED BALANCE SHEETS (Pa

CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Cash pledged to creditors	$ 896,058	$ 52,599
Mortgage loans held for sale, pledged to creditors	4,873,662	4,846,138
Servicing advances, net, valuation allowance	102,497	82,157
Servicing advances pledged to creditors	197,094	207,460
Mortgage servicing rights pledged to creditors	2,209,928	2,920,603
Other assets pledged to creditors	$ 141,417	$ 32,598
Common Stock
Common stock, shares authorized	200,000,000	200,000,000
Common stock, par value (in dollars per share)	$ 0.0001	$ 0.0001
Common stock, shares issued	72,358,167	78,515,047
Common stock, shares outstanding	72,358,167	78,515,047

CONSOLIDATED STATEMENTS OF INCO

CONSOLIDATED STATEMENTS OF INCOME - USD ($) shares in Thousands, $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Net gains on loans held for sale at fair value:
From non-affiliates	$ 687,765	$ 111,222	$ 954,131	$ 169,975
Net gains on loans held for sale at fair value	682,173	147,533	1,026,455	232,309
Loan origination fees from non-affiliates	54,660	33,822	108,251	55,509
Loan origination fees	58,948	36,924	116,519	60,854
Fulfillment fees from PennyMac Mortgage Investment Trust			94,755	57,164
Loan servicing fees
From non-affiliates	199,178	180,753	397,831	347,543
Other	28,543	26,008	57,298	48,025
Loan servicing fees	243,254	218,329	485,183	417,706
Change in fair value of mortgage servicing rights and mortgage servicing liabilities	205,789	365,979	1,241,002	623,393
Hedging results	(15,764)	203,180	1,020,806	337,737
Change in fair value of excess servicing spread payable to PennyMac Mortgage Investment Trust	(220,917)	(159,195)	(205,038)	(278,001)
Net loan servicing fees	22,337	59,134	280,145	139,705
Interest income:
From non-affiliates	46,526	69,208	117,872	125,745
Interest income	47,318	70,900	119,882	129,233
Interest expense:
To non-affiliates	50,835	50,157	110,373	84,634
Interest expense	53,207	52,924	114,719	90,467
Net interest (expense) income	(5,889)	17,976	5,163	38,766
Management fees, net:
Management fees	8,288	8,832	17,343	16,080
Result of real estate acquired in settlement of loans	296	743	(411)	1,017
Other	2,123	2,126	3,804	4,476
Total net revenue	821,634	302,977	1,543,459	550,682
Expenses
Compensation	179,886	114,717	348,322	221,317
Servicing	56,503	29,008	98,669	59,301
Loan origination	50,921	23,071	96,925	37,568
Technology	21,905	16,080	41,012	32,046
Professional services	12,500	6,313	25,904	12,194
Occupancy and equipment	8,293	7,042	16,331	13,818
Other	11,264	7,156	21,204	14,557
Total expenses	341,272	203,387	648,367	390,801
Income before provision for income taxes	480,362	99,590	895,092	159,881
Provision for income taxes	127,685	26,894	236,172	41,050
Net income attributable to PennyMac Financial Services, Inc. common stockholders	$ 352,677	$ 72,696	$ 658,920	$ 118,831
Earnings per share
Basic (in dollars per share)	$ 4.53	$ 0.93	$ 8.42	$ 1.52
Diluted (in dollars per share)	$ 4.39	$ 0.92	$ 8.11	$ 1.50
Weighted-average shares outstanding
Basic (in shares)	77,790	78,335	78,240	77,996
Diluted (in shares)	80,424	79,318	81,241	79,301
Dividend declared per share (in dollars per share)	$ 0.12		$ 0.24
PMT
Net gains on loans held for sale at fair value:
From PennyMac Mortgage Investment Trust	$ (5,592)	$ 36,311	$ 72,324	$ 62,334
Loan origination fees from PennyMac Mortgage Investment Trust	4,288	3,102	8,268	5,345
Fulfillment fees from PennyMac Mortgage Investment Trust	52,815	29,590	94,755	57,164
Loan servicing fees
Loan servicing fees from affiliates	15,533	11,568	30,054	22,138
Changes in fair value included in income	636	3,604	15,158	7,655
Interest income:
From PennyMac Mortgage Investment Trust	792	1,692	2,010	3,488
Interest expense:
To PennyMac Mortgage Investment Trust	2,372	2,767	4,346	5,833
Management fees, net:
Management fees	8,288	8,832	17,343	16,080
Change in fair value of investment in and dividends received from affiliate	$ 543	$ 119	$ (314)	$ 311

CONSOLIDATED STATEMENTS OF CHAN

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) shares in Thousands, $ in Thousands	Common Stock.	Additional paid-in capital	Retained earnings	Common Stock	Total
Balance at Dec. 31, 2018	$ 8	$ 1,310,648	$ 343,135		$ 1,653,791
Balance (in shares) at Dec. 31, 2018	77,494
Changes in stockholders' equity
Net income			118,831		118,831
Stock based compensation		7,295			7,295
Stock based compensation (in shares)	856
Issuance of common stock in settlement of director fees		136			136
Issuance of common stock in settlement of director fees (in shares)	6
Repurchase of common stock		(1,056)		$ (1,056)	(1,056)
Repurchase of common stock (in shares)	(51)			(51)
Balance at Jun. 30, 2019	$ 8	1,317,023	461,966		1,778,997
Balance (in shares) at Jun. 30, 2019	78,305
Balance at Mar. 31, 2019	$ 8	1,311,914	389,270		1,701,192
Balance (in shares) at Mar. 31, 2019	78,318
Changes in stockholders' equity
Net income			72,696		72,696
Stock based compensation		6,115			6,115
Stock based compensation (in shares)	36
Issuance of common stock in settlement of director fees		50			50
Issuance of common stock in settlement of director fees (in shares)	2
Repurchase of common stock		(1,056)		$ (1,056)	(1,056)
Repurchase of common stock (in shares)	(51)			(51)
Balance at Jun. 30, 2019	$ 8	1,317,023	461,966		1,778,997
Balance (in shares) at Jun. 30, 2019	78,305
Balance at Dec. 31, 2019	$ 8	1,335,107	726,392		2,061,507
Balance (in shares) at Dec. 31, 2019	78,515
Changes in stockholders' equity
Net income			658,920		658,920
Stock based compensation		19,491			19,491
Stock based compensation (in shares)	1,053
Common stock dividends			(19,538)		(19,538)
Issuance of common stock in settlement of director fees		96			96
Issuance of common stock in settlement of director fees (in shares)	3
Repurchase of common stock	$ (1)	(241,282)		$ (241,283)	(241,283)
Repurchase of common stock (in shares)	(7,213)			(7,213)
Balance at Jun. 30, 2020	$ 7	1,113,412	1,365,774		2,479,193
Balance (in shares) at Jun. 30, 2020	72,358
Balance at Mar. 31, 2020	$ 8	1,341,219	1,022,902		2,364,129
Balance (in shares) at Mar. 31, 2020	79,190
Changes in stockholders' equity
Net income			352,677		352,677
Stock based compensation		9,306			9,306
Stock based compensation (in shares)	141
Common stock dividends			(9,805)		(9,805)
Issuance of common stock in settlement of director fees		48			48
Issuance of common stock in settlement of director fees (in shares)	2
Repurchase of common stock	$ (1)	(237,161)		$ (237,162)	(237,162)
Repurchase of common stock (in shares)	(6,975)			(6,975)
Balance at Jun. 30, 2020	$ 7	$ 1,113,412	$ 1,365,774		$ 2,479,193
Balance (in shares) at Jun. 30, 2020	72,358

CONSOLIDATED STATEMENTS OF CH_2

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares	3 Months Ended	6 Months Ended
	Jun. 30, 2020	Jun. 30, 2020
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
Common Stock dividends (in dollars per share)	$ 0.12	$ 0.24

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019
Cash flow from operating activities
Net income	$ 658,920	$ 118,831
Adjustments to reconcile net income to net cash used in operating activities:
Net gains on loans held for sale at fair value	(1,026,455)	(232,309)
Change in fair value of mortgage servicing rights, mortgage servicing liabilities and excess servicing spread	1,225,844	615,738
Hedging gains	(1,020,806)	(337,737)
Capitalization of interest on loans held for sale at fair value	(33,198)	(36,550)
Amortization of net debt issuance cost and (premiums)	5,565	(7,701)
Results of real estate acquired in settlement of loans	411	(1,017)
Stock based compensation expense	19,125	10,183
Provision for servicing advance losses	34,061	8,375
Depreciation and amortization	10,725	6,750
Amortization of right-to-use assets	6,017	4,736
Origination of loans held for sale	(11,820,127)	(3,936,922)
Purchase of loans held for sale from non-affiliates	(1,461,210)	(589,510)
Purchase of loans from Ginnie Mae securities and early buyout investors for modification and subsequent sale	(2,995,791)	(1,995,933)
Sale to non-affiliates and principal payments of loans held for sale	40,526,005	21,186,748
Repurchase of loans subject to representations and warranties	(34,518)	(11,312)
Settlement of repurchase agreement derivatives		22,572
Decrease in servicing advances	2,411	26,373
Sale of real estate acquired in settlement of loans	19,559	4,066
Increase in other assets	(132,288)	(1,471)
Decrease in operating lease liabilities	(6,888)	(6,004)
Increase in accounts payable and accrued expenses	39,792	5,715
Net cash provided by (used in) operating activities	365,597	(881,945)
Cash flow from investing activities
Decrease in short-term investments	66,865	42,282
Net settlement of derivative financial instruments used for hedging of mortgage servicing rights	995,223	327,544
Purchase of mortgage servicing rights	(24,707)	(217,942)
Purchase of furniture, fixtures, equipment and leasehold improvements	(3,472)	(4,405)
Acquisition of capitalized software	(33,270)	(18,238)
(Increase) decrease in margin deposits	(31,913)	18,889
Net cash provided by investing activities	986,137	160,439
Cash flow from financing activities
Sale of assets under agreements to repurchase	39,561,048	20,955,022
Repurchase of assets sold under agreements to repurchase	(39,933,232)	(20,141,847)
Issuance of mortgage loan participation purchase and sale certificates	11,548,130	11,375,849
Repayment of mortgage loan participation purchase and sale certificates	(11,509,683)	(11,385,036)
Advances of obligations under capital lease		25,123
Repayments of obligations under capital lease	(4,061)	(3,433)
Repayment of excess servicing spread financing	(17,430)	(21,082)
Payment of debt issuance costs	(14,240)	(3,064)
Issuance of common stock pursuant to exercise of stock options	5,631	1,746
Payment of withholding taxes relating to stock-based compensation	(5,265)	(4,634)
Payment of dividend to holders of common stock	(19,538)
Repurchase of common stock	(241,283)	(1,056)
Net cash (used in) provided by (used in) financing activities	(629,923)	797,588
Net increase in cash and restricted cash	721,811	76,082
Cash and restricted cash at beginning of period	188,578	155,924
Cash and restricted cash at end of period	910,389	232,006
Cash	910,257	231,388
Restricted cash included in Other assets	132	618
PMT
Adjustments to reconcile net income to net cash used in operating activities:
Accrual of interest on excess servicing spread financing payable to PennyMac Mortgage Investment Trust	4,346	5,833
Change in fair value of investment in common shares of PennyMac Mortgage Investment Trust	362	(240)
Purchase of loans held for sale from PennyMac Mortgage Investment Trust	(26,112,503)	(17,956,971)
Sale of loans held for sale to Penny Mac Mortgage Investment Trust	2,248,869	2,218,721
Increase in receivable from affiliates	(171)	(3,092)
Decrease in payable to affiliate	(24,761)	(40,607)
Increase in income taxes payable	232,301	40,790
Cash flow from investing activities
Net change in assets purchased from PMT under agreement to resell	$ 17,411	$ 12,309

Organization

Organization	6 Months Ended
Organization	Jun. 30, 2020
Organization
Organization	PENNYMAC FINANCIAL SERVICES, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) Note 1—Organization PennyMac Financial Services, Inc. (“PFSI” or the “Company”) is a holding corporation and its primary assets are direct and indirect equity interests in Private National Mortgage Acceptance Company, LLC (“PennyMac”). The Company is the managing member of PennyMac, and it operates and controls all of the businesses and affairs of PennyMac, and consolidates the financial results of PennyMac and its subsidiaries. PennyMac is a Delaware limited liability company which, through its subsidiaries, engages in mortgage banking and investment management activities. PennyMac’s mortgage banking activities consist of residential mortgage and home equity loan production and servicing. PennyMac’s investment management activities and a portion of its loan servicing activities are conducted on behalf of PennyMac Mortgage Investment Trust (“PMT”), a real estate mortgage investment trust that invests primarily in mortgage-related assets. PennyMac’s primary wholly owned subsidiaries are: ● PennyMac Loan Services, LLC (“PLS”) — a Delaware limited liability company that services portfolios of residential mortgage and home equity loans on behalf of non-affiliates and PMT , purchases, originates and sells new prime credit quality residential mortgage and home equity loans and engages in other mortgage banking activities for its own account and the account of PMT. PLS is approved as a seller/servicer of mortgage loans by the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”) and as an issuer of securities guaranteed by the Government National Mortgage Association (“Ginnie Mae”). PLS is a licensed Federal Housing Administration (“FHA”) Nonsupervised Title II Lender with the U.S. Department of Housing and Urban Development (“HUD”) and a lender/servicer with the Veterans Administration (“VA”) and U.S. Department of Agriculture (“USDA”) (each an “Agency” and collectively the “Agencies”). ● PNMAC Capital Management, LLC (“PCM”) — a Delaware limited liability company registered with the Securities and Exchange Commission (“SEC”) as an investment adviser under the Investment Advisers Act of 1940, as amended. PCM has an investment management agreement with PMT.

Basis of Presentation and Recen

Basis of Presentation and Recently Adopted Accounting Pronouncements	6 Months Ended
	Jun. 30, 2020
Basis of Presentation and Recently Adopted Accounting Pronouncements
Basis of Presentation and Recently Adopted Accounting Pronouncements	Note 2—Basis of Presentation and Recently Adopted Accounting Pronouncement Basis of Presentation The accompanying consolidated financial statements have been prepared in compliance with accounting principles generally accepted in the United States (“GAAP”) as codified in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification The accompanying unaudited consolidated financial statements reflect all normal recurring adjustments necessary to present fairly the financial position, income, and cash flows for the interim periods presented, but are not necessarily indicative of income to be anticipated for the full year ending December 31, 2020. Intercompany accounts and transactions have been eliminated. Preparation of financial statements in compliance with GAAP requires management to make judgments and estimates 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. Certain asset amounts separately presented in prior periods have been reclassified to Other Other Assets 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 Risk

Concentration of Risk	6 Months Ended
Concentration of Risk	Jun. 30, 2020
Concentration of Risk
Concentration of Risk	Note 3—Concentration of Risk A substantial portion of the Company’s activities relate to PMT. Revenues generated from PMT (generally comprised of gains on loans held for sale, loan origination and fulfillment fees, loan servicing fees, change in fair value of excess servicing spread financing (“ESS”), management fees, net interest, and change in fair value of investment in and dividends received from PMT) totaled 9% and 31% of total net revenue for the quarters ended June 30, 2020 and 2019, respectively, and 15% and 31% for the six months ended June 30, 2020 and 2019, respectively.

Transactions with Affiliates

Transactions with Affiliates	6 Months Ended
Transactions with Affiliates	Jun. 30, 2020
Transactions with Affiliates
Transactions with Affiliates	Note 4—Transactions with Affiliates Transactions with PMT Operating Activities Mortgage Loan Production Activities and MSR Recapture The Company sells newly originated loans to PMT under a mortgage loan purchase agreement. The Company has typically utilized the mortgage loan purchase agreement for the purpose of selling to PMT conforming balance non-government insured or guaranteed loans, as well as prime jumbo residential mortgage loans. Through June 30, 2020, pursuant to the terms of an MSR recapture agreement by and between the Company and PMT, if the Company refinanced mortgage loans for which PMT previously held the MSRs, the Company was generally required to transfer and convey to PMT cash in an amount equal to 30% of the fair market value of the MSRs related to all such mortgage loans. On June 30, 2020, the MSR recapture agreement was amended and restated for a term of five years (the “2020 MSR Recapture Agreement”). Effective July 1, 2020, the 2020 MSR Recapture agreement changes the recapture fee payable by the Company to a tiered amount equal to 40% of the fair market value of the MSRs relating to the recaptured loans subject to the first 15% of the “recapture rate,” 35% of the fair market value of the MSRs relating to the recaptured loans subject to the recapture rate in excess of 15% and up to 30% , and 30% of the fair market value of the MSRs relating to the recaptured loans subject to the recapture rate in excess of 30% . The “recapture rate” means, during each month, the ratio of (i) the aggregate unpaid principal balance of all recaptured loans, to (ii) the aggregate unpaid principal balance of all mortgage loans for which the Company held the MSRs and that were refinanced or otherwise paid off in such month. The Company has further agreed to allocate sufficient resources to target a recapture rate of 15% . Through June 30, 2020, pursuant to the terms of a mortgage banking services agreement, the Company provided PMT with certain mortgage banking services, including fulfillment and disposition-related services, for which it received a monthly fulfillment fee. Pursuant to the terms of the mortgage banking services agreement, the monthly fulfillment fee was an amount equal to: a) no greater than the product of (i) 0.35% and (ii) the aggregate initial unpaid principal balance (the “Initial UPB”) of all mortgage loans purchased in such month, plus b) in the case of all mortgage loans other than mortgage loans sold to or securitized through Fannie Mae or Freddie Mac, no greater than the product of (i) 0.50% and (ii) the aggregate Initial UPB of all such mortgage loans sold and securitized in such month; provided, however, that no fulfillment fee shall be due or payable to the Company with respect to any mortgage loans underwritten to the Ginnie Mae Mortgage-Backed Securities (“MBS”) Guide. PMT does not hold the Ginnie Mae approval required to issue Ginnie Mae MBS and act as a servicer. Accordingly, under the agreement, the Company purchases mortgage loans underwritten in accordance with the Ginnie Mae MBS Guide “as is” and without recourse of any kind from PMT at PMT’s cost less an administrative fee plus accrued interest and a sourcing fee ranging from two to three and one-half basis points, generally based on the average number of calendar days mortgage loans are held by PMT before being purchased by the Company. The Company purchases these mortgage loans “as is” and without recourse of any kind from PMT; however, where the Company has a claim for repurchase, indemnity or otherwise as against a correspondent seller, the Company is entitled, at its sole expense, to pursue any such claim through or in the name of PMT. On June 30, 2020, the mortgage banking services agreement was amended and restated for a term of five years (the “2020 MBS Agreement”). Effective July 1, 2020, the fulfillment fees and sourcing fees provided for in the 2020 MBS Agreement receivable were revised as follows: ● Fulfillment fees shall not exceed the following: (i) (ii) (iii) ● Sourcing fees charged to PLS range from one to two basis points, generally based on the average number of calendar days loans are held by PMT before purchase by PLS. Following is a summary of loan production activities, including MSR recapture between the Company and PMT: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Net gains on loans held for sale at fair value: Net gains on loans held for sale to PMT $ 70 $ 37,719 $ 81,294 $ 64,865 Mortgage servicing rights and excess servicing spread recapture incurred (5,662) (1,408) (8,970) (2,531) $ (5,592) $ 36,311 $ 72,324 $ 62,334 Sale of loans held for sale to PMT $ 2,742 $ 1,334,211 $ 2,248,869 $ 2,218,721 Tax service fees earned from PMT included in Loan origination fees $ 4,288 $ 3,102 $ 8,268 $ 5,345 Fulfillment fee revenue $ 52,815 $ 29,590 $ 94,755 $ 57,164 Unpaid principal balance of loans fulfilled for PMT subject to fulfillment fees $ 18,899,695 $ 10,741,078 $ 35,052,238 $ 18,876,630 Sourcing fees paid to PMT $ 3,324 $ 3,155 $ 7,485 $ 5,149 Unpaid principal balance of loans purchased from PMT $ 11,080,565 $ 10,514,390 $ 24,950,845 $ 17,161,728 Loan Servicing The Company and PMT have entered into a loan servicing agreement (the “Servicing Agreement”), pursuant to which the Company provides servicing for PMT’s portfolio of residential mortgage loans and subservicing for its portfolio of MSRs. The Servicing Agreement provides for servicing fees of per-loan monthly amounts based on the delinquency, bankruptcy and/or foreclosure status of the serviced loan or the real estate acquired in settlement of loans (“REO”). The Company also remains entitled to customary ancillary income and market-based fees and charges relating to loans it services for PMT. These include boarding and deboarding fees, liquidation and disposition fees, assumption, modification and origination fees and a percentage of late charges. Prime Servicing ● The base servicing fees for non-distressed loans are 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 fee rates are $7.50 per month for fixed-rate loans and $8.50 per month for adjustable-rate loans. ● To the extent that non-distressed loans become delinquent, the Company 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. The Company 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. ● Because PMT has a small number of employees and limited infrastructure, the Company is required to provide a range of services and activities significantly greater in scope than the services provided in connection with a customary servicing arrangement. For these services, the Company receives a supplemental servicing fee of $25 per month for each distressed loan. The Company is entitled to reimbursement for all customary, good faith reasonable and necessary out-of-pocket expenses incurred by the Company in the performance of its servicing obligations. ● The Company 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. The Company 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 the Company facilitates rentals of PMT's REO under its REO rental program, the Company collects 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 the Company’s cost if property management services and/or any related software costs are outsourced to a third-party property management firm or 9% of gross rental income if the Company provides property management services directly. The Company 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 the Company effects a refinancing of a loan on behalf of PMT and not through a third-party lender and the resulting loan is readily saleable, or the Company originates a loan to facilitate the disposition of a REO, the Company is entitled to receive from PMT market-based fees and compensation consistent with pricing and terms the Company offers unaffiliated parties on a retail basis. ● The Company is entitled to retain any incentive payments made to it and to which it is entitled under the U.S. Department of Treasury’s Home Affordable Modification Plan; provided, however, that with respect to any such incentive payments paid to the Company in connection with a loan modification for which PMT previously paid the Company a modification fee, the Company is required to reimburse PMT an amount equal to the incentive payments. Following is a summary of loan servicing and property management fees earned from PMT: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Loan type serviced: Loans acquired for sale at fair value $ 607 $ 385 $ 1,143 $ 624 Loans at fair value 188 617 488 1,080 Mortgage servicing rights 14,738 10,566 28,423 20,434 $ 15,533 $ 11,568 $ 30,054 $ 22,138 Property management fees received from PMT included in Other $ — $ 102 $ — $ 225 On June 30, 2020, the Servicing Agreement was amended and restated for a term of five years (the “2020 Servicing Agreement”). The terms of the 2020 Servicing agreement are substantially similar to those in the prior servicing agreement except that they now include certain fees relating to forbearance and modification activities required as a result of the COVID-19 pandemic. Investment Management Activities The Company has a management agreement with PMT (“Management Agreement”), pursuant to which the Company oversees PMT’s business affairs in conformity with the investment policies that are approved and monitored by its board of trustees, for which PFSI collects a base management fee and may collect a performance incentive fee. The Management Agreement provides that: ● The base management fee is calculated quarterly and is equal to the sum of (i) 1.5% per year of PMT’s average shareholders’ equity up to $2 billion, (ii) 1.375% per year of PMT’s average shareholders’ equity in excess of $2 billion and up to $5 billion, and (iii) 1.25% per year of PMT’s average shareholders’ equity in excess of $5 billion. ● The performance incentive fee is calculated quarterly at a defined annualized percentage of the amount by which PMT’s “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 PMT’s “net income” for the quarter exceeds (i) an 8% return on equity plus the “high watermark,” up to (ii) a 12% return on PMT’s equity; plus (b) 15% of the amount by which PMT’s “net income” for the quarter exceeds (i) a 12% return on PMT’s equity plus the “high watermark,” up to (ii) a 16% return on PMT’s equity; plus (c) 20% of the amount by which PMT’s “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 PMT’s common shares of beneficial interest computed in accordance with GAAP adjusted for certain other non-cash charges determined after discussions between the Company and PMT’s independent trustees and approval by a majority of PMT’s independent trustees. “Equity” is the weighted average of the issue price per common share of all of PMT’s public offerings, multiplied by the weighted average number of common shares outstanding (including restricted share units) in the rolling four-quarter period. The “high watermark” is the quarterly adjustment that reflects the amount by which the “net income” (stated as a percentage of return on “equity”) in that quarter exceeds or falls short of the lesser of 8% and the average Fannie Mae 30-year MBS yield (the “Target Yield”) for the four quarters then ended. 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 the Company to earn a performance incentive fee are adjusted cumulatively based on the performance of PMT’s “net income” over (or under) the Target Yield, until the “net income” in excess of the Target Yield exceeds the then-current cumulative high watermark amount, and a performance incentive fee is earned. The base management fee and the performance incentive fee are both receivable quarterly in arrears. The performance incentive fee may be paid in cash or a combination of cash and PMT’s common shares (subject to a limit of no more than 50% paid in common shares), at PMT’s option. In the event of termination of the Management Agreement between PMT and the Company, the Company 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 the Company, in each case during the 24-month period immediately preceding the date of termination. Following is a summary of the base management and performance incentive fees earned from PMT: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Base management $ 8,288 $ 6,839 $ 17,343 $ 12,948 Performance incentive — 1,993 — 3,132 $ 8,288 $ 8,832 $ 17,343 $ 16,080 Expense Reimbursement Under the Management Agreement, PMT reimburses the Company for its organizational and operating expenses, including third-party expenses, incurred on PMT’s behalf, it being understood that the Company 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 PMT. With respect to the allocation of the Company’s and its affiliates’ personnel compensation, the Company was reimbursed $120,000 per fiscal quarter through June 30, 2020, such amount to be reviewed annually and not preclude reimbursement for any other services performed by the Company or its affiliates. PMT is also required to pay its pro rata portion of rent, telephone, utilities, office furniture, equipment, machinery and other office, internal and overhead expenses of the Company and its affiliates required for PMT’s and its subsidiaries’ operations. These expenses will be allocated based on the ratio of PMT’s proportion of gross assets compared to all remaining gross assets managed by the Company as calculated at each fiscal quarter end. On June 30, 2020, the Management Agreement was amended and restated for a term of five years (the “2020 Management Agreement”). The Company received reimbursements from PMT for expenses as follows: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Reimbursement of: Common overhead incurred by the Company $ 1,585 $ 1,276 $ 3,125 $ 2,512 Compensation 120 120 240 240 Expenses incurred on PMT's behalf, net 1,438 489 2,709 1,059 $ 3,143 $ 1,885 $ 6,074 $ 3,811 Payments and settlements during the quarter (1) $ 136,352 $ 28,031 $ 170,035 $ 43,220 (1) Payments and settlements include payments for management fees and correspondent production activities itemized in the preceding tables and netting settlements made pursuant to master netting agreements between the Company and PMT. Conditional Reimbursement of Underwriting Fees In connection with its initial public offering of common shares of beneficial interest on August 4, 2009 (“IPO”), PMT conditionally agreed to reimburse the Company up to $2.9 million for underwriting fees paid to the IPO underwriters by the Company on PMT’s behalf. In the event a termination fee is payable to the Company under the Management Agreement, and the Company has not received the full amount of the reimbursements and payments under the reimbursement agreement, such amount will be paid in full. On February 1, 2019, the term of the reimbursement agreement was extended to February 1, 2023. The Company received $0 and $144,000 in reimbursement of underwriting fees from PMT during the quarters ended June 30, 2020 and 2019, respectively, and $211,000 and $219,000 during the six months ended June 30, 2020 and 2019, respectively. Investing Activities Master Repurchase Agreement On December 19, 2016, the Company, through PLS, entered into a master repurchase agreement with one of PMT’s wholly-owned subsidiaries, PennyMac Holdings, LLC (“PMH”) (the “PMH Repurchase Agreement”), pursuant to which PMH may borrow from the Company for the purpose of financing PMH’s participation certificates representing beneficial ownership in ESS. 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 PennyMac, 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) has issued and 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 $1,000,000,000. 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. The Company holds an investment in PMT in the form of 75,000 common shares of beneficial interest. Following is a summary of investing activities between the Company and PMT: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Interest income relating to Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 792 $ 1,692 $ 2,010 $ 3,488 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Dividends received $ 30 $ 35 $ 48 $ 71 Change in fair value of investment 513 84 (362) 240 $ 543 $ 119 $ (314) $ 311 June 30, December 31, 2020 2019 (in thousands) Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 90,101 $ 107,512 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 1,310 $ 1,672 Number of shares 75 75 Financing Activities Spread Acquisition and MSR Servicing Agreements The Company has a master spread acquisition and MSR servicing agreement with PMT (the “Spread Acquisition Agreement”) which was amended and restated effective December 19, 2016, pursuant to which the Company may sell to PMT, from time to time, the right to receive participation certificates representing beneficial ownership in ESS arising from Ginnie Mae MSRs acquired by the Company, in which case the Company generally would be required to service or subservice the related mortgage loans for Ginnie Mae. The primary purpose of the amendment and restatement was to facilitate the continued financing of the ESS owned by PMT in connection with the parties’ participation in the GNMA MSR Facility. To the extent the Company refinances any of the mortgage loans relating to the ESS it has issued, the Spread Acquisition Agreement also contains recapture provisions requiring that the Company transfer to PMT, at no cost, the ESS relating to a certain percentage of the unpaid principal balance of the newly originated mortgage loans. However, under the Spread Acquisition Agreement, in any month where the transferred ESS relating to newly originated Ginnie Mae mortgage loans is not equal to at least 90% of the product of the excess servicing fee rate and the unpaid principal balance of the refinanced mortgage loans, the Company is also required to transfer additional ESS or cash in the amount of such shortfall. Similarly, in any month where the transferred ESS relating to modified Ginnie Mae mortgage loans is not equal to at least 90% of the product of the excess servicing fee rate and the unpaid principal balance of the modified mortgage loans, the Spread Acquisition Agreement contains provisions that require the Company 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, the Company may, at its option, settle its obligation to PMT in cash in an amount equal to such fair market value in lieu of transferring such ESS. Following is a summary of financing activities between the Company and PMT: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Excess servicing spread financing: Balance at beginning of period $ 157,109 $ 205,081 $ 178,586 $ 216,110 Issuance pursuant to recapture agreement 483 442 862 950 Accrual of interest 2,372 2,767 4,346 5,833 Repayment (8,122) (10,530) (17,430) (21,082) Change in fair value (636) (3,604) (15,158) (7,655) Balance at end of period $ 151,206 $ 194,156 $ 151,206 $ 194,156 Recapture incurred pursuant to refinancings by the Company of mortgage loans subject to excess servicing spread financing included in Net gains on loans held for sale at fair value $ 535 $ 393 $ 916 $ 882 Receivable from and Payable to PMT Amounts receivable from and payable to PMT are summarized below: June 30, December 31, 2020 2019 (in thousands) Receivable from PMT: Allocated expenses and expenses incurred on PMT's behalf $ 11,867 $ 3,724 Fulfillment fees 11,549 18,285 Management fees 8,288 10,579 Correspondent production fees 7,746 10,606 Servicing fees 4,824 4,659 Interest on assets purchased under agreements to resell 45 85 Conditional reimbursement 10 221 $ 44,329 $ 48,159 Payable to PMT: Amounts advanced by PMT to fund its servicing advances $ 53,100 $ 70,520 Mortgage servicing rights recapture payable 202 149 Other 3,256 2,611 $ 56,558 $ 73,280 Exchanged Private National Mortgage Acceptance Company, LLC Unitholders On May 8, 2013, the Company entered into a tax receivable agreement with certain former owners of PennyMac that provides for the payment from time to time by the Company to PennyMac’s exchanged unitholders of an amount equal to 85% of the amount of the net tax benefits, if any, that the Company is deemed to realize as a result of (i) increases in tax basis of PennyMac’s assets resulting from exchanges of ownership interests in PennyMac and (ii) certain other tax benefits related to entering into the tax receivable agreement, including tax benefits attributable to payments under the tax receivable agreement. Although a reorganization in November 2018 eliminated the potential for unitholders to exchange any additional units subject to this tax receivable agreement, the Company continues to be subject to the agreement and will be required to make payments, to the extent any of the tax benefits specified above are deemed to be realized, under the tax receivable agreement to those certain prior owners of PennyMac who effected exchanges of ownership interests in PennyMac for the Company’s common stock prior to the closing of the reorganization. Based on the PennyMac unitholder exchanges to date, the Company has recorded a $46.2 million Payable to exchanged Private National Mortgage Acceptance Company, LLC unitholders under tax receivable agreement

Loan Sales and Servicing Activi

Loan Sales and Servicing Activities	6 Months Ended
Loan Sales and Servicing Activities	Jun. 30, 2020
Loan Sales and Servicing Activities
Loan Sales and Servicing Activities	Note 5—Loan Sales and Servicing Activities The Company, through PLS, originates or purchases and sells loans in the secondary mortgage market without recourse for credit losses. However, the Company maintains continuing involvement with the loans in the form of servicing arrangements and the liability under representations and warranties it makes to purchasers and insurers of the loans. The following table summarizes cash flows between the Company and transferees as a result of the sale of loans in transactions where the Company maintains continuing involvement with the loans as servicer: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Cash flows: Sales proceeds $ 21,188,988 $ 12,650,318 $ 40,526,005 $ 21,186,748 Servicing fees received (1) $ 158,871 $ 140,416 $ 325,427 $ 277,564 Net servicing advances (recoveries) $ 12,311 $ (8,012) $ (2,898) $ (32,188) (1) Net of guarantee fees paid to the Agencies. The following table summarizes unpaid principal balance (the “UPB”) of the loans sold by the Company in which it maintains continuing involvement in the form of owned servicing obligations: June 30, December 31, 2020 2019 (in thousands) Unpaid principal balance of loans outstanding $ 182,319,317 $ 168,842,011 Delinquencies: 30-89 days $ 12,396,411 $ 7,947,560 90 days or more: Not in foreclosure $ 16,046,569 $ 3,237,563 In foreclosure $ 718,689 $ 888,136 Foreclosed $ 14,920 $ 15,387 Bankruptcy $ 1,384,075 $ 1,343,816 The following tables summarize the UPB of the Company’s loan servicing portfolio: June 30, 2020 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 182,319,317 $ — $ 182,319,317 Purchased 53,618,932 — 53,618,932 235,938,249 — 235,938,249 PennyMac Mortgage Investment Trust — 147,695,455 147,695,455 Loans held for sale 4,672,171 — 4,672,171 $ 240,610,420 $ 147,695,455 $ 388,305,875 Delinquent loans (1): 30 days $ 7,589,181 $ 1,826,444 $ 9,415,625 60 days 8,073,130 2,951,365 11,024,495 90 days or more: Not in foreclosure 20,428,946 5,429,224 25,858,170 In foreclosure 954,312 48,033 1,002,345 Foreclosed 18,596 56,826 75,422 $ 37,064,165 $ 10,311,892 $ 47,376,057 Bankruptcy $ 1,953,297 $ 156,561 $ 2,109,858 Delinquent loans in COVID-19 related forbearance: 30 days $ 4,289,993 $ 1,213,623 $ 5,503,616 60 days 6,721,454 2,534,691 9,256,145 90 days or more not in foreclosure 16,108,414 4,527,397 20,635,811 $ 27,119,861 $ 8,275,711 $ 35,395,572 Custodial funds managed by the Company $ 8,108,221 $ 5,339,922 $ 13,448,143 (1) Includes delinquent loans in COVID-19 related forbearance plans that were requested by borrowers seeking payment relief in accordance with the Coronavirus Aid, Relief, and Economic Security Act (“CARES Act”) of 2020. (2) Custodial funds include cash accounts holding funds on behalf of borrowers and investors relating to loans serviced under servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the loans’ borrowers and investors, which are included in Interest income in the Company’s consolidated statements of income. December 31, 2019 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 168,842,011 $ — $ 168,842,011 Purchased 59,703,547 — 59,703,547 228,545,558 — 228,545,558 PennyMac Mortgage Investment Trust — 135,414,668 135,414,668 Loans held for sale 4,724,006 — 4,724,006 $ 233,269,564 $ 135,414,668 $ 368,684,232 Delinquent loans: 30 days $ 7,987,132 $ 857,660 $ 8,844,792 60 days 2,490,797 172,263 2,663,060 90 days or more: Not in foreclosure 4,070,482 274,592 4,345,074 In foreclosure 1,113,806 68,331 1,182,137 Foreclosed 18,315 89,421 107,736 $ 15,680,532 $ 1,462,267 $ 17,142,799 Bankruptcy $ 1,898,367 $ 136,818 $ 2,035,185 Custodial funds managed by the Company (1) $ 6,412,291 $ 2,529,984 $ 8,942,275 (1) Custodial funds include cash accounts holding funds on behalf of borrowers and investors relating to loans serviced under servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the loans’ borrowers and investors, which are included in Interest income in the Company’s consolidated statements of income. Following is a summary of the geographical distribution of loans included in the Company’s loan servicing portfolio for the top five and all other states as measured by UPB: June 30, December 31, State 2020 2019 (in thousands) California $ 57,483,007 $ 57,311,867 Florida 31,896,387 28,940,696 Texas 30,394,027 27,909,821 Virginia 23,467,173 22,115,619 Maryland 17,783,314 16,829,320 All other states 227,281,967 215,576,909 $ 388,305,875 $ 368,684,232

Fair Value

Fair Value	6 Months Ended
Fair Value	Jun. 30, 2020
Fair Value
Fair Value	Note 6—Fair Value Most of the Company’s assets and certain of its liabilities are measured at or based on their fair values. 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 significant 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 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. Fair Value Accounting Elections The Company identified its MSRs, its mortgage servicing liabilities (“MSLs”) and all of its non-cash financial assets other than Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell Assets and Liabilities Measured at Fair Value on a Recurring Basis Following is a summary of assets and liabilities that are measured at fair value on a recurring basis: June 30, 2020 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 7,746 $ — $ — $ 7,746 Loans held for sale at fair value — 4,256,534 661,719 4,918,253 Derivative assets: Interest rate lock commitments — — 369,455 369,455 Repurchase agreement derivatives — — 8,187 8,187 Forward purchase contracts — 93,136 — 93,136 Forward sales contracts — 5,271 — 5,271 MBS put options — 8,543 — 8,543 Swaptions — 5,318 — 5,318 Put options on interest rate futures purchase contracts 273 — — 273 Call options on interest rate futures purchase contracts 3,438 — — 3,438 Total derivative assets before netting 3,711 112,268 377,642 493,621 Netting — — — (93,319) Total derivative assets 3,711 112,268 377,642 400,302 Mortgage servicing rights at fair value — — 2,213,539 2,213,539 Investment in PennyMac Mortgage Investment Trust 1,310 — — 1,310 $ 12,767 $ 4,368,802 $ 3,252,900 $ 7,541,150 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 151,206 $ 151,206 Derivative liabilities: Interest rate lock commitments — — 1,391 1,391 Forward purchase contracts — 4,184 — 4,184 Forward sales contracts — 109,371 — 109,371 MBS put options — 2 — 2 Total derivative liabilities before netting — 113,557 1,391 114,948 Netting — — — (93,794) Total derivative liabilities — 113,557 1,391 21,154 Mortgage servicing liabilities at fair value — — 29,858 29,858 $ — $ 113,557 $ 182,455 $ 202,218 December 31, 2019 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 74,611 $ — $ — $ 74,611 Loans held for sale at fair value — 4,529,075 383,878 4,912,953 Derivative assets: Interest rate lock commitments — — 138,511 138,511 Repurchase agreement derivatives — — 8,187 8,187 Forward purchase contracts — 12,364 — 12,364 Forward sales contracts — 17,097 — 17,097 MBS put options — 3,415 — 3,415 Swaptions — 2,409 — 2,409 Put options on interest rate futures purchase contracts 3,945 — — 3,945 Call options on interest rate futures purchase contracts 1,469 — — 1,469 Total derivative assets before netting 5,414 35,285 146,698 187,397 Netting — — — (27,711) Total derivative assets 5,414 35,285 146,698 159,686 Mortgage servicing rights at fair value — — 2,926,790 2,926,790 Investment in PennyMac Mortgage Investment Trust 1,672 — — 1,672 $ 81,697 $ 4,564,360 $ 3,457,366 $ 8,075,712 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 178,586 $ 178,586 Derivative liabilities: Interest rate lock commitments — — 1,861 1,861 Forward purchase contracts — 19,040 — 19,040 Forward sales contracts — 18,045 — 18,045 Total derivative liabilities before netting — 37,085 1,861 38,946 Netting — — — (16,616) Total derivative liabilities — 37,085 1,861 22,330 Mortgage servicing liabilities at fair value — — 29,140 29,140 $ — $ 37,085 $ 209,587 $ 230,056 As shown above, all or a portion of the Company’s loans held for sale, Interest Rate Lock Commitments (“IRLCs”), repurchase agreement derivatives, MSRs, ESS and MSLs are measured using Level 3 fair value inputs. Following are roll forwards of these items for the quarter and six month periods ended June 30, 2020 and 2019: Quarter ended June 30, 2020 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, March 31, 2020 $ 806,587 $ 315,194 $ 8,187 $ 2,193,697 $ 3,323,665 Purchases and issuances, net 288,856 496,149 — — 785,005 Capitalization of interest and advances 14,994 — — — 14,994 Sales and repayments (60,364) — — — (60,364) Mortgage servicing rights resulting from loan sales — — — 225,534 225,534 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 1,132 — — — 1,132 Other factors — 297,198 — (205,692) 91,506 1,132 297,198 — (205,692) 92,638 Transfers from Level 3 to Level 2 (389,486) — — — (389,486) Transfers of interest rate lock commitments to loans held for sale — (740,477) — — (740,477) Balance, June 30, 2020 $ 661,719 $ 368,064 $ 8,187 $ 2,213,539 $ 3,251,509 Changes in fair value recognized during the quarter relating to assets still held at June 30, 2020 $ (717) $ 368,064 $ — $ (205,692) $ 161,655 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended June 30, 2020 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, March 31, 2020 $ 157,109 $ 29,761 $ 186,870 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 483 — 483 Accrual of interest 2,372 — 2,372 Repayments (8,122) — (8,122) Mortgage servicing liabilities resulting from loan sales — — — Changes in fair value included in income (636) 97 (539) Balance, June 30, 2020 $ 151,206 $ 29,858 $ 181,064 Changes in fair value recognized during the quarter relating to liabilities still outstanding at June 30, 2020 $ (636) $ 97 $ (539) Quarter ended June 30, 2019 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, March 31, 2019 $ 455,533 $ 66,065 $ 24,632 $ 2,905,090 $ 3,451,320 Purchases (purchase adjustments) and issuances, net 891,146 119,880 3,662 (373) 1,014,315 Sales and repayments (656,033) — (11,136) — (667,169) Mortgage servicing rights resulting from loan sales — — — 183,331 183,331 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (186) — — — (186) Other factors — 96,773 (1,143) (367,713) (272,083) (186) 96,773 (1,143) (367,713) (272,269) Transfers from Level 3 to Level 2 (471,599) — — — (471,599) Transfers to real estate acquired in settlement of loans (863) — — — (863) Transfers of interest rate lock commitments to loans held for sale — (170,942) — — (170,942) Balance, June 30, 2019 $ 217,998 $ 111,776 $ 16,015 $ 2,720,335 $ 3,066,124 Changes in fair value recognized during the quarter relating to assets still held at June 30, 2019 $ (3,911) $ 111,776 $ 244 $ (367,713) $ (259,604) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended June 30, 2019 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, March 31, 2019 $ 205,081 $ 7,844 $ 212,925 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 442 — 442 Accrual of interest 2,767 — 2,767 Repayments (10,530) — (10,530) Mortgage servicing liabilities resulting from loan sales — 6,838 6,838 Changes in fair value included in income (3,604) (1,734) (5,338) Balance, June 30, 2019 $ 194,156 $ 12,948 $ 207,104 Changes in fair value recognized during the quarter relating to liabilities still outstanding at June 30, 2019 $ (3,604) $ (1,734) $ (5,338) Six months ended June 30, 2020 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, December 31, 2019 $ 383,878 $ 136,650 $ 8,187 $ 2,926,790 $ 3,455,505 Purchases and issuances, net 1,930,087 838,129 — 25,760 2,793,976 Capitalization of interest and advances 33,021 — — — 33,021 Sales and repayments (799,292) — — — (799,292) Mortgage servicing rights resulting from loan sales — — — 507,849 507,849 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (6,391) — — — (6,391) Other factors — 497,116 — (1,246,860) (749,744) (6,391) 497,116 — (1,246,860) (756,135) Transfers from Level 3 to Level 2 (878,893) — — — (878,893) Transfers to real estate acquired in settlement of loans (691) — — — (691) Transfers of interest rate lock commitments to loans held for sale — (1,103,831) — — (1,103,831) Balance, June 30, 2020 $ 661,719 $ 368,064 $ 8,187 $ 2,213,539 $ 3,251,509 Changes in fair value recognized during the period relating to assets still held at June 30, 2020 $ (563) $ 368,064 $ — $ (1,246,860) $ (879,359) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Six months ended June 30, 2020 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, December 31, 2019 $ 178,586 $ 29,140 $ 207,726 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 862 — 862 Accrual of interest 4,346 — 4,346 Repayments (17,430) — (17,430) Mortgage servicing liabilities resulting from loan sales — 6,576 6,576 Changes in fair value included in income (15,158) (5,858) (21,016) Balance, June 30, 2020 $ 151,206 $ 29,858 $ 181,064 Changes in fair value recognized during the period relating to liabilities still outstanding at June 30, 2020 $ (15,158) $ (5,858) $ (21,016) Six months ended June 30, 2019 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, December 31, 2018 $ 260,008 $ 49,338 $ 26,770 $ 2,820,612 $ 3,156,728 Purchases and issuances, net 1,675,408 176,863 13,517 227,399 2,093,187 Sales and repayments (832,335) — (22,572) — (854,907) Mortgage servicing rights resulting from loan sales — — — 299,082 299,082 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (6,277) — — — (6,277) Other factors — 156,751 (1,700) (626,758) (471,707) (6,277) 156,751 (1,700) (626,758) (477,984) Transfers from Level 3 to Level 2 (876,762) — — — (876,762) Transfers to real estate acquired in settlement of loans (2,044) — — — (2,044) Transfers of interest rate lock commitments to loans held for sale — (271,176) — — (271,176) Balance, June 30, 2019 $ 217,998 $ 111,776 $ 16,015 $ 2,720,335 $ 3,066,124 Changes in fair value recognized during the period relating to assets still held at June 30, 2019 $ (4,380) $ 111,776 $ 244 $ (626,758) $ (519,118) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Six months ended June 30, 2019 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, December 31, 2018 $ 216,110 $ 8,681 $ 224,791 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 950 — 950 Accrual of interest 5,833 — 5,833 Repayments (21,082) — (21,082) Mortgage servicing liabilities resulting from loan sales — 7,632 7,632 Changes in fair value included in income (7,655) (3,365) (11,020) Balance, June 30, 2019 $ 194,156 $ 12,948 $ 207,104 Changes in fair value recognized during the period relating to liabilities still outstanding at June 30, 2019 $ (7,655) $ (3,365) $ (11,020) The information used in the preceding roll forwards represents activity for any assets and liabilities measured at fair value on a recurring basis and identified as using “Level 3” significant fair value inputs at either the beginning or the end of the periods presented. The Company had transfers among the fair value levels arising from transfers of IRLCs to loans held for sale at fair value upon purchase or funding of the respective loans and from the return to salability in the active secondary market of certain loans held for sale. Assets and Liabilities Measured at Fair Value under the Fair Value Option Net changes in fair values included in income for assets and liabilities carried at fair value as a result of management’s election of the fair value option by income statement line item are summarized below: Quarter ended June 30, 2020 2019 Net gains on Net Net gains on Net loans held loan loans held loan for sale at servicing for sale at servicing fair value fees Total fair value fees Total Assets: Loans held for sale $ 739,797 $ — $ 739,797 $ 172,752 $ — $ 172,752 Mortgage servicing rights — (205,692) (205,692) — (367,713) (367,713) $ 739,797 $ (205,692) $ 534,105 $ 172,752 $ (367,713) $ (194,961) Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ — $ 636 $ 636 $ — $ 3,604 $ 3,604 Mortgage servicing liabilities — (97) (97) — 1,734 1,734 $ — $ 539 $ 539 $ — $ 5,338 $ 5,338 Six months ended June 30, 2020 2019 Net gains on Net Net gains on Net loans held loan loans held loan for sale at servicing for sale at servicing fair value fees Total fair value fees Total Assets: Loans held for sale $ 1,138,515 $ — $ 1,138,515 $ 274,747 $ — $ 274,747 Mortgage servicing rights — (1,246,860) (1,246,860) — (626,758) (626,758) $ 1,138,515 $ (1,246,860) $ (108,345) $ 274,747 $ (626,758) $ (352,011) Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ — $ 15,158 $ 15,158 $ — $ 7,655 $ 7,655 Mortgage servicing liabilities — 5,858 5,858 — 3,365 3,365 $ — $ 21,016 $ 21,016 $ — $ 11,020 $ 11,020 Following are the fair value and related principal amounts due upon maturity of loans held for sale accounted for under the fair value option: June 30, 2020 December 31, 2019 Principal Principal amount amount Fair due upon Fair due upon Loans held for sale value maturity Difference value maturity Difference (in thousands) Current through 89 days delinquent $ 4,376,517 $ 4,114,182 $ 262,335 $ 4,628,333 $ 4,431,854 $ 196,479 90 days or more delinquent: Not in foreclosure 467,334 480,268 (12,934) 236,650 241,958 (5,308) In foreclosure 74,402 77,721 (3,319) 47,970 50,194 (2,224) $ 4,918,253 $ 4,672,171 $ 246,082 $ 4,912,953 $ 4,724,006 $ 188,947 Assets Measured at Fair Value on a Nonrecurring Basis Following is a summary of assets that were measured at fair value on a nonrecurring basis: Real estate acquired in settlement of loans Level 1 Level 2 Level 3 Total (in thousands) June 30, 2020 $ — $ — $ 8,838 $ 8,838 December 31, 2019 $ — $ — $ 9,850 $ 9,850 The following table summarizes the (losses) gains recognized on assets when they were remeasured at fair value on a nonrecurring basis: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Real estate acquired in settlement of loans $ (1,001) $ 105 $ (2,283) $ 111 Fair Value of Financial Instruments Carried at Amortized Cost The Company’s Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell Assets sold under agreements to repurchase Mortgage loan participation purchase and sale agreements Obligations under capital lease Notes payable secured by mortgage servicing assets These assets and liabilities are classified as “Level 3” fair value items due to the Company’s reliance on unobservable inputs to estimate their fair values. The Company has concluded that the fair values of these assets and liabilities other than the Term Notes included in Notes payable secured by mortgage servicing assets The Company estimates the fair value of the Term Notes based on non-affiliate broker indications of fair value. The fair value and carrying value of the Term Notes are summarized below: Term Notes June 30, 2020 December 31, 2019 (in thousands) Fair value $ 1,255,719 $ 1,303,047 Carrying value $ 1,294,949 $ 1,294,070 Valuation Governance Most of the Company’s financial assets, and all of its MSRs, ESS, derivative liabilities and MSLs, are carried at fair value with changes in fair value recognized in current period income. Certain of the Company’s financial assets and all of its MSRs, ESS, derivative liabilities and MSLs are “Level 3” fair value assets and liabilities which require use of unobservable inputs that are significant to the estimation of the items’ fair values. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available under the circumstances. Due to the difficulty in estimating the fair values of “Level 3” fair value assets and liabilities, the Company has assigned the responsibility for estimating the fair value of these items to specialized staff and subjects the valuation process to significant senior management oversight. The Company’s Financial Analysis and Valuation group (the “FAV group”) is the Company’s specialized staff responsible for estimating the fair values of “Level 3” fair value assets and liabilities other than IRLCs. With respect to the non-IRLC “Level 3” valuations, the FAV group reports to the Company’s senior management valuation committee, which oversees the valuations. 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 the Company’s senior management valuation committee. As of June 30, 2020, the Company’s senior management valuation committee includes the Company’s chief financial, risk and investment officers as well as other senior members of the Company’s finance, capital markets and risk management staffs. The FAV group is responsible for reporting to the Company’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. The Company has assigned responsibility for developing the fair values of IRLCs to its Capital Markets Risk Management staff. The fair values developed by the Capital Markets Risk Management staff are reviewed by the Company’s Capital Markets Operations group. Valuation Techniques and Inputs 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: Loans Held for Sale Most of the Company’s loans held for sale at fair value are saleable into active markets and are therefore categorized as “Level 2” fair value assets. The fair values of “Level 2” fair value loans are determined using their contracted selling price or quoted market price or market price equivalent. Certain of the Company’s loans held for sale are not saleable into active markets and are therefore categorized as “Level 3” fair value assets. Loans held for sale categorized as “Level 3” fair value assets include: ● Delinquent government guaranteed or insured loans purchased by the Company from Ginnie Mae guaranteed pools in its loan servicing portfolio. The Company’s right to purchase delinquent government guaranteed or insured loans arises as the result of the loan being at least three months delinquent on the date of repurchase by the Company and provides an alternative to the Company’s obligation to continue advancing principal and interest at the coupon rate of the related Ginnie Mae security. Such repurchased loans may be resold to investors and thereafter may be repurchased to the extent eligible for resale into a new Ginnie Mae guaranteed security. Such eligibility occurs when the repurchased loans become current either through the borrower’s reperformance or through completion of a modification of the loan’s terms or after six months of timely payments following the completion of certain types of payment deferral programs. ● The Company’s loans held for sale that are not saleable into active markets due to identification of a defect by the Company or to the repurchase by the Company of a loan with an identified defect. ● Home equity lines of credit held for sale to PMT. At present, an active market with observable inputs that are significant to the estimation of fair value of home equity lines of credit does not exist. The Company uses a discounted cash flow model to estimate the fair value of its “Level 3” fair value loans held for sale. The significant unobservable inputs used in the fair value measurement of the Company’s “Level 3” fair value loans held for sale are discount rates, home price projections, voluntary prepayment/resale and total prepayment speeds. Significant changes in any of those inputs in isolation could result in a significant change to the loans’ fair value measurement. Increases in home price projections are generally accompanied by an increase in voluntary prepayment speeds. Following is a quantitative summary of key “Level 3” fair value inputs used in the valuation of loans held for sale: June 30, 2020 December 31, 2019 Fair value (in thousands) $ 661,719 $ 383,878 Key inputs (1): Discount rate: Range 2.9% – 9.2% 3.0% – 9.2% Weighted average 3.0% 3.0% Twelve-month projected housing price index change: Range 0.8% – 1.3% 2.6% – 3.2% Weighted average 0.9% 2.8% Voluntary prepayment/resale speed (2): Range 0.4% – 20.2% 0.4% – 21.4% Weighted average 17.5% 18.2% Total prepayment speed (3): Range 0.6% – 37.7% 0.5% – 39.2% Weighted average 35.0% 36.2% (1) Weighted average inputs are based on the fair value of the “Level 3” loans. (2) Voluntary prepayment/resale speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). (3) Total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments/resale and defaults. Changes in fair value of loans held for sale attributable to changes in the loan’s instrument-specific credit risk are measured with reference to the change in the respective loan’s delinquency status and performance history at period end from the later of the beginning of the period or acquisition date. Changes in fair value of loans held for sale are included in Net gains on loans held for sale at fair value Derivative Financial Instruments Interest Rate Lock Commitments The Company categorizes IRLCs as “Level 3” fair value assets or liabilities. The Company estimates the fair value of IRLCs based on quoted Agency MBS prices, its estimate of the fair value of the MSRs it expects to receive in the sale of the loans and the probability that the loan will be funded or purchased (the “pull-through rate”). The significant unobservable inputs used in the fair value measurement of the Company’s IRLCs are the pull-through rate and the MSR component of the Company’s estimate of the fair value of the mortgage loans it has committed to purchase. Significant changes in the pull-through rate or the MSR component of the IRLCs, in isolation, could result in significant changes in the IRLCs’ fair value measurement. 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 increase the pull-through rate for the loan principal and interest payment cash flow component, which has decreased in fair value. Changes in fair value of IRLCs are included in Net gains on loans held for sale at fair value Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs: June 30, 2020 December 31, 2019 Fair value (in thousands) $ 368,064 $ 136,650 Key inputs Pull-through rate: Range 11.8% – 100% 12.2% – 100% Weighted average 79.8% 86.5% Mortgage servicing rights value expressed as: Servicing fee multiple: Range 0.8 – 5.5 1.4 – 5.7 Weighted average 2.9 4.2 Percentage of unpaid principal balance: Range 0.2% – 2.5% 0.3% – 2.8% Weighted average 0.9% 1.6% (1) For purpose of this table, IRLC asset and liability positions are shown net. (2) Weighted average inputs are based on the committed amounts. 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 gains on loans held for sale at fair value, Net loan servicing fees – Hedging results . Repurchase Agreement Derivatives Through August 21, 2019, the Company had a master repurchase agreement that included incentives for financing loans approved for satisfying designated consumer relief characteristics. These incentives are classified for financial reporting purposes as embedded derivatives and are separated for reporting purposes from the master repurchase agreement. Repurchase agreement derivatives are categorized as “Level 3” fair value assets. The significant unobservable inputs into the valuation of repurchase agreement derivative assets are the discount rate and the Company’s 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 June 30, 2020 and December 31, 2019. Mortgage Servicing Rights MSRs are categorized as “Level 3” fair value assets. The Company uses a discounted cash flow approach to estimate the fair value of MSRs. The key inputs used in the estimation of the fair value of MSRs include the applicable pricing spread (discount rate), prepayment rates of the underlying loans, and annual per-loan cost to service the underlying loans, all of which are unobservable. Significant changes to any of those inputs in isolation could result in a significant change in the MSR fair value measurement. Changes in these key inputs are not necessarily directly related. Changes in the fair value of MSRs are included in Net loan servicing fees Change in fair value of mortgage servicing rights and mortgage servicing liabilities Following are the key inputs used in determining the fair value of MSRs received by the Company when it retains the obligation to service the mortgage loans it sells: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (Amount recognized and unpaid principal balance of underlying loa

Loans Held for Sale at Fair Val

Loans Held for Sale at Fair Value	6 Months Ended
Loans Held for Sale at Fair Value	Jun. 30, 2020
Loans Held for Sale at Fair Value
Loans Held for Sale at Fair Value	Note 7—Loans Held for Sale at Fair Value Loans held for sale at fair value include the following: June 30, December 31, Loan type 2020 2019 (in thousands) Government-insured or guaranteed $ 3,357,624 $ 4,222,010 Conventional conforming 898,910 307,065 Purchased from Ginnie Mae pools serviced by the Company 642,722 374,121 Repurchased pursuant to representations and warranties 18,972 9,244 Home equity lines of credit 25 513 $ 4,918,253 $ 4,912,953 Fair value of loans pledged to secure: Assets sold under agreements to repurchase $ 4,315,116 $ 4,322,789 Mortgage loan participation purchase and sale agreements 558,546 523,349 $ 4,873,662 $ 4,846,138

Derivative Financial Instrument

Derivative Financial Instruments	6 Months Ended
Derivative Financial Instruments	Jun. 30, 2020
Derivative Financial Instruments
Derivative Financial Instruments	Note 8—Derivative Financial Instruments The Company holds and issues derivative financial instruments in connection with its operating activities. Derivative financial instruments are created as a result of certain of the Company’s operations and when the Company enters into derivative transactions as part of its interest rate risk management activities. Derivative financial instruments created as a result of the Company’s operations include: ● IRLCs that are created when the Company commits to purchase or originate a loan for sale. ● Derivatives that were embedded in a master repurchase agreement that provided for the Company to receive incentives for financing mortgage loans that satisfied certain consumer relief characteristics under the master repurchase agreement. The Company also engages in interest rate risk management activities in an effort to moderate the effect of changes in market interest rates on the fair value of the Company’s assets. To manage this fair value risk resulting from interest rate risk, the Company uses derivative financial instruments acquired with the intention of reducing the risk that changes in market interest rates will result in unfavorable changes in the fair value of the Company’s IRLCs, inventory of loans held for sale and the portion of its MSRs not financed with ESS. The Company does not designate and qualify any of its derivatives for hedge accounting. The Company records all derivative financial instruments at fair value and records changes in fair value in current period income. Derivative Notional Amounts and Fair Value of Derivatives The Company had the following derivative financial instruments recorded on its consolidated balance sheets: June 30, 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: Interest rate lock commitments 12,245,054 $ 369,455 $ 1,391 7,122,316 $ 138,511 $ 1,861 Repurchase agreement derivatives 8,187 — 8,187 — Used for hedging purposes: Forward purchase contracts 20,709,914 93,136 4,184 13,618,361 12,364 19,040 Forward sales contracts 25,302,147 5,271 109,371 16,220,526 17,097 18,045 MBS put options 11,200,000 8,543 2 6,100,000 3,415 — Swaption purchase contracts 3,375,000 5,318 — 1,750,000 2,409 — Put options on interest rate futures purchase contracts 350,000 273 — 2,250,000 3,945 — Call options on interest rate futures purchase contracts 1,800,000 3,438 — 750,000 1,469 — Treasury futures purchase contracts 925,000 — — 1,276,000 — — Treasury futures sale contracts 450,000 — — 1,010,000 — — Interest rate swap futures purchase contracts 3,460,000 — — 3,210,000 — — Total derivatives before netting 493,621 114,948 187,397 38,946 Netting (93,319) (93,794) (27,711) (16,616) $ 400,302 $ 21,154 $ 159,686 $ 22,330 Collateral placed with (received from) derivative counterparties, net $ 475 $ (11,095) The following table summarizes notional amount activity for derivative contracts used in the Company’s hedging activities: Notional amounts, quarter ended June 30, 2020 Beginning of Dispositions/ End of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 20,480,331 113,942,362 (113,712,779) 20,709,914 Forward sale contracts 20,196,818 138,886,096 (133,780,767) 25,302,147 MBS put options 10,700,000 27,750,000 (27,250,000) 11,200,000 Swaption purchase contracts 6,800,000 3,175,000 (6,600,000) 3,375,000 Swaption sale contracts — 6,600,000 (6,600,000) — Put options on interest rate futures purchase contracts 4,925,000 1,100,000 (5,675,000) 350,000 Call options on interest rate futures purchase contracts 1,925,000 5,000,000 (5,125,000) 1,800,000 Put options on interest rate futures sale contracts — 5,675,000 (5,675,000) — Call options on interest rate futures sale contracts — 5,125,000 (5,125,000) — Treasury futures purchase contracts 650,000 1,920,200 (1,645,200) 925,000 Treasury futures sale contracts 810,000 1,285,200 (1,645,200) 450,000 Interest rate swap futures purchase contracts 2,560,000 1,725,000 (825,000) 3,460,000 Interest rate swap futures sales contracts — 825,000 (825,000) — Notional amounts, quarter ended June 30, 2019 Beginning of Dispositions/ End of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 9,313,389 84,608,506 (74,424,197) 19,497,698 Forward sale contracts 7,583,005 93,901,535 (87,208,384) 14,276,156 MBS put options 9,425,000 28,450,000 (25,100,000) 12,775,000 MBS call options 3,350,000 2,250,000 (3,350,000) 2,250,000 Put options on interest rate futures purchase contracts 3,350,000 2,897,500 (3,412,500) 2,835,000 Call options on interest rate futures purchase contracts 2,250,000 6,915,000 (5,477,500) 3,687,500 Put options on interest rate futures sale contracts — 8,827,500 (8,827,500) — Treasury futures purchase contracts 1,810,000 2,700,200 (4,024,100) 486,100 Treasury futures sale contracts 1,075,000 4,499,100 (4,024,100) 1,550,000 Interest rate swap futures purchase contracts 1,025,000 1,875,000 — 2,900,000 Notional amounts, six months ended June 30, 2020 Beginning of Dispositions/ End of Instrument period Additions expirations period (in thousands) Forward purchase contracts 13,618,361 226,801,811 (219,710,258) 20,709,914 Forward sale contracts 16,220,526 269,322,327 (260,240,706) 25,302,147 MBS put options 6,100,000 49,750,000 (44,650,000) 11,200,000 Swaption purchase contracts 1,750,000 11,075,000 (9,450,000) 3,375,000 Swaption sale contracts — 9,450,000 (9,450,000) — Put options on interest rate futures purchase contracts 2,250,000 8,700,000 (10,600,000) 350,000 Call options on interest rate futures purchase contracts 750,000 8,540,000 (7,490,000) 1,800,000 Put options on interest rate futures sale contracts — 10,600,000 (10,600,000) — Call options on interest rate futures sale contracts — 7,490,000 (7,490,000) — Treasury futures purchase contracts 1,276,000 3,955,200 (4,306,200) 925,000 Treasury futures sale contracts 1,010,000 3,746,200 (4,306,200) 450,000 Interest rate swap futures purchase contracts 3,210,000 2,950,000 (2,700,000) 3,460,000 Interest rate swap futures sales contracts — 2,700,000 (2,700,000) — Notional amounts, six months ended June 30, 2019 Beginning of Dispositions/ End of Instrument period Additions expirations period (in thousands) Forward purchase contracts 6,657,026 137,230,351 (124,389,679) 19,497,698 Forward sale contracts 6,890,046 153,575,022 (146,188,912) 14,276,156 MBS put options 4,635,000 47,610,000 (39,470,000) 12,775,000 MBS call options 1,450,000 6,750,000 (5,950,000) 2,250,000 Put options on interest rate futures purchase contracts 3,085,000 9,572,500 (9,822,500) 2,835,000 Call options on interest rate futures purchase contracts 1,512,500 11,377,800 (9,202,800) 3,687,500 Put options on interest rate futures sale contracts — 18,962,800 (18,962,800) — Treasury futures purchase contracts 835,000 6,811,400 (7,160,300) 486,100 Treasury futures sale contracts 1,450,000 7,260,300 (7,160,300) 1,550,000 Interest rate swap futures purchase contracts 625,000 2,275,000 — 2,900,000 Derivative Balances and Netting of Financial Instruments The Company has elected to present net derivative asset and liability positions, and cash collateral obtained from (or posted to) its counterparties when subject to a master netting arrangement that is legally enforceable on all counterparties in the event of default. The derivatives that are not subject to a master netting arrangement are IRLCs and repurchase agreement derivatives. Offsetting of Derivative Assets Following are summaries of derivative assets and related netting amounts: June 30, 2020 December 31, 2019 Gross Gross amount Net amount Gross Gross amount Net amount amount of offset in the of assets in the amount of offset in the of assets in the recognized consolidated consolidated recognized consolidated consolidated assets balance sheet balance sheet assets balance sheet balance sheet (in thousands) Derivatives not subject to master netting arrangements: Interest rate lock commitments $ 369,455 $ — $ 369,455 $ 138,511 $ — $ 138,511 Repurchase agreement derivatives 8,187 — 8,187 8,187 — 8,187 377,642 — 377,642 146,698 — 146,698 Derivatives subject to master netting arrangements: Forward purchase contracts 93,136 — 93,136 12,364 — 12,364 Forward sale contracts 5,271 — 5,271 17,097 — 17,097 MBS put options 8,543 — 8,543 3,415 — 3,415 Swaption purchase contracts 5,318 — 5,318 2,409 — 2,409 Put options on interest rate futures purchase contracts 273 — 273 3,945 — 3,945 Call options on interest rate futures purchase contracts 3,438 — 3,438 1,469 — 1,469 Netting — (93,319) (93,319) — (27,711) (27,711) 115,979 (93,319) 22,660 40,699 (27,711) 12,988 $ 493,621 $ (93,319) $ 400,302 $ 187,397 $ (27,711) $ 159,686 Derivative Assets, Financial Instruments, and Cash Collateral Held by Counterparty The following table summarizes by significant counterparty the amount of derivative asset positions after considering master netting arrangements and financial instruments or cash pledged that do not meet the accounting guidance qualifying for netting. June 30, 2020 December 31, 2019 Gross amount not Gross amount not offset in the offset in the consolidated consolidated Net amount balance sheet Net amount balance sheet of assets in the Cash of assets in the Cash consolidated Financial collateral Net consolidated Financial collateral Net balance sheet instruments received amount balance sheet instruments received amount (in thousands) Interest rate lock commitments $ 369,455 $ — $ — $ 369,455 $ 138,511 $ — $ — $ 138,511 Wells Fargo Bank, N.A. 9,482 — — 9,482 — — — — Deutsche Bank 8,187 — — 8,187 9,138 — — 9,138 RJ O'Brien 3,711 — — 3,711 5,414 — — 5,414 JPMorgan Chase Bank, N.A. 3,462 — — 3,462 2,196 — — 2,196 Goldman Sachs 2,094 — — 2,094 2,548 — — 2,548 Nomura Securities International, Inc. 1,482 — — 1,482 — — — — Mizuho Securities — — — — 1,597 — — 1,597 Others 2,429 — — 2,429 282 — — 282 $ 400,302 $ — $ — $ 400,302 $ 159,686 $ — $ — $ 159,686 Offsetting of Derivative Liabilities and Financial Liabilities Following is a summary of net derivative liabilities and assets sold under agreements to repurchase and related netting amounts. Assets sold under agreements to repurchase do not qualify for netting. June 30, 2020 December 31, 2019 Net Net amount amount Gross Gross amount of liabilities Gross Gross amount of liabilities amount of offset in the in the amount of offset in the in the recognized consolidated consolidated recognized consolidated consolidated liabilities balance sheet balance sheet liabilities balance sheet balance sheet (in thousands) Derivatives not subject to master netting arrangements – $ 1,391 $ — $ 1,391 $ 1,861 $ — $ 1,861 Derivatives subject to a master netting arrangement: Forward purchase contracts 4,184 — 4,184 19,040 — 19,040 Forward sale contracts 109,371 — 109,371 18,045 — 18,045 MBS put options 2 — 2 — — — Netting — (93,794) (93,794) — (16,616) (16,616) 113,557 (93,794) 19,763 37,085 (16,616) 20,469 Total derivatives 114,948 (93,794) 21,154 38,946 (16,616) 22,330 Assets sold under agreements to repurchase: Amount outstanding 3,769,495 — 3,769,495 4,141,680 — 4,141,680 Unamortized debt issuance cost, net (10,180) — (10,180) (627) — (627) 3,759,315 — 3,759,315 4,141,053 — 4,141,053 $ 3,874,263 $ (93,794) $ 3,780,469 $ 4,179,999 $ (16,616) $ 4,163,383 Derivative Liabilities, Financial Instruments, and Collateral Held by Counterparty The following table summarizes by significant counterparty the amount of derivative liabilities and assets sold under agreements to repurchase after considering master netting arrangements and financial instruments or cash pledged that do not qualify under the accounting guidance for netting. All assets sold under agreements to repurchase are secured by sufficient collateral or have fair value that exceeds the liability amount recorded on the consolidated balance sheets. June 30, 2020 December 31, 2019 Gross amounts Gross amounts not offset in the not offset in the Net amount consolidated Net amount consolidated of liabilities balance sheet of liabilities balance sheet in the Cash in the Cash consolidated Financial collateral Net consolidated Financial collateral Net balance sheet instruments pledged amount balance sheet instruments pledged amount (in thousands) Interest rate lock commitments $ 1,391 $ — $ — $ 1,391 $ 1,861 $ — $ — $ 1,861 Credit Suisse First Boston Mortgage Capital LLC 1,690,452 (1,685,301) — 5,151 1,235,430 (1,235,430) — — Bank of America, N.A. 721,185 (714,042) — 7,143 379,400 (374,190) — 5,210 Morgan Stanley Bank, N.A. 368,513 (368,513) — — 582,941 (582,941) — — Royal Bank of Canada 360,389 (360,389) — — 175,897 (175,897) — — Citibank, N.A. 339,315 (339,315) — — 655,831 (653,170) — 2,661 BNP Paribas 193,740 (193,740) — — 183,880 (183,880) — — JPMorgan Chase Bank, N.A. 108,195 (108,195) — — 936,172 (936,172) — — Federal Home Loan Mortgage Corporation 6,183 — — 6,183 — — — — Wells Fargo Bank, N.A. — — — — 11,212 — — 11,212 Others 1,286 — — 1,286 1,386 — — 1,386 $ 3,790,649 $ (3,769,495) $ — $ 21,154 $ 4,164,010 $ (4,141,680) $ — $ 22,330 Following are the gains (losses) recognized by the Company on derivative financial instruments and the income statement lines where such gains and losses are included: Quarter ended June 30, Six months ended June 30, Derivative activity Income statement line 2020 2019 2020 2019 (in thousands) Interest rate lock commitments Net gains on loans held for sale at fair value (1) $ 52,871 $ 45,711 $ 231,414 $ 62,438 Repurchase agreement derivatives Interest expense $ — $ (1,143) $ — $ (1,700) Hedged item: Interest rate lock commitments and loans held for sale Net gains on loans held for sale at fair value $ (101,115) $ (67,154) $ (326,672) $ (101,822) Mortgage servicing rights Net loan servicing fees –C $ (15,764) $ 203,180 $ 1,020,806 $ 337,737 (1) Represents net increase (decrease) in fair value of IRLCs from the beginning to the end of the reporting period. Amounts recognized at the date of commitment and fair value changes recognized during the period until purchase of the underlying loans are shown in the rollforward of IRLCs for the period in Note 6 – Fair Value – Assets and Liabilities Measured at Fair Value on a Recurring Basis.

Mortgage Servicing Rights and M

Mortgage Servicing Rights and Mortgage Servicing Liabilities	6 Months Ended
	Jun. 30, 2020
Mortgage Servicing Rights and Mortgage Servicing Liabilities
Mortgage Servicing Rights and Mortgage Servicing Liabilities	Note 9—Mortgage Servicing Rights and Mortgage Servicing Liabilities Mortgage Servicing Rights at Fair Value The activity in MSRs is as follows: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Balance at beginning of period $ 2,193,697 $ 2,905,090 $ 2,926,790 $ 2,820,612 Additions: Resulting from loan sales 225,534 183,331 507,849 299,082 Purchases (purchase adjustments) — (373) 25,760 227,399 225,534 182,958 533,609 526,481 Change in fair value due to: Changes in valuation inputs used in valuation model (1) (98,681) (256,449) (1,014,543) (418,087) Other changes in fair value (2) (107,011) (111,264) (232,317) (208,671) Total change in fair value (205,692) (367,713) (1,246,860) (626,758) Balance at end of period $ 2,213,539 $ 2,720,335 $ 2,213,539 $ 2,720,335 June 30, December 31, 2020 2019 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 2,209,928 $ 2,920,603 (1) Principally reflects changes in discount rate, prepayment speed and servicing cost inputs. (2) Represents changes due to realization of cash flows. Mortgage Servicing Liabilities at Fair Value The activity in MSLs is summarized below: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Balance at beginning of period $ 29,761 $ 7,844 $ 29,140 $ 8,681 Mortgage servicing liabilities resulting from loan sales — 6,838 6,576 7,632 Changes in fair value due to: Changes in valuation inputs used in valuation model (1) 9,673 2,756 14,105 6,057 Other changes in fair value (2) (9,576) (4,490) (19,963) (9,422) Total change in fair value 97 (1,734) (5,858) (3,365) Balance at end of period $ 29,858 $ 12,948 $ 29,858 $ 12,948 (1) Principally reflects changes in expected borrower performance and servicer losses given default. (2) Represents changes due to realization of cash flows. Contractual servicing fees relating to MSRs and MSLs are recorded in Net loan servicing fees—Loan servicing fees—From non-affiliates Net loan servicing fees—Loan servicing fees—Other Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Contractual servicing fees $ 199,178 $ 180,753 $ 397,831 $ 347,543 Other fees: Late charges 8,490 9,015 21,103 18,827 Other 5,971 2,612 10,821 4,273 $ 213,639 $ 192,380 $ 429,755 $ 370,643

Leases

Leases	6 Months Ended
Leases	Jun. 30, 2020
Leases
Leases	Note 10—Leases The Company has operating lease agreements relating to its facilities. The Company’s operating lease agreements have remaining terms ranging from less than one year to ten years; some of these operating lease agreements include options to extend the term for up to five years. None of the Company’s operating lease agreements require the Company to make variable lease payments. The Company’s lease agreements are summarized below: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (dollars in thousands) Lease expense: Operating leases $ 4,034 $ 3,232 $ 7,966 $ 6,461 Short-term leases 224 214 480 431 Sublease income — (27) — (59) Net lease expense included in Occupancy and equipment $ 4,258 $ 3,419 $ 8,446 $ 6,833 Other information: Cash payments for operating leases $ 4,354 $ 3,884 $ 8,794 $ 7,730 Operating lease right-of-use assets Upon adoption Accounting Standards Update 2016-02, Leases (Topic 842) $ — $ — $ — $ 58,598 New leases 4,964 87 6,498 115 $ 4,964 $ 87 $ 6,498 $ 58,713 Period end weighted averages: Remaining lease term (in years) 6.6 6.4 Discount rate 4.2% 4.6% Lease payments of the Company’s operating lease liabilities are summarized below: Twelve months ended June 30, Operating leases (in thousands) 2021 $ 17,995 2022 16,712 2023 16,221 2024 14,851 2025 12,925 Thereafter 30,363 Total lease payments 109,067 Less imputed interest (15,462) Total $ 93,605

Other Assets

Other Assets	6 Months Ended
Other Assets	Jun. 30, 2020
Other Asset
Other Assets	Note 11—Other Assets Other June 30, December 31, 2020 2019 (in thousands) Margin deposits $ 126,121 $ 84,118 Deposits securing Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets 125,017 — Capitalized software, net 90,250 63,130 Furniture, fixture, equipment and building improvements, net 29,377 30,480 Real estate acquired in settlement of loans 19,554 20,326 Other 132,306 135,503 $ 522,625 $ 333,557 Deposits pledged to secure Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 125,017 $ — Assets pledged to secure revolving line of credit: Capitalized software, net 9,730 12,192 Furniture, fixture, equipment and building improvements, net 6,670 20,406 $ 141,417 $ 32,598

Borrowings

Borrowings	6 Months Ended
Borrowings	Jun. 30, 2020
Borrowings
Borrowings	Note 12—Borrowings The borrowing facilities described throughout this Note 12 contain various covenants, including financial covenants governing the Company’s net worth, debt-to-equity ratio, profitability and liquidity. Management believes that the Company was in compliance with these covenants as of June 30, 2020. Assets Sold Under Agreements to Repurchase The Company has multiple borrowing facilities in the form of asset sales under agreements to repurchase. These borrowing facilities are secured by loans held for sale at fair value or participation certificates backed by MSRs. Eligible loans and participation certificates backed by MSRs are sold at advance rates based on the fair value (as determined by the lender) of the assets sold. Interest is charged at a rate based on LIBOR. Loans and MSRs financed under these agreements may be re-pledged by the lenders. On April 1, 2020, the Company issued a series of variable funding notes, the Series 2020-SPIADVF1 Notes (“GMSR Servicing Advance Notes”), to be sold under agreement to repurchase pursuant to a Master Repurchase Agreement, dated as of April 1, 2020, with Credit Suisse First Boston Mortgage Capital LLC (“CSFB”), acting as administrative agent on behalf of Credit Suisse AG, Cayman Islands Branch (“CSCIB”), as buyer (the “GMSR Servicing Advances Repurchase Agreement”). The GMSR Servicing Advance Notes leverage the GNMA MSR Facility to support a separately defined servicing advance facility within the existing structure and provide the Company enhanced ability to finance its servicing advance obligations to Ginnie Mae and its security holders as necessary and afford borrowers critical relief as required under the recently enacted CARES Act. Specifically, the GMSR Servicing Advances Repurchase Agreement provides the Company with financing secured by its servicing advances to pay, in accordance with the Ginnie Mae requirements, in the event borrowers are delinquent: (i) regularly scheduled monthly principal and bond interest to mortgage-backed securities holders; (ii) taxes, homeowner’s insurance, and other escrowed items; and (iii) other expenses related to servicing delinquent loans as specified by (A) state and federal laws and (B) government agencies, including the FHA, the VA, and the USDA. The borrowing capacity under the GMSR Servicing Advances Repurchase Agreement, shared with VFN financing capacity, is $600 million, all of which is committed and may be used to finance the servicing advances related to delinquent FHA, VA, and USDA loans, including delinquencies caused by forbearance in accordance with the CARES Act. Assets sold under agreements to repurchase are summarized below: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 2,529,217 $ 1,988,920 $ 2,833,444 $ 1,715,846 Weighted average interest rate (1) 2.32 % 4.35 % 2.74 % 4.40 % Total interest expense (2) $ 17,487 $ 19,645 $ 43,171 $ 28,280 Maximum daily amount outstanding $ 3,769,495 $ 2,748,375 $ 3,769,495 $ 2,748,375 June 30, December 31, 2020 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 3,769,495 $ 4,141,680 Unamortized debt issuance costs (10,180) (627) $ 3,759,315 $ 4,141,053 Weighted average interest rate 2.13 % 3.29 % Available borrowing capacity (3): Committed $ — $ 125,810 Uncommitted 2,090,894 782,510 $ 2,090,894 $ 908,320 Fair value of assets securing repurchase agreements: Loans held for sale $ 4,315,116 $ 4,322,789 Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 90,101 $ 107,512 Servicing advances (4) $ 197,094 $ 207,460 Mortgage servicing rights (4) $ 2,188,921 $ 2,902,721 Deposits (4) $ 125,017 $ — Margin deposits placed with counterparties (5) $ 4,375 $ 5,000 (1) Excludes the effect of amortization of net issuance costs of $2.8 million and $4.4 million for the quarter and six months ended June 30, 2020, respectively, and net premiums of $2.0 million and $9.4 million for the quarter and six months ended June 30, 2019, respectively. (2) In 2017, PFSI entered into a master repurchase agreement that provides the Company with incentives to finance mortgage loans approved for satisfying certain consumer relief characteristics as provided in the agreement. The Company included $3.9 million and $13.2 million of such incentives as reductions in Interest expense during the quarter and six months ended June 30, 2019, respectively. The master repurchase agreement expired on August 21, 2019. (3) 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. (4) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits are pledged to the Issuer Trust and together serve as the collateral backing the VFN, GMSR Servicing Advance Notes, 2018-GT1 Notes and 2018-GT2 Notes described in Notes payable secured by mortgage servicing assets . The VFN financing and the GMSR Servicing Advance Notes are included in Assets sold under agreements to repurchase and 2018-GT1 Notes and 2018-GT2 Notes are included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheets. (5) Margin deposits are included in Other assets on the Company’s consolidated balance sheets. Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date: Remaining maturity at June 30, 2020 Unpaid principal balance (dollars in thousands) Within 30 days $ 1,244,673 Over 30 to 90 days 2,116,162 Over 90 to 180 days 408,660 Total assets sold under agreements to repurchase $ 3,769,495 Weighted average maturity (in months) 1.4 The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) relating to the Company’s assets sold under agreements to repurchase is summarized by counterparty below as of June 30, 2020: Weighted average maturity of advances under repurchase Counterparty Amount at risk agreement Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC (1) $ 1,032,963 October 21, 2020 October 21, 2020 Credit Suisse First Boston Mortgage Capital LLC $ 352,900 August 17, 2020 April 23, 2021 Bank of America, N.A. $ 120,991 July 31, 2020 March 11, 2021 Royal Bank of Canada $ 35,008 July 31, 2020 July 31, 2020 Morgan Stanley Bank, N.A. $ 34,949 August 21, 2020 August 21, 2020 Citibank, N.A. $ 27,323 August 4, 2020 August 4, 2020 BNP Paribas $ 14,888 July 31, 2020 July 31, 2020 JP Morgan Chase Bank, N.A. $ 9,812 September 5, 2020 October 9, 2020 (1) The calculation of the amount at risk includes the VFN and the Term Notes because beneficial interests in the Ginnie Mae MSRs and servicing advances are pledged to the Issuer Trust and together serve as the collateral backing the VFN, 2018-GT1 Notes and 2018-GT2 Notes described in Notes payable secured by mortgage servicing assets below. The VFN financing is included in Assets sold under agreements to repurchase and 2018-GT1 Notes and 2018-GT2 Notes are included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheets. 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 agreements mature if the fair value (as determined by the applicable lender) of the assets securing those agreements decreases. Mortgage Loan Participation Purchase and Sale Agreements Certain of the borrowing facilities secured by loans held for sale are in the form of mortgage loan participation purchase and sale agreements. Participation certificates, each of which represents an undivided beneficial ownership interest in mortgage loans that have been pooled with Fannie Mae, Freddie Mac or Ginnie Mae, are sold to a lender pending the securitization of the mortgage loans and sale of the resulting securities. A commitment to sell the securities resulting from the pending securitization between the Company and a non-affiliate is also assigned to the lender at the time a participation certificate is sold. The purchase price paid by the lender for each participation certificate is based on the trade price of the security, plus an amount of interest expected to accrue on the security to its anticipated delivery date, minus a present value adjustment, any related hedging costs and a holdback amount that is based on a percentage of the purchase price. The holdback amount is not required to be paid to the Company until the settlement of the security and its delivery to the lender. The mortgage loan participation purchase and sale agreements are summarized below: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (dollars in thousands) Average balance $ 240,119 $ 251,997 $ 243,965 $ 244,374 Weighted average interest rate (1) 1.53 % 3.63 % 2.09 % 3.65 % Total interest expense $ 1,061 $ 2,419 $ 2,871 $ 4,730 Maximum daily amount outstanding $ 540,977 $ 523,279 $ 540,977 $ 548,038 (1) Excludes the effect of amortization of facility fees totaling $145,000 and $135,000 for the quarters ended June 30, 2020 and 2019, respectively, and $318,000 and $270,000 for the six months ended June 30, 2020 and 2019, respectively. June 30, December 31, 2020 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 536,395 $ 497,948 Unamortized debt issuance costs — — $ 536,395 $ 497,948 Weighted average interest rate 1.43 % 3.05 % Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements $ 558,546 $ 523,349 Obligations Under Capital Lease The Company has a capital lease transaction secured by certain fixed assets and capitalized software. The capital lease matures on June 13, 2022 and bears interest at a spread over one-month LIBOR. Obligations under capital lease are summarized below: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (dollars in thousands) Average balance $ 17,272 $ 10,135 $ 18,367 $ 8,406 Weighted average interest rate 2.70 % 4.39 % 3.05 % 4.39 % Total interest expense $ 104 $ 136 $ 271 $ 202 Maximum daily amount outstanding $ 18,145 $ 28,295 $ 20,810 $ 28,295 June 30, December 31, 2020 2019 (dollars in thousands) Unpaid principal balance $ 16,749 $ 20,810 Weighted average interest rate 2.70 % 3.74 % Assets pledged to secure obligations under capital lease: Furniture, fixtures and equipment $ 6,670 $ 20,406 Capitalized software $ 9,730 $ 12,192 Notes Payable Secured by Mortgage Servicing Assets Term Notes The Company, through the Issuer Trust, issued 2018-GTI Notes and 2018-GT2 Notes (the “ 2018 Term Notes”) to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). All of the 2018 Term Notes rank pari passu with each other and with the VFN issued by the Issuer Trust to PLS and are secured by certain participation certificates relating to Ginnie Mae MSRs and ESS that are financed pursuant to the GNMA MSR Facility. Following is a summary of the issued and outstanding 2018 Term Notes: Issuance Date Principal Stated interest rate (1) Maturity date (2) (in thousands) (Annually) February 28, 2018 (the "2018-GT1 Notes") $ 650,000 2.85% 2/25/2023 August 10, 2018 (the "2018-GT2 Notes") 650,000 2.65% 8/25/2023 $ 1,300,000 (1) Spread over one-month LIBOR. (2) The 2018 Term Notes indentures provide the Company with the option to extend the maturity of the 2018 Term Notes by two years after the stated maturity . MSR Note Payable On February 1, 2018, the Company issued a note payable that is secured by Freddie Mac MSRs. Interest is charged at a rate based on LIBOR plus the applicable contract margin. The facility expires on October 21, 2020. The maximum amount that the Company may borrow under the note payable is $400 million, less any amount outstanding under the agreement to repurchase pursuant to which the Company finances the VFN. The Company did not borrow under this note payable during the periods presented. Notes payable are summarized below: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (dollars in thousands) Average balance $ 1,300,000 $ 1,300,000 $ 1,300,000 $ 1,300,000 Weighted average interest rate (1) 3.28 % 5.27 % 3.86 % 5.26 % Total interest expense $ 11,109 $ 17,564 $ 25,955 $ 35,074 Maximum daily amount outstanding $ 1,300,000 $ 1,300,000 $ 1,300,000 $ 1,300,000 (1) Excludes the effect of amortization of debt issuance costs totaling $451,000 and $445,000 for the quarters ended June 30, 2020 and 2019, respectively, and $896,000 and $889,000 for the six month periods ended June 30, 2020 and 2019, respectively. June 30, December 31, 2020 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,300,000 $ 1,300,000 Unamortized debt issuance costs (5,051) (5,930) $ 1,294,949 $ 1,294,070 Weighted average interest rate 2.92 % 4.46 % Assets pledged to secure notes payable (1): Servicing advances $ 197,094 $ 207,460 Mortgage servicing rights $ 2,129,361 $ 2,861,442 Deposits $ 125,017 $ — (1) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits are pledged to the Issuer Trust and together serve as the collateral backing the VFN, GMSR Servicing Advance Notes, 2018-GT1 Notes and 2018-GT2 Notes. The VFN financing and the GMSR Servicing Advance Notes are included in Assets sold under agreements to repurchase and 2018-GT1 Notes and 2018-GT2 Notes are included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheet. Corporate Revolving Line of Credit The Company has a revolving line of credit under which the lenders have agreed to make revolving loans in an amount not to exceed $150 million. Interest on the loans accrue at a per annum rate of interest equal to, at the election of the Company, either LIBOR plus the applicable margin or an alternate base rate (as defined in the credit agreement). During the existence of certain events of default, interest will accrue at a higher default rate. The proceeds of the loans are to be used solely for working capital and general corporate purposes of the Company and its subsidiaries. The Company did not borrow under this facility during the periods presented. The corporate revolving line of credit is summarized below: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (dollars in thousands) Interest expense (1) $ 472 $ 475 $ 975 $ 960 June 30, December 31, 2020 2019 (dollars in thousands) Carrying value $ — $ — Unused amount $ 150,000 $ 150,000 Cash pledged to secure corporate revolving line of credit $ 896,058 $ 52,599 (1) Interest expense is comprised of debt issuance costs and non-utilization fees.

Liability for Losses Under Repr

Liability for Losses Under Representations and Warranties	6 Months Ended
Liability for Losses Under Representations and Warranties	Jun. 30, 2020
Liability for Losses Under Representations and Warranties
Liability for Losses Under Representations and Warranties	Note 13—Liability for Losses Under Representations and Warranties Following is a summary of the Company’s liability for losses under representations and warranties: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Balance at beginning of period $ 23,202 $ 17,982 $ 21,446 $ 21,155 Provision for losses on loans sold: Resulting from sales of loans 4,189 1,647 7,901 2,714 Reduction in liability due to change in estimate (1,270) (920) (2,946) (5,130) Losses incurred, net (212) — (492) (30) Balance at end of period $ 25,909 $ 18,709 $ 25,909 $ 18,709 Unpaid principal balance of loans subject to representations and warranties at end of period $ 192,064,630 $ 127,670,206

Income Taxes

Income Taxes	6 Months Ended
Income Taxes	Jun. 30, 2020
Income Taxes
Income Taxes	Note 14—Income Taxes The Company’s effective income tax rates were 26.6% and 27.0% for the quarters ended June 30, 2020 and 2019, respectively and 26.4% and 25.7 % for the six months ended June 30, 2020 and 2019, respectively. The difference in the effective income tax rate between the six months ended June 30, 2020 and the six months ended June 30, 2019 primarily results from the lower impact of the permanent and favorable tax adjustment for total permanent differences in the six months ended June 30, 2020. When compared to the same period in 2019, the tax adjustment for total permanent differences changed by only $0.5 million while pretax income increased by $735.2 million, thereby diluting the impact of the tax adjustment on the effective income tax rate. The CARES Act, passed in March 2020, introduced a number of tax law changes which are generally taxpayer favorable. Based on a preliminary analysis, the Company does not anticipate any material changes in its effective income tax rates resulting from the CARES Act.

Commitments and Contingencies

Commitments and Contingencies	6 Months Ended
Commitments and Contingencies	Jun. 30, 2020
Commitments and Contingencies.
Commitments and Contingencies	Note 15—Commitments and Contingencies Litigation From time to time, the Company may be a party to legal proceedings, lawsuits and other claims arising in the ordinary course of its 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. On December 20, 2018, a purported shareholder of the Company filed a complaint in a putative class and derivative action in the Court of Chancery of the State of Delaware (the “Delaware Court”), captioned Robert Garfield v. BlackRock Mortgage Ventures, LLC et al On November 5, 2019, Black Knight Servicing Technologies, LLC, a wholly-owned indirect subsidiary of Black Knight, Inc. (“BKI”), filed a Complaint and Demand for Jury Trial in the Circuit Court for the Fourth Judicial Circuit in and for Duval County, Florida (the “Florida State Court”), captioned Black Knight Servicing Technologies, LLC v. PennyMac Loan Services, LLC, Case No. 2019-CA-007908 (the “BKI Complaint”). Allegations contained within the BKI Complaint include breach of contract and misappropriation of MSP® System trade secrets in order to develop an imitation mortgage-processing system intended to replace the MSP® System. The BKI Complaint seeks damages for breach of contract and misappropriation of trade secrets, injunctive relief under the Florida Uniform Trade Secrets Act and declaratory judgment of ownership of all intellectual property and software developed by or on behalf of PLS as a result of its wrongful use of and access to the MSP® System and related trade secret and confidential information. On March 30, 2020, the Florida State Court granted a motion to compel arbitration filed by the Company. While no assurance can be provided to the ultimate outcome of this claim or the account of any losses to the Company, the Company believes the BKI Complaint is without merit and plans to vigorously defend the matter, which remains pending. Regulatory Matters The Company and/or its subsidiaries are subject to various state and federal regulations related to its loan production and servicing operations by the various states it operates in as well as federal agencies such as the Consumer Financial Protection Bureau, HUD, and the FHA and is subject to the requirements of the Agencies to which it sells loans and for which it performs loan servicing activities. As a result, the Company may become involved in information-gathering requests, reviews, investigations and proceedings (both formal and informal) by such various federal, state and local regulatory bodies. Commitments to Purchase and Fund Mortgage Loans The Company’s commitments to purchase and fund loans totaled $12.2 billion as of June 30, 2020.

Stockholders' Equity

Stockholders' Equity	6 Months Ended
Stockholders' Equity	Jun. 30, 2020
Stockholders' Equity.
Stockholders' Equity	Note 16—Stockholders’ Equity In June 2020, the Company’s board of directors approved an increase to the Company’s common stock repurchase program from $50 million to $500 million. The Company entered into a privately negotiated transaction with The BlackRock Foundation under the revised stock repurchase program to repurchase 6,975,323 shares of the Company’s common stock at a price of $34 per share. Following is a summary of activity under the stock repurchase program: Quarter ended June 30, Six months ended June 30, Cumulative 2020 2019 2020 2019 total (1) (in thousands) Shares of common stock repurchased 6,975 51 7,213 51 8,029 Cost of shares of common stock repurchased $ 237,162 $ 1,056 $ 241,283 $ 1,056 $ 256,231 (1) Amounts represent the total shares of common stock repurchased under the stock repurchase program through June 30, 2020 .

Net Gains on Loans Held for Sal

Net Gains on Loans Held for Sale	6 Months Ended
Net Gains on Loans Held for Sale	Jun. 30, 2020
Net Gains on Loans Held for Sale
Net Gains on Loans Held for Sale	Note 17—Net Gains on Loans Held for Sale Net gains on loans held for sale at fair value is summarized below: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) From non-affiliates: Cash gain (loss): Loans $ 502,416 $ (13,579) $ 614,173 $ (54,821) Hedging activities (227,013) (73,145) (349,679) (82,072) 275,403 (86,724) 264,494 (136,893) Non-cash gain: Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales 225,534 176,493 501,273 291,450 Provision for losses relating to representations and warranties: Pursuant to loan sales (4,189) (1,647) (7,901) (2,714) Reduction in liability due to change in estimate 1,270 920 2,946 5,130 Change in fair value of loans and derivatives held at period end: Interest rate lock commitments 52,871 45,711 231,414 62,438 Loans 10,978 (29,522) (61,102) (29,686) Hedging derivatives 125,898 5,991 23,007 (19,750) 687,765 111,222 954,131 169,975 From PennyMac Mortgage Investment Trust (5,592) 36,311 72,324 62,334 $ 682,173 $ 147,533 $ 1,026,455 $ 232,309

Net Interest Income

Net Interest Income	6 Months Ended
Net Interest Income	Jun. 30, 2020
Net Interest Income
Net Interest Income	Note 18—Net Interest Income Net interest income is summarized below: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Interest income: From non-affiliates: Cash and short-term investments $ 1,893 $ 2,706 $ 3,604 $ 4,639 Loans held for sale at fair value 32,586 34,366 79,012 65,709 Placement fees relating to custodial funds 12,047 32,136 35,256 55,397 46,526 69,208 117,872 125,745 From PennyMac Mortgage Investment Trust—Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell 792 1,692 2,010 3,488 47,318 70,900 119,882 129,233 Interest expense: To non-affiliates: Assets sold under agreements to repurchase 17,487 19,645 43,171 28,280 Mortgage loan participation purchase and sale agreements 1,061 2,419 2,871 4,730 Obligations under capital lease 104 136 271 202 Notes payable 11,581 18,039 26,930 36,034 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 18,954 8,214 33,825 12,525 Interest on mortgage loan impound deposits 1,648 1,704 3,305 2,863 50,835 50,157 110,373 84,634 To PennyMac Mortgage Investment Trust—Excess servicing spread financing at fair value 2,372 2,767 4,346 5,833 53,207 52,924 114,719 90,467 $ (5,889) $ 17,976 $ 5,163 $ 38,766 (1) In 2017, the Company entered into a master repurchase agreement that provided the Company with incentives to finance mortgage loans approved for satisfying certain consumer relief characteristics as provided in the agreement. The Company included $3.9 million and $13.2 million of such incentives as reductions of Interest expense during the quarter and six months ended June 30, 2019, respectively. The master repurchase agreement expired on August 21, 2019.

Stock-based Compensation

Stock-based Compensation	6 Months Ended
Stock-based Compensation	Jun. 30, 2020
Stock-based Compensation
Stock-based Compensation	Note 19—Stock-based Compensation As of June 30, 2020, the Company had one stock-based compensation plan. Following is a summary of the stock-based compensation activity: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Grants: Units: Performance-based RSUs — — 422 665 Stock options — — 273 344 Time-based RSUs 5 — 310 330 Grant date fair value: Performance-based RSUs $ — $ — $ 14,788 $ 15,253 Stock options — — 2,770 2,965 Time-based RSUs 150 — 10,823 7,545 Total $ 150 $ — $ 28,381 $ 25,763 Vestings and exercises: Performance-based RSUs vested — — 603 648 Stock options exercised 144 29 324 118 Time-based RSUs vested — — 348 291 Compensation expense $ 6,757 $ 5,652 $ 19,125 $ 10,183

Earnings Per Share of Common St

Earnings Per Share of Common Stock	6 Months Ended
Earnings Per Share of Common Stock	Jun. 30, 2020
Earnings Per Share of Common Stock
Earnings Per Share of Common Stock	Note 20—Earnings Per Share of Common Stock Basic earnings per share of common stock is determined using net income attributable to the Company’s common stockholders divided by the weighted average number of shares of common stock outstanding during the period. Diluted earnings per share of common stock is determined by dividing net income attributable to the Company’s common stockholders by the weighted average number of shares of common stock outstanding, assuming all dilutive shares of common stock were issued. Potentially dilutive shares of common stock include non-vested stock-based compensation awards. The Company applies the treasury stock method to determine the diluted weighted average number of shares of common stock outstanding based on the outstanding stock-based compensation awards. The following table summarizes the basic and diluted earnings per share calculations: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands, except per share amounts) Net income $ 352,677 $ 72,696 $ 658,920 $ 118,831 Weighted average basic shares of common stock outstanding 77,790 78,335 78,240 77,996 Effect of dilutive shares: Common shares issuable under stock-based compensation plan 2,634 983 3,001 1,305 Weighted average shares of common stock applicable to diluted earnings per share 80,424 79,318 81,241 79,301 Basic earnings per share of common stock $ 4.53 $ 0.93 $ 8.42 $ 1.52 Diluted earnings per share of common stock $ 4.39 $ 0.92 $ 8.11 $ 1.50 Calculations of diluted earnings per share require certain potentially dilutive shares to be excluded when their inclusion in the diluted earnings per share calculation would be anti-dilutive. The following table summarizes the weighted-average number of anti-dilutive outstanding performance-based restricted share units (“RSUs”), time-based RSUs, and stock options excluded from the calculation of diluted earnings per share: Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands except for weighted-average exercise price) Performance-based RSUs (1) 422 1,811 292 1,547 Time-based RSUs 79 — 110 1 Stock options (2) 273 982 189 845 Total anti-dilutive shares and units 774 2,793 591 2,393 Weighted average exercise price of anti-dilutive stock options (2) $ 35.03 $ 18.34 $ 35.03 $ 18.34 (1) Certain performance-based RSUs were outstanding but not included in the computation of earnings per share because the performance thresholds included in such RSUs have not been achieved. (2) Certain stock options were outstanding but not included in the computation of diluted earnings per share because the weighted-average exercise prices were above the average stock prices for the period.

Supplemental Cash Flow Informat

Supplemental Cash Flow Information	6 Months Ended
Supplemental Cash Flow Information	Jun. 30, 2020
Supplemental Cash Flow Information
Supplemental Cash Flow Information	Note 21—Supplemental Cash Flow Information Six months ended June 30, 2020 2019 (in thousands) Cash paid for interest $ 127,806 $ 73,905 Cash paid for income taxes, net $ 3,871 $ 261 Non-cash investing activity: Mortgage servicing rights resulting from loan sales $ 507,849 $ 299,082 Mortgage servicing liabilities resulting from loan sales $ 6,576 $ 7,632 Unsettled portion of MSR acquisitions $ 1,053 $ 9,457 Operating right-of-use assets $ 6,498 $ 58,713 Non-cash financing activity: Issuance of Excess servicing spread payable to PennyMac Mortgage Investment Trust $ 862 $ 950 Issuance of common stock in settlement of directors' fees $ 96 $ 136

Regulatory Capital and Liquidit

Regulatory Capital and Liquidity Requirements	6 Months Ended
Regulatory Capital and Liquidity Requirements	Jun. 30, 2020
Regulatory Capital and Liquidity Requirements
Regulatory Capital and Liquidity Requirements	Note 22—Regulatory Capital and Liquidity Requirements The Company, through PLS and PennyMac, is required to maintain specified levels of capital and liquidity to remain a seller/servicer in good standing with the Agencies. Such capital and liquid asset requirements generally are tied to the size of the Company’s loan servicing portfolio, loan origination volume and delinquency rates. The Company is subject to financial eligibility requirements established by the Federal Housing Finance Agency (“FHFA”) for sellers/servicers eligible to sell or service mortgage loans with Fannie Mae and Freddie Mac. The eligibility requirements include: ● tangible net worth of $2.5 million plus 25 basis points of the UPB of the Company’s total 1-4 unit servicing portfolio, excluding mortgage loans subserviced for others; ● before June 30, 2020, a liquidity requirement equal to 3.5 basis points of the aggregate UPB serviced for the Agencies plus 200 basis points of total nonperforming Agency servicing UPB (including nonperforming Agency loans that are in payment forbearance) in excess of 600 basis points; and ● effective June 30, 2020, a liquidity requirement equal to 3.5 basis points of the aggregate UPB serviced for the Agencies plus 200 basis points of total nonperforming Agency servicing UPB less 70% of such nonperforming Agency servicing UPB in excess of 600 basis points where the underlying loans are in COVID-19 forbearance but were current at the time they entered forbearance. On January 31, 2020, FHFA proposed changes to the eligibility requirements, which would increase the tangible net worth requirement to $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, and increase the liquidity requirement to 4 basis points of the aggregate UPB serviced for Fannie Mae and Freddie Mac and 10 basis points of the UPB serviced for Ginnie Mae plus 300 basis points of total nonperforming Agency servicing UPB (including nonperforming Agency loans that are in payment forbearance) in excess of 400 basis points. On June 15, 2020, FHFA announced that it will be re-proposing changes to these requirements. The Company is also subject to financial eligibility requirements for Ginnie Mae single-family issuers. The eligibility requirements include net worth of $2.5 million plus 35 basis points of PLS' outstanding Ginnie Mae single-family obligations and a liquidity requirement equal to the greater of $1.0 million or 10 basis points of PLS' outstanding Ginnie Mae single-family securities. The Agencies’ capital and liquidity requirements, the calculations of which are specified by each Agency, are summarized below: June 30, 2020 December 31, 2019 Agency–company subject to requirement Actual (1) Requirement (1) Actual (1) Requirement (1) (dollars in thousands) Capital Fannie Mae & Freddie Mac – $ 3,116,330 $ 604,026 $ 2,247,751 $ 585,674 Ginnie Mae – $ 2,644,288 $ 966,795 $ 1,907,398 $ 910,456 HUD – $ 2,644,288 $ 2,500 $ 1,907,398 $ 2,500 Liquidity Fannie Mae & Freddie Mac – $ 900,628 $ 82,578 $ 257,794 $ 79,991 Ginnie Mae – $ 900,628 $ 220,894 $ 257,794 $ 216,119 Adjusted net worth / Total assets ratio Ginnie Mae – 11 % 6 % 19 % 6 % Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac – 14 % 6 % 22 % 6 % (1) Calculated in compliance with the respective Agency’s requirements. Noncompliance with an Agency’s requirements can result in such Agency taking various remedial actions up to and including terminating PennyMac’s ability to sell loans to and service loans on behalf of the respective Agency.

Segments

Segments	6 Months Ended
Segments	Jun. 30, 2020
Segments
Segments	Note 23—Segments The Company operates in three segments: production, servicing and investment management. Two of the segments are in the mortgage banking business: production and servicing. The production segment performs loan origination, acquisition and sale activities. The servicing segment performs servicing of loans, execution and management of early buyout loan transactions and servicing of loans sourced and managed by the investment management segment for PMT, including executing the loan resolution strategy identified by the investment management segment relating to distressed mortgage loans. The investment management segment represents the activities of the Company’s investment manager, which include sourcing, performing diligence, bidding and closing investment asset acquisitions and managing the acquired assets and correspondent production activities for PMT. Financial performance and results by segment are as follows: Quarter ended June 30, 2020 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 619,728 $ 62,445 $ 682,173 $ — $ 682,173 Loan origination fees 58,948 — 58,948 — 58,948 Fulfillment fees from PennyMac Mortgage Investment Trust 52,815 — 52,815 — 52,815 Net loan servicing fees — 22,337 22,337 — 22,337 Net interest income (expense): Interest income 19,205 28,113 47,318 — 47,318 Interest expense 12,642 40,560 53,202 5 53,207 6,563 (12,447) (5,884) (5) (5,889) Management fees — — — 8,288 8,288 Other 361 351 712 2,250 2,962 Total net revenue 738,415 72,686 811,101 10,533 821,634 Expenses 200,352 135,098 335,450 5,822 341,272 Income before provision for income taxes $ 538,063 $ (62,412) $ 475,651 $ 4,711 $ 480,362 Segment assets at quarter end $ 5,419,219 $ 17,789,046 $ 23,208,265 $ 18,210 $ 23,226,475 (1) All revenues are from external customers. Quarter ended June 30, 2019 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 124,860 $ 22,673 $ 147,533 $ — $ 147,533 Loan origination fees 36,924 — 36,924 — 36,924 Fulfillment fees from PennyMac Mortgage Investment Trust 29,590 — 29,590 — 29,590 Net loan servicing fees — 59,134 59,134 — 59,134 Net interest income (expense): Interest income 18,900 52,000 70,900 — 70,900 Interest expense 13,898 39,015 52,913 11 52,924 5,002 12,985 17,987 (11) 17,976 Management fees — — — 8,832 8,832 Other 117 1,332 1,449 1,539 2,988 Total net revenue 196,493 96,124 292,617 10,360 302,977 Expenses 98,249 98,797 197,046 6,341 203,387 Income before provision for income taxes $ 98,244 $ (2,673) $ 95,571 $ 4,019 $ 99,590 Segment assets at quarter end $ 3,556,575 $ 4,823,468 $ 8,380,043 $ 18,333 $ 8,398,376 (1) All revenues are from external customers. Six months ended June 30, 2020 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 936,363 $ 90,092 $ 1,026,455 $ — $ 1,026,455 Loan origination fees 116,519 — 116,519 — 116,519 Fulfillment fees from PennyMac Mortgage Investment Trust 94,755 — 94,755 — 94,755 Net loan servicing fees — 280,145 280,145 — 280,145 Net interest income (expense): Interest income 45,790 74,092 119,882 — 119,882 Interest expense 32,799 81,906 114,705 14 114,719 12,991 (7,814) 5,177 (14) 5,163 Management fees — — — 17,343 17,343 Other 351 (329) 22 3,057 3,079 Total net revenue 1,160,979 362,094 1,523,073 20,386 1,543,459 Expenses 382,785 253,664 636,449 11,918 648,367 Income before provision for income taxes $ 778,194 $ 108,430 $ 886,624 $ 8,468 $ 895,092 Segment assets at period end $ 5,419,219 $ 17,789,046 $ 23,208,265 $ 18,210 $ 23,226,475 (1) All revenues are from external customers. Six months ended June 30, 2019 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 191,581 $ 40,728 $ 232,309 $ — $ 232,309 Loan origination fees 60,854 — 60,854 — 60,854 Fulfillment fees from PennyMac Mortgage Investment Trust 57,164 — 57,164 — 57,164 Net loan servicing fees — 139,705 139,705 — 139,705 Net interest income (expense): Interest income 33,269 95,964 129,233 — 129,233 Interest expense 17,813 72,636 90,449 18 90,467 15,456 23,328 38,784 (18) 38,766 Management fees — — — 16,080 16,080 Other 605 2,097 2,702 3,102 5,804 Total net revenue 325,660 205,858 531,518 19,164 550,682 Expenses 180,410 197,368 377,778 13,023 390,801 Income before provision for income taxes $ 145,250 $ 8,490 $ 153,740 $ 6,141 $ 159,881 Segment assets at period end $ 3,556,575 $ 4,823,468 $ 8,380,043 $ 18,333 $ 8,398,376 (1) All revenues are from external customers.

Subsequent Events

Subsequent Events	6 Months Ended
Subsequent Events	Jun. 30, 2020
Subsequent Events
Subsequent Events	Note 24—Subsequent Events Management has evaluated all events and transactions through the date the Company issued these consolidated financial statements. During this period, on August 6, the Company announced that its board of directors declared a cash dividend of $0.15 per common share. The dividend will be paid on August 28, 2020 to common shareholders of record as of August 17, 2020.

Transactions with Affiliates (T

Transactions with Affiliates (Tables) - PMT	6 Months Ended
Transactions with Affiliates (Tables) - PMT	Jun. 30, 2020
Transactions with Affiliates
Summary of lending activity between the Company and affiliate	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Net gains on loans held for sale at fair value: Net gains on loans held for sale to PMT $ 70 $ 37,719 $ 81,294 $ 64,865 Mortgage servicing rights and excess servicing spread recapture incurred (5,662) (1,408) (8,970) (2,531) $ (5,592) $ 36,311 $ 72,324 $ 62,334 Sale of loans held for sale to PMT $ 2,742 $ 1,334,211 $ 2,248,869 $ 2,218,721 Tax service fees earned from PMT included in Loan origination fees $ 4,288 $ 3,102 $ 8,268 $ 5,345 Fulfillment fee revenue $ 52,815 $ 29,590 $ 94,755 $ 57,164 Unpaid principal balance of loans fulfilled for PMT subject to fulfillment fees $ 18,899,695 $ 10,741,078 $ 35,052,238 $ 18,876,630 Sourcing fees paid to PMT $ 3,324 $ 3,155 $ 7,485 $ 5,149 Unpaid principal balance of loans purchased from PMT $ 11,080,565 $ 10,514,390 $ 24,950,845 $ 17,161,728
Summary of loan servicing fees earned from PMT	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Loan type serviced: Loans acquired for sale at fair value $ 607 $ 385 $ 1,143 $ 624 Loans at fair value 188 617 488 1,080 Mortgage servicing rights 14,738 10,566 28,423 20,434 $ 15,533 $ 11,568 $ 30,054 $ 22,138 Property management fees received from PMT included in Other $ — $ 102 $ — $ 225
Summary of management fees earned	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Base management $ 8,288 $ 6,839 $ 17,343 $ 12,948 Performance incentive — 1,993 — 3,132 $ 8,288 $ 8,832 $ 17,343 $ 16,080
Summary of reimbursement of expenses	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Reimbursement of: Common overhead incurred by the Company $ 1,585 $ 1,276 $ 3,125 $ 2,512 Compensation 120 120 240 240 Expenses incurred on PMT's behalf, net 1,438 489 2,709 1,059 $ 3,143 $ 1,885 $ 6,074 $ 3,811 Payments and settlements during the quarter (1) $ 136,352 $ 28,031 $ 170,035 $ 43,220 (1) Payments and settlements include payments for management fees and correspondent production activities itemized in the preceding tables and netting settlements made pursuant to master netting agreements between the Company and PMT.
Summary of investing activity between the Company and affiliate	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Interest income relating to Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 792 $ 1,692 $ 2,010 $ 3,488 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Dividends received $ 30 $ 35 $ 48 $ 71 Change in fair value of investment 513 84 (362) 240 $ 543 $ 119 $ (314) $ 311 June 30, December 31, 2020 2019 (in thousands) Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 90,101 $ 107,512 Common shares of beneficial interest of PennyMac Mortgage Investment Trust: Fair value $ 1,310 $ 1,672 Number of shares 75 75
Summary of financing activity between the Company and affiliate	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Excess servicing spread financing: Balance at beginning of period $ 157,109 $ 205,081 $ 178,586 $ 216,110 Issuance pursuant to recapture agreement 483 442 862 950 Accrual of interest 2,372 2,767 4,346 5,833 Repayment (8,122) (10,530) (17,430) (21,082) Change in fair value (636) (3,604) (15,158) (7,655) Balance at end of period $ 151,206 $ 194,156 $ 151,206 $ 194,156 Recapture incurred pursuant to refinancings by the Company of mortgage loans subject to excess servicing spread financing included in Net gains on loans held for sale at fair value $ 535 $ 393 $ 916 $ 882
Summary of amounts due from and payable to affiliate	June 30, December 31, 2020 2019 (in thousands) Receivable from PMT: Allocated expenses and expenses incurred on PMT's behalf $ 11,867 $ 3,724 Fulfillment fees 11,549 18,285 Management fees 8,288 10,579 Correspondent production fees 7,746 10,606 Servicing fees 4,824 4,659 Interest on assets purchased under agreements to resell 45 85 Conditional reimbursement 10 221 $ 44,329 $ 48,159 Payable to PMT: Amounts advanced by PMT to fund its servicing advances $ 53,100 $ 70,520 Mortgage servicing rights recapture payable 202 149 Other 3,256 2,611 $ 56,558 $ 73,280

Loan Sales and Servicing Acti_2

Loan Sales and Servicing Activities (Tables)	6 Months Ended
Loan Sales and Servicing Activities (Tables)	Jun. 30, 2020
Loan Sales and Servicing Activities
Summary of cash flows between the Company and transferees upon sale of loans in transactions	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Cash flows: Sales proceeds $ 21,188,988 $ 12,650,318 $ 40,526,005 $ 21,186,748 Servicing fees received (1) $ 158,871 $ 140,416 $ 325,427 $ 277,564 Net servicing advances (recoveries) $ 12,311 $ (8,012) $ (2,898) $ (32,188) (1) Net of guarantee fees paid to the Agencies.
Summary of sale of loans between the Company and transferees upon sale of loans in transactions	June 30, December 31, 2020 2019 (in thousands) Unpaid principal balance of loans outstanding $ 182,319,317 $ 168,842,011 Delinquencies: 30-89 days $ 12,396,411 $ 7,947,560 90 days or more: Not in foreclosure $ 16,046,569 $ 3,237,563 In foreclosure $ 718,689 $ 888,136 Foreclosed $ 14,920 $ 15,387 Bankruptcy $ 1,384,075 $ 1,343,816
Summary of servicing portfolio	June 30, 2020 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 182,319,317 $ — $ 182,319,317 Purchased 53,618,932 — 53,618,932 235,938,249 — 235,938,249 PennyMac Mortgage Investment Trust — 147,695,455 147,695,455 Loans held for sale 4,672,171 — 4,672,171 $ 240,610,420 $ 147,695,455 $ 388,305,875 Delinquent loans (1): 30 days $ 7,589,181 $ 1,826,444 $ 9,415,625 60 days 8,073,130 2,951,365 11,024,495 90 days or more: Not in foreclosure 20,428,946 5,429,224 25,858,170 In foreclosure 954,312 48,033 1,002,345 Foreclosed 18,596 56,826 75,422 $ 37,064,165 $ 10,311,892 $ 47,376,057 Bankruptcy $ 1,953,297 $ 156,561 $ 2,109,858 Delinquent loans in COVID-19 related forbearance: 30 days $ 4,289,993 $ 1,213,623 $ 5,503,616 60 days 6,721,454 2,534,691 9,256,145 90 days or more not in foreclosure 16,108,414 4,527,397 20,635,811 $ 27,119,861 $ 8,275,711 $ 35,395,572 Custodial funds managed by the Company $ 8,108,221 $ 5,339,922 $ 13,448,143 (1) Includes delinquent loans in COVID-19 related forbearance plans that were requested by borrowers seeking payment relief in accordance with the Coronavirus Aid, Relief, and Economic Security Act (“CARES Act”) of 2020. (2) Custodial funds include cash accounts holding funds on behalf of borrowers and investors relating to loans serviced under servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the loans’ borrowers and investors, which are included in Interest income in the Company’s consolidated statements of income. December 31, 2019 Contract Servicing servicing and Total rights owned subservicing loans serviced (in thousands) Investor: Non-affiliated entities: Originated $ 168,842,011 $ — $ 168,842,011 Purchased 59,703,547 — 59,703,547 228,545,558 — 228,545,558 PennyMac Mortgage Investment Trust — 135,414,668 135,414,668 Loans held for sale 4,724,006 — 4,724,006 $ 233,269,564 $ 135,414,668 $ 368,684,232 Delinquent loans: 30 days $ 7,987,132 $ 857,660 $ 8,844,792 60 days 2,490,797 172,263 2,663,060 90 days or more: Not in foreclosure 4,070,482 274,592 4,345,074 In foreclosure 1,113,806 68,331 1,182,137 Foreclosed 18,315 89,421 107,736 $ 15,680,532 $ 1,462,267 $ 17,142,799 Bankruptcy $ 1,898,367 $ 136,818 $ 2,035,185 Custodial funds managed by the Company (1) $ 6,412,291 $ 2,529,984 $ 8,942,275 (1) Custodial funds include cash accounts holding funds on behalf of borrowers and investors relating to loans serviced under servicing agreements and are not recorded on the Company’s consolidated balance sheets. The Company earns placement fees on certain of the custodial funds it manages on behalf of the loans’ borrowers and investors, which are included in Interest income in the Company’s consolidated statements of income.
Summary of the geographical distribution of loans for the top five and all other states as measured by the total unpaid principal balance (UPB)	June 30, December 31, State 2020 2019 (in thousands) California $ 57,483,007 $ 57,311,867 Florida 31,896,387 28,940,696 Texas 30,394,027 27,909,821 Virginia 23,467,173 22,115,619 Maryland 17,783,314 16,829,320 All other states 227,281,967 215,576,909 $ 388,305,875 $ 368,684,232

Fair Value (Tables)

Fair Value (Tables)	6 Months Ended
Fair Value (Tables)	Jun. 30, 2020
Fair Value
Summary of financial statement items measured at estimated fair value on a recurring basis	June 30, 2020 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 7,746 $ — $ — $ 7,746 Loans held for sale at fair value — 4,256,534 661,719 4,918,253 Derivative assets: Interest rate lock commitments — — 369,455 369,455 Repurchase agreement derivatives — — 8,187 8,187 Forward purchase contracts — 93,136 — 93,136 Forward sales contracts — 5,271 — 5,271 MBS put options — 8,543 — 8,543 Swaptions — 5,318 — 5,318 Put options on interest rate futures purchase contracts 273 — — 273 Call options on interest rate futures purchase contracts 3,438 — — 3,438 Total derivative assets before netting 3,711 112,268 377,642 493,621 Netting — — — (93,319) Total derivative assets 3,711 112,268 377,642 400,302 Mortgage servicing rights at fair value — — 2,213,539 2,213,539 Investment in PennyMac Mortgage Investment Trust 1,310 — — 1,310 $ 12,767 $ 4,368,802 $ 3,252,900 $ 7,541,150 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 151,206 $ 151,206 Derivative liabilities: Interest rate lock commitments — — 1,391 1,391 Forward purchase contracts — 4,184 — 4,184 Forward sales contracts — 109,371 — 109,371 MBS put options — 2 — 2 Total derivative liabilities before netting — 113,557 1,391 114,948 Netting — — — (93,794) Total derivative liabilities — 113,557 1,391 21,154 Mortgage servicing liabilities at fair value — — 29,858 29,858 $ — $ 113,557 $ 182,455 $ 202,218 December 31, 2019 Level 1 Level 2 Level 3 Total (in thousands) Assets: Short-term investments $ 74,611 $ — $ — $ 74,611 Loans held for sale at fair value — 4,529,075 383,878 4,912,953 Derivative assets: Interest rate lock commitments — — 138,511 138,511 Repurchase agreement derivatives — — 8,187 8,187 Forward purchase contracts — 12,364 — 12,364 Forward sales contracts — 17,097 — 17,097 MBS put options — 3,415 — 3,415 Swaptions — 2,409 — 2,409 Put options on interest rate futures purchase contracts 3,945 — — 3,945 Call options on interest rate futures purchase contracts 1,469 — — 1,469 Total derivative assets before netting 5,414 35,285 146,698 187,397 Netting — — — (27,711) Total derivative assets 5,414 35,285 146,698 159,686 Mortgage servicing rights at fair value — — 2,926,790 2,926,790 Investment in PennyMac Mortgage Investment Trust 1,672 — — 1,672 $ 81,697 $ 4,564,360 $ 3,457,366 $ 8,075,712 Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust at fair value $ — $ — $ 178,586 $ 178,586 Derivative liabilities: Interest rate lock commitments — — 1,861 1,861 Forward purchase contracts — 19,040 — 19,040 Forward sales contracts — 18,045 — 18,045 Total derivative liabilities before netting — 37,085 1,861 38,946 Netting — — — (16,616) Total derivative liabilities — 37,085 1,861 22,330 Mortgage servicing liabilities at fair value — — 29,140 29,140 $ — $ 37,085 $ 209,587 $ 230,056
Summary of roll forward of items measured using Level 3 inputs on a recurring basis	Quarter ended June 30, 2020 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, March 31, 2020 $ 806,587 $ 315,194 $ 8,187 $ 2,193,697 $ 3,323,665 Purchases and issuances, net 288,856 496,149 — — 785,005 Capitalization of interest and advances 14,994 — — — 14,994 Sales and repayments (60,364) — — — (60,364) Mortgage servicing rights resulting from loan sales — — — 225,534 225,534 Changes in fair value included in income arising from: Changes in instrument-specific credit risk 1,132 — — — 1,132 Other factors — 297,198 — (205,692) 91,506 1,132 297,198 — (205,692) 92,638 Transfers from Level 3 to Level 2 (389,486) — — — (389,486) Transfers of interest rate lock commitments to loans held for sale — (740,477) — — (740,477) Balance, June 30, 2020 $ 661,719 $ 368,064 $ 8,187 $ 2,213,539 $ 3,251,509 Changes in fair value recognized during the quarter relating to assets still held at June 30, 2020 $ (717) $ 368,064 $ — $ (205,692) $ 161,655 (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended June 30, 2020 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, March 31, 2020 $ 157,109 $ 29,761 $ 186,870 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 483 — 483 Accrual of interest 2,372 — 2,372 Repayments (8,122) — (8,122) Mortgage servicing liabilities resulting from loan sales — — — Changes in fair value included in income (636) 97 (539) Balance, June 30, 2020 $ 151,206 $ 29,858 $ 181,064 Changes in fair value recognized during the quarter relating to liabilities still outstanding at June 30, 2020 $ (636) $ 97 $ (539) Quarter ended June 30, 2019 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, March 31, 2019 $ 455,533 $ 66,065 $ 24,632 $ 2,905,090 $ 3,451,320 Purchases (purchase adjustments) and issuances, net 891,146 119,880 3,662 (373) 1,014,315 Sales and repayments (656,033) — (11,136) — (667,169) Mortgage servicing rights resulting from loan sales — — — 183,331 183,331 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (186) — — — (186) Other factors — 96,773 (1,143) (367,713) (272,083) (186) 96,773 (1,143) (367,713) (272,269) Transfers from Level 3 to Level 2 (471,599) — — — (471,599) Transfers to real estate acquired in settlement of loans (863) — — — (863) Transfers of interest rate lock commitments to loans held for sale — (170,942) — — (170,942) Balance, June 30, 2019 $ 217,998 $ 111,776 $ 16,015 $ 2,720,335 $ 3,066,124 Changes in fair value recognized during the quarter relating to assets still held at June 30, 2019 $ (3,911) $ 111,776 $ 244 $ (367,713) $ (259,604) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Quarter ended June 30, 2019 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, March 31, 2019 $ 205,081 $ 7,844 $ 212,925 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 442 — 442 Accrual of interest 2,767 — 2,767 Repayments (10,530) — (10,530) Mortgage servicing liabilities resulting from loan sales — 6,838 6,838 Changes in fair value included in income (3,604) (1,734) (5,338) Balance, June 30, 2019 $ 194,156 $ 12,948 $ 207,104 Changes in fair value recognized during the quarter relating to liabilities still outstanding at June 30, 2019 $ (3,604) $ (1,734) $ (5,338) Six months ended June 30, 2020 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, December 31, 2019 $ 383,878 $ 136,650 $ 8,187 $ 2,926,790 $ 3,455,505 Purchases and issuances, net 1,930,087 838,129 — 25,760 2,793,976 Capitalization of interest and advances 33,021 — — — 33,021 Sales and repayments (799,292) — — — (799,292) Mortgage servicing rights resulting from loan sales — — — 507,849 507,849 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (6,391) — — — (6,391) Other factors — 497,116 — (1,246,860) (749,744) (6,391) 497,116 — (1,246,860) (756,135) Transfers from Level 3 to Level 2 (878,893) — — — (878,893) Transfers to real estate acquired in settlement of loans (691) — — — (691) Transfers of interest rate lock commitments to loans held for sale — (1,103,831) — — (1,103,831) Balance, June 30, 2020 $ 661,719 $ 368,064 $ 8,187 $ 2,213,539 $ 3,251,509 Changes in fair value recognized during the period relating to assets still held at June 30, 2020 $ (563) $ 368,064 $ — $ (1,246,860) $ (879,359) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Six months ended June 30, 2020 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, December 31, 2019 $ 178,586 $ 29,140 $ 207,726 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 862 — 862 Accrual of interest 4,346 — 4,346 Repayments (17,430) — (17,430) Mortgage servicing liabilities resulting from loan sales — 6,576 6,576 Changes in fair value included in income (15,158) (5,858) (21,016) Balance, June 30, 2020 $ 151,206 $ 29,858 $ 181,064 Changes in fair value recognized during the period relating to liabilities still outstanding at June 30, 2020 $ (15,158) $ (5,858) $ (21,016) Six months ended June 30, 2019 Net interest Repurchase Mortgage Loans held rate lock agreement servicing Assets for sale commitments (1) derivatives rights Total (in thousands) Balance, December 31, 2018 $ 260,008 $ 49,338 $ 26,770 $ 2,820,612 $ 3,156,728 Purchases and issuances, net 1,675,408 176,863 13,517 227,399 2,093,187 Sales and repayments (832,335) — (22,572) — (854,907) Mortgage servicing rights resulting from loan sales — — — 299,082 299,082 Changes in fair value included in income arising from: Changes in instrument-specific credit risk (6,277) — — — (6,277) Other factors — 156,751 (1,700) (626,758) (471,707) (6,277) 156,751 (1,700) (626,758) (477,984) Transfers from Level 3 to Level 2 (876,762) — — — (876,762) Transfers to real estate acquired in settlement of loans (2,044) — — — (2,044) Transfers of interest rate lock commitments to loans held for sale — (271,176) — — (271,176) Balance, June 30, 2019 $ 217,998 $ 111,776 $ 16,015 $ 2,720,335 $ 3,066,124 Changes in fair value recognized during the period relating to assets still held at June 30, 2019 $ (4,380) $ 111,776 $ 244 $ (626,758) $ (519,118) (1) For the purpose of this table, the IRLC asset and liability positions are shown net. Six months ended June 30, 2019 Excess servicing Mortgage spread servicing Liabilities financing liabilities Total (in thousands) Balance, December 31, 2018 $ 216,110 $ 8,681 $ 224,791 Issuance of excess servicing spread financing pursuant to a recapture agreement with PennyMac Mortgage Investment Trust 950 — 950 Accrual of interest 5,833 — 5,833 Repayments (21,082) — (21,082) Mortgage servicing liabilities resulting from loan sales — 7,632 7,632 Changes in fair value included in income (7,655) (3,365) (11,020) Balance, June 30, 2019 $ 194,156 $ 12,948 $ 207,104 Changes in fair value recognized during the period relating to liabilities still outstanding at June 30, 2019 $ (7,655) $ (3,365) $ (11,020)
Summary of net gains (losses) from changes in fair values included in earnings for financial statement items carried at fair value	Quarter ended June 30, 2020 2019 Net gains on Net Net gains on Net loans held loan loans held loan for sale at servicing for sale at servicing fair value fees Total fair value fees Total Assets: Loans held for sale $ 739,797 $ — $ 739,797 $ 172,752 $ — $ 172,752 Mortgage servicing rights — (205,692) (205,692) — (367,713) (367,713) $ 739,797 $ (205,692) $ 534,105 $ 172,752 $ (367,713) $ (194,961) Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ — $ 636 $ 636 $ — $ 3,604 $ 3,604 Mortgage servicing liabilities — (97) (97) — 1,734 1,734 $ — $ 539 $ 539 $ — $ 5,338 $ 5,338 Six months ended June 30, 2020 2019 Net gains on Net Net gains on Net loans held loan loans held loan for sale at servicing for sale at servicing fair value fees Total fair value fees Total Assets: Loans held for sale $ 1,138,515 $ — $ 1,138,515 $ 274,747 $ — $ 274,747 Mortgage servicing rights — (1,246,860) (1,246,860) — (626,758) (626,758) $ 1,138,515 $ (1,246,860) $ (108,345) $ 274,747 $ (626,758) $ (352,011) Liabilities: Excess servicing spread financing payable to PennyMac Mortgage Investment Trust $ — $ 15,158 $ 15,158 $ — $ 7,655 $ 7,655 Mortgage servicing liabilities — 5,858 5,858 — 3,365 3,365 $ — $ 21,016 $ 21,016 $ — $ 11,020 $ 11,020
Schedule of fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option	June 30, 2020 December 31, 2019 Principal Principal amount amount Fair due upon Fair due upon Loans held for sale value maturity Difference value maturity Difference (in thousands) Current through 89 days delinquent $ 4,376,517 $ 4,114,182 $ 262,335 $ 4,628,333 $ 4,431,854 $ 196,479 90 days or more delinquent: Not in foreclosure 467,334 480,268 (12,934) 236,650 241,958 (5,308) In foreclosure 74,402 77,721 (3,319) 47,970 50,194 (2,224) $ 4,918,253 $ 4,672,171 $ 246,082 $ 4,912,953 $ 4,724,006 $ 188,947
Summary of financial statement items measured at estimated fair value on a nonrecurring basis	Real estate acquired in settlement of loans Level 1 Level 2 Level 3 Total (in thousands) June 30, 2020 $ — $ — $ 8,838 $ 8,838 December 31, 2019 $ — $ — $ 9,850 $ 9,850
Summary of total gains (losses) on assets measured at estimated fair values on a nonrecurring basis	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Real estate acquired in settlement of loans $ (1,001) $ 105 $ (2,283) $ 111
Summary of carrying value and fair value of debt	Term Notes June 30, 2020 December 31, 2019 (in thousands) Fair value $ 1,255,719 $ 1,303,047 Carrying value $ 1,294,949 $ 1,294,070
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items, excluding MSR purchases	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (Amount recognized and unpaid principal balance of underlying loans in thousands) MSR and pool characteristics: Amount recognized $ 225,534 $ 183,331 $ 507,849 $ 299,082 Unpaid principal balance of underlying loans $ 20,066,302 $ 11,677,325 $ 38,396,686 $ 19,823,176 Weighted average servicing fee rate (in basis points) 36 42 38 41 Key inputs (1): Pricing spread (2) Range 8.1% – 18.1% 5.9% – 15.8% 6.8% – 18.1% 5.8% – 15.8% Weighted average 9.9% 8.7% 9.1% 8.8% Annual total prepayment speed (3) Range 8.8% – 29.1% 8.7% – 32.8% 8.8% – 49.8% 7.7% – 32.8% Weighted average 13.0% 13.8% 13.7% 14.4% Equivalent average life (in years) Range 2.9 – 8.1 2.6 – 7.8 1.5 – 8.1 2.6 – 7.8 Weighted average 6.3 6.1 6.1 6.0 Per-loan annual cost of servicing Range $79 – $110 $78 – $100 $77 – $110 $78 – $100 Weighted average $101 $97 $99 $96 (1) Weighted average inputs are based on the UPB of the underlying loans. (2) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar London Interbank Offered Rate (“LIBOR”)/swap curve for purposes of discounting cash flows relating to MSRs. (3) Annual total 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 inputs used in the valuation of the MSRs at year end and the effect on estimated fair value from adverse changes in those inputs	Following is a quantitative summary of key inputs used in the valuation of the Company’s MSRs and the effect on the fair value from adverse changes in those inputs: June 30, 2020 December 31, 2019 (Fair value, unpaid principal balance of underlying loans and effect on fair value amounts in thousands) Fair value $ 2,213,539 $ 2,926,790 Pool characteristics: Unpaid principal balance of underlying loans $ 233,807,729 $ 225,787,103 Weighted average note interest rate 3.9% 3.9% Weighted average servicing fee rate (in basis points) 35 35 Key inputs (1): Pricing spread (2): Range 8.0% – 17.6% 6.8% – 15.8% Weighted average 10.2% 8.5% Effect on fair value of: 5% adverse change ($39,039) ($44,561) 10% adverse change ($76,624) ($87,734) 20% adverse change ($147,730) ($170,155) Annual total prepayment speed (3): Range 10.5% – 33.4% 9.3% – 40.9% Weighted average 16.9% 12.7% Equivalent average life (in years) Range 1.3 – 6.8 1.4 – 7.4 Weighted average 5.0 6.1 Effect on fair value of: 5% adverse change ($69,081) ($63,569) 10% adverse change ($134,729) ($124,411) 20% adverse change ($256,580) ($238,549) Annual per-loan cost of servicing: Range $79 – $111 $77 – $100 Weighted average $106 $97 Effect on fair value of: 5% adverse change ($24,484) ($24,516) 10% adverse change ($48,967) ($49,032) 20% adverse change ($97,934) ($98,065) (1) Weighted average inputs are based on the UPB of the underlying loans. (2) The Company applies a pricing spread to the United States Dollar LIBOR/swap curve for purposes of discounting cash flows relating to MSRs. (3) Annual total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is included for informational purposes.
Mortgage servicing liabilities
Fair Value
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items	June 30, December 31, 2020 2019 Fair value (in thousands) $ 29,858 $ 29,140 Pool characteristics: Unpaid principal balance of underlying loans (in thousands) $ 2,130,520 $ 2,758,454 Servicing fee rate (in basis points) 25 25 Key inputs: Pricing spread (1) 7.9% 8.2% Annual total prepayment speed (2) 32.7% 29.2% Equivalent average life (in years) 3.1 3.9 Annual per-loan cost of servicing $ 317 $ 300 (1) The Company applies a pricing spread to the United States Dollar LIBOR/swap curve for purposes of discounting cash flows relating to MSLs. (2) Annual total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is included for informational purposes.
Excess servicing spread financing
Fair Value
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items	June 30, December 31, 2020 2019 Fair value (in thousands) $ 151,206 $ 178,586 Pool characteristics: Unpaid principal balance of underlying loans (in thousands) $ 18,197,844 $ 19,904,571 Average servicing fee rate (in basis points) 34 34 Average excess servicing spread (in basis points) 19 19 Key inputs (1): Pricing spread (2): Range 4.9% – 5.3% 3.0% – 3.3% Weighted average 5.1% 3.1% Annual total prepayment speed (3): Range 9.5% – 17.9% 8.7% – 16.2% Weighted average 12.1% 11.0% Equivalent average life (in years) Range 2.4 – 6.7 2.7 – 7.2 Weighted average 5.7 6.1 (1) Weighted average inputs are based on the UPB of the underlying loans. (2) The Company applies a pricing spread to the United States Dollar LIBOR/swap curve for purposes of discounting cash flows relating to ESS. (3) Annual total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is included for informational purposes.
Interest rate lock commitments
Fair Value
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items	June 30, 2020 December 31, 2019 Fair value (in thousands) $ 368,064 $ 136,650 Key inputs Pull-through rate: Range 11.8% – 100% 12.2% – 100% Weighted average 79.8% 86.5% Mortgage servicing rights value expressed as: Servicing fee multiple: Range 0.8 – 5.5 1.4 – 5.7 Weighted average 2.9 4.2 Percentage of unpaid principal balance: Range 0.2% – 2.5% 0.3% – 2.8% Weighted average 0.9% 1.6% (1) For purpose of this table, IRLC asset and liability positions are shown net. (2) Weighted average inputs are based on the committed amounts.
Loans held for sale
Fair Value
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items	June 30, 2020 December 31, 2019 Fair value (in thousands) $ 661,719 $ 383,878 Key inputs (1): Discount rate: Range 2.9% – 9.2% 3.0% – 9.2% Weighted average 3.0% 3.0% Twelve-month projected housing price index change: Range 0.8% – 1.3% 2.6% – 3.2% Weighted average 0.9% 2.8% Voluntary prepayment/resale speed (2): Range 0.4% – 20.2% 0.4% – 21.4% Weighted average 17.5% 18.2% Total prepayment speed (3): Range 0.6% – 37.7% 0.5% – 39.2% Weighted average 35.0% 36.2% (1) Weighted average inputs are based on the fair value of the “Level 3” loans. (2) Voluntary prepayment/resale speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”). (3) Total prepayment speed is measured using Life Total CPR, which includes both voluntary and involuntary prepayments/resale and defaults.

Loans Held for Sale at Fair V_2

Loans Held for Sale at Fair Value (Tables)	6 Months Ended
Loans Held for Sale at Fair Value (Tables)	Jun. 30, 2020
Loans Held for Sale at Fair Value
Summary of loans held for sale at fair value	June 30, December 31, Loan type 2020 2019 (in thousands) Government-insured or guaranteed $ 3,357,624 $ 4,222,010 Conventional conforming 898,910 307,065 Purchased from Ginnie Mae pools serviced by the Company 642,722 374,121 Repurchased pursuant to representations and warranties 18,972 9,244 Home equity lines of credit 25 513 $ 4,918,253 $ 4,912,953 Fair value of loans pledged to secure: Assets sold under agreements to repurchase $ 4,315,116 $ 4,322,789 Mortgage loan participation purchase and sale agreements 558,546 523,349 $ 4,873,662 $ 4,846,138

Derivative Financial Instrume_2

Derivative Financial Instruments (Tables)	6 Months Ended
Derivative Financial Instruments (Tables)	Jun. 30, 2020
Derivative Financial Instruments
Summary of derivative financial instruments	June 30, 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: Interest rate lock commitments 12,245,054 $ 369,455 $ 1,391 7,122,316 $ 138,511 $ 1,861 Repurchase agreement derivatives 8,187 — 8,187 — Used for hedging purposes: Forward purchase contracts 20,709,914 93,136 4,184 13,618,361 12,364 19,040 Forward sales contracts 25,302,147 5,271 109,371 16,220,526 17,097 18,045 MBS put options 11,200,000 8,543 2 6,100,000 3,415 — Swaption purchase contracts 3,375,000 5,318 — 1,750,000 2,409 — Put options on interest rate futures purchase contracts 350,000 273 — 2,250,000 3,945 — Call options on interest rate futures purchase contracts 1,800,000 3,438 — 750,000 1,469 — Treasury futures purchase contracts 925,000 — — 1,276,000 — — Treasury futures sale contracts 450,000 — — 1,010,000 — — Interest rate swap futures purchase contracts 3,460,000 — — 3,210,000 — — Total derivatives before netting 493,621 114,948 187,397 38,946 Netting (93,319) (93,794) (27,711) (16,616) $ 400,302 $ 21,154 $ 159,686 $ 22,330 Collateral placed with (received from) derivative counterparties, net $ 475 $ (11,095)
Summary of the notional value activity for derivative contracts used to hedge the IRLCs and inventory of loans held for sale at fair value and MSRs	Notional amounts, quarter ended June 30, 2020 Beginning of Dispositions/ End of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 20,480,331 113,942,362 (113,712,779) 20,709,914 Forward sale contracts 20,196,818 138,886,096 (133,780,767) 25,302,147 MBS put options 10,700,000 27,750,000 (27,250,000) 11,200,000 Swaption purchase contracts 6,800,000 3,175,000 (6,600,000) 3,375,000 Swaption sale contracts — 6,600,000 (6,600,000) — Put options on interest rate futures purchase contracts 4,925,000 1,100,000 (5,675,000) 350,000 Call options on interest rate futures purchase contracts 1,925,000 5,000,000 (5,125,000) 1,800,000 Put options on interest rate futures sale contracts — 5,675,000 (5,675,000) — Call options on interest rate futures sale contracts — 5,125,000 (5,125,000) — Treasury futures purchase contracts 650,000 1,920,200 (1,645,200) 925,000 Treasury futures sale contracts 810,000 1,285,200 (1,645,200) 450,000 Interest rate swap futures purchase contracts 2,560,000 1,725,000 (825,000) 3,460,000 Interest rate swap futures sales contracts — 825,000 (825,000) — Notional amounts, quarter ended June 30, 2019 Beginning of Dispositions/ End of Instrument quarter Additions expirations quarter (in thousands) Forward purchase contracts 9,313,389 84,608,506 (74,424,197) 19,497,698 Forward sale contracts 7,583,005 93,901,535 (87,208,384) 14,276,156 MBS put options 9,425,000 28,450,000 (25,100,000) 12,775,000 MBS call options 3,350,000 2,250,000 (3,350,000) 2,250,000 Put options on interest rate futures purchase contracts 3,350,000 2,897,500 (3,412,500) 2,835,000 Call options on interest rate futures purchase contracts 2,250,000 6,915,000 (5,477,500) 3,687,500 Put options on interest rate futures sale contracts — 8,827,500 (8,827,500) — Treasury futures purchase contracts 1,810,000 2,700,200 (4,024,100) 486,100 Treasury futures sale contracts 1,075,000 4,499,100 (4,024,100) 1,550,000 Interest rate swap futures purchase contracts 1,025,000 1,875,000 — 2,900,000 Notional amounts, six months ended June 30, 2020 Beginning of Dispositions/ End of Instrument period Additions expirations period (in thousands) Forward purchase contracts 13,618,361 226,801,811 (219,710,258) 20,709,914 Forward sale contracts 16,220,526 269,322,327 (260,240,706) 25,302,147 MBS put options 6,100,000 49,750,000 (44,650,000) 11,200,000 Swaption purchase contracts 1,750,000 11,075,000 (9,450,000) 3,375,000 Swaption sale contracts — 9,450,000 (9,450,000) — Put options on interest rate futures purchase contracts 2,250,000 8,700,000 (10,600,000) 350,000 Call options on interest rate futures purchase contracts 750,000 8,540,000 (7,490,000) 1,800,000 Put options on interest rate futures sale contracts — 10,600,000 (10,600,000) — Call options on interest rate futures sale contracts — 7,490,000 (7,490,000) — Treasury futures purchase contracts 1,276,000 3,955,200 (4,306,200) 925,000 Treasury futures sale contracts 1,010,000 3,746,200 (4,306,200) 450,000 Interest rate swap futures purchase contracts 3,210,000 2,950,000 (2,700,000) 3,460,000 Interest rate swap futures sales contracts — 2,700,000 (2,700,000) — Notional amounts, six months ended June 30, 2019 Beginning of Dispositions/ End of Instrument period Additions expirations period (in thousands) Forward purchase contracts 6,657,026 137,230,351 (124,389,679) 19,497,698 Forward sale contracts 6,890,046 153,575,022 (146,188,912) 14,276,156 MBS put options 4,635,000 47,610,000 (39,470,000) 12,775,000 MBS call options 1,450,000 6,750,000 (5,950,000) 2,250,000 Put options on interest rate futures purchase contracts 3,085,000 9,572,500 (9,822,500) 2,835,000 Call options on interest rate futures purchase contracts 1,512,500 11,377,800 (9,202,800) 3,687,500 Put options on interest rate futures sale contracts — 18,962,800 (18,962,800) — Treasury futures purchase contracts 835,000 6,811,400 (7,160,300) 486,100 Treasury futures sale contracts 1,450,000 7,260,300 (7,160,300) 1,550,000 Interest rate swap futures purchase contracts 625,000 2,275,000 — 2,900,000
Summaries of derivative assets and related netting amounts	June 30, 2020 December 31, 2019 Gross Gross amount Net amount Gross Gross amount Net amount amount of offset in the of assets in the amount of offset in the of assets in the recognized consolidated consolidated recognized consolidated consolidated assets balance sheet balance sheet assets balance sheet balance sheet (in thousands) Derivatives not subject to master netting arrangements: Interest rate lock commitments $ 369,455 $ — $ 369,455 $ 138,511 $ — $ 138,511 Repurchase agreement derivatives 8,187 — 8,187 8,187 — 8,187 377,642 — 377,642 146,698 — 146,698 Derivatives subject to master netting arrangements: Forward purchase contracts 93,136 — 93,136 12,364 — 12,364 Forward sale contracts 5,271 — 5,271 17,097 — 17,097 MBS put options 8,543 — 8,543 3,415 — 3,415 Swaption purchase contracts 5,318 — 5,318 2,409 — 2,409 Put options on interest rate futures purchase contracts 273 — 273 3,945 — 3,945 Call options on interest rate futures purchase contracts 3,438 — 3,438 1,469 — 1,469 Netting — (93,319) (93,319) — (27,711) (27,711) 115,979 (93,319) 22,660 40,699 (27,711) 12,988 $ 493,621 $ (93,319) $ 400,302 $ 187,397 $ (27,711) $ 159,686
Summary of the amount of derivative asset positions by significant counterparty after considering master netting arrangements and financial instruments or cash pledged	June 30, 2020 December 31, 2019 Gross amount not Gross amount not offset in the offset in the consolidated consolidated Net amount balance sheet Net amount balance sheet of assets in the Cash of assets in the Cash consolidated Financial collateral Net consolidated Financial collateral Net balance sheet instruments received amount balance sheet instruments received amount (in thousands) Interest rate lock commitments $ 369,455 $ — $ — $ 369,455 $ 138,511 $ — $ — $ 138,511 Wells Fargo Bank, N.A. 9,482 — — 9,482 — — — — Deutsche Bank 8,187 — — 8,187 9,138 — — 9,138 RJ O'Brien 3,711 — — 3,711 5,414 — — 5,414 JPMorgan Chase Bank, N.A. 3,462 — — 3,462 2,196 — — 2,196 Goldman Sachs 2,094 — — 2,094 2,548 — — 2,548 Nomura Securities International, Inc. 1,482 — — 1,482 — — — — Mizuho Securities — — — — 1,597 — — 1,597 Others 2,429 — — 2,429 282 — — 282 $ 400,302 $ — $ — $ 400,302 $ 159,686 $ — $ — $ 159,686
Summary of net derivative liabilities and assets sold under agreements to repurchase and related netting amounts	June 30, 2020 December 31, 2019 Net Net amount amount Gross Gross amount of liabilities Gross Gross amount of liabilities amount of offset in the in the amount of offset in the in the recognized consolidated consolidated recognized consolidated consolidated liabilities balance sheet balance sheet liabilities balance sheet balance sheet (in thousands) Derivatives not subject to master netting arrangements – $ 1,391 $ — $ 1,391 $ 1,861 $ — $ 1,861 Derivatives subject to a master netting arrangement: Forward purchase contracts 4,184 — 4,184 19,040 — 19,040 Forward sale contracts 109,371 — 109,371 18,045 — 18,045 MBS put options 2 — 2 — — — Netting — (93,794) (93,794) — (16,616) (16,616) 113,557 (93,794) 19,763 37,085 (16,616) 20,469 Total derivatives 114,948 (93,794) 21,154 38,946 (16,616) 22,330 Assets sold under agreements to repurchase: Amount outstanding 3,769,495 — 3,769,495 4,141,680 — 4,141,680 Unamortized debt issuance cost, net (10,180) — (10,180) (627) — (627) 3,759,315 — 3,759,315 4,141,053 — 4,141,053 $ 3,874,263 $ (93,794) $ 3,780,469 $ 4,179,999 $ (16,616) $ 4,163,383
Summary of amount of derivative liabilities and assets sold under agreements to repurchase by significant counterparty after considering master netting arrangements and financial instruments or cash pledged	June 30, 2020 December 31, 2019 Gross amounts Gross amounts not offset in the not offset in the Net amount consolidated Net amount consolidated of liabilities balance sheet of liabilities balance sheet in the Cash in the Cash consolidated Financial collateral Net consolidated Financial collateral Net balance sheet instruments pledged amount balance sheet instruments pledged amount (in thousands) Interest rate lock commitments $ 1,391 $ — $ — $ 1,391 $ 1,861 $ — $ — $ 1,861 Credit Suisse First Boston Mortgage Capital LLC 1,690,452 (1,685,301) — 5,151 1,235,430 (1,235,430) — — Bank of America, N.A. 721,185 (714,042) — 7,143 379,400 (374,190) — 5,210 Morgan Stanley Bank, N.A. 368,513 (368,513) — — 582,941 (582,941) — — Royal Bank of Canada 360,389 (360,389) — — 175,897 (175,897) — — Citibank, N.A. 339,315 (339,315) — — 655,831 (653,170) — 2,661 BNP Paribas 193,740 (193,740) — — 183,880 (183,880) — — JPMorgan Chase Bank, N.A. 108,195 (108,195) — — 936,172 (936,172) — — Federal Home Loan Mortgage Corporation 6,183 — — 6,183 — — — — Wells Fargo Bank, N.A. — — — — 11,212 — — 11,212 Others 1,286 — — 1,286 1,386 — — 1,386 $ 3,790,649 $ (3,769,495) $ — $ 21,154 $ 4,164,010 $ (4,141,680) $ — $ 22,330
Summary of gains (losses) recognized on derivative financial instruments and the respective income statement line items	Quarter ended June 30, Six months ended June 30, Derivative activity Income statement line 2020 2019 2020 2019 (in thousands) Interest rate lock commitments Net gains on loans held for sale at fair value (1) $ 52,871 $ 45,711 $ 231,414 $ 62,438 Repurchase agreement derivatives Interest expense $ — $ (1,143) $ — $ (1,700) Hedged item: Interest rate lock commitments and loans held for sale Net gains on loans held for sale at fair value $ (101,115) $ (67,154) $ (326,672) $ (101,822) Mortgage servicing rights Net loan servicing fees –C $ (15,764) $ 203,180 $ 1,020,806 $ 337,737 (1) Represents net increase (decrease) in fair value of IRLCs from the beginning to the end of the reporting period. Amounts recognized at the date of commitment and fair value changes recognized during the period until purchase of the underlying loans are shown in the rollforward of IRLCs for the period in Note 6 – Fair Value – Assets and Liabilities Measured at Fair Value on a Recurring Basis.

Mortgage Servicing Rights and_2

Mortgage Servicing Rights and Mortgage Servicing Liabilities (Tables)	6 Months Ended
	Jun. 30, 2020
Mortgage Servicing Rights and Mortgage Servicing Liabilities
Schedule of activity in MSRs carried at fair value	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Balance at beginning of period $ 2,193,697 $ 2,905,090 $ 2,926,790 $ 2,820,612 Additions: Resulting from loan sales 225,534 183,331 507,849 299,082 Purchases (purchase adjustments) — (373) 25,760 227,399 225,534 182,958 533,609 526,481 Change in fair value due to: Changes in valuation inputs used in valuation model (1) (98,681) (256,449) (1,014,543) (418,087) Other changes in fair value (2) (107,011) (111,264) (232,317) (208,671) Total change in fair value (205,692) (367,713) (1,246,860) (626,758) Balance at end of period $ 2,213,539 $ 2,720,335 $ 2,213,539 $ 2,720,335 June 30, December 31, 2020 2019 (in thousands) Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 2,209,928 $ 2,920,603 (1) Principally reflects changes in discount rate, prepayment speed and servicing cost inputs. (2) Represents changes due to realization of cash flows.
Schedule of activity in mortgage servicing liability carried at fair value	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Balance at beginning of period $ 29,761 $ 7,844 $ 29,140 $ 8,681 Mortgage servicing liabilities resulting from loan sales — 6,838 6,576 7,632 Changes in fair value due to: Changes in valuation inputs used in valuation model (1) 9,673 2,756 14,105 6,057 Other changes in fair value (2) (9,576) (4,490) (19,963) (9,422) Total change in fair value 97 (1,734) (5,858) (3,365) Balance at end of period $ 29,858 $ 12,948 $ 29,858 $ 12,948 (1) Principally reflects changes in expected borrower performance and servicer losses given default. (2) Represents changes due to realization of cash flows.
Summary of servicing fees, late fees and ancillary and other fees relating to MSRs recorded on the consolidated statements of income	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Contractual servicing fees $ 199,178 $ 180,753 $ 397,831 $ 347,543 Other fees: Late charges 8,490 9,015 21,103 18,827 Other 5,971 2,612 10,821 4,273 $ 213,639 $ 192,380 $ 429,755 $ 370,643

Leases (Tables)

Leases (Tables)	6 Months Ended
Leases (Tables)	Jun. 30, 2020
Leases
Summary of Company's leases	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (dollars in thousands) Lease expense: Operating leases $ 4,034 $ 3,232 $ 7,966 $ 6,461 Short-term leases 224 214 480 431 Sublease income — (27) — (59) Net lease expense included in Occupancy and equipment $ 4,258 $ 3,419 $ 8,446 $ 6,833 Other information: Cash payments for operating leases $ 4,354 $ 3,884 $ 8,794 $ 7,730 Operating lease right-of-use assets Upon adoption Accounting Standards Update 2016-02, Leases (Topic 842) $ — $ — $ — $ 58,598 New leases 4,964 87 6,498 115 $ 4,964 $ 87 $ 6,498 $ 58,713 Period end weighted averages: Remaining lease term (in years) 6.6 6.4 Discount rate 4.2% 4.6%
Schedule of maturities of operating lease liabilities	Twelve months ended June 30, Operating leases (in thousands) 2021 $ 17,995 2022 16,712 2023 16,221 2024 14,851 2025 12,925 Thereafter 30,363 Total lease payments 109,067 Less imputed interest (15,462) Total $ 93,605

Other Assets (Tables)

Other Assets (Tables)	6 Months Ended
Other Assets (Tables)	Jun. 30, 2020
Other Asset
Summary of other assets	June 30, December 31, 2020 2019 (in thousands) Margin deposits $ 126,121 $ 84,118 Deposits securing Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets 125,017 — Capitalized software, net 90,250 63,130 Furniture, fixture, equipment and building improvements, net 29,377 30,480 Real estate acquired in settlement of loans 19,554 20,326 Other 132,306 135,503 $ 522,625 $ 333,557 Deposits pledged to secure Assets sold under agreements to repurchase Notes payable secured by mortgage servicing assets $ 125,017 $ — Assets pledged to secure revolving line of credit: Capitalized software, net 9,730 12,192 Furniture, fixture, equipment and building improvements, net 6,670 20,406 $ 141,417 $ 32,598

Borrowings (Tables)

Borrowings (Tables)	6 Months Ended
Borrowings (Tables)	Jun. 30, 2020
Borrowings
Summary of financial data pertaining to assets sold under agreements to repurchase	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (dollars in thousands) Average balance of assets sold under agreements to repurchase $ 2,529,217 $ 1,988,920 $ 2,833,444 $ 1,715,846 Weighted average interest rate (1) 2.32 % 4.35 % 2.74 % 4.40 % Total interest expense (2) $ 17,487 $ 19,645 $ 43,171 $ 28,280 Maximum daily amount outstanding $ 3,769,495 $ 2,748,375 $ 3,769,495 $ 2,748,375 June 30, December 31, 2020 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 3,769,495 $ 4,141,680 Unamortized debt issuance costs (10,180) (627) $ 3,759,315 $ 4,141,053 Weighted average interest rate 2.13 % 3.29 % Available borrowing capacity (3): Committed $ — $ 125,810 Uncommitted 2,090,894 782,510 $ 2,090,894 $ 908,320 Fair value of assets securing repurchase agreements: Loans held for sale $ 4,315,116 $ 4,322,789 Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell $ 90,101 $ 107,512 Servicing advances (4) $ 197,094 $ 207,460 Mortgage servicing rights (4) $ 2,188,921 $ 2,902,721 Deposits (4) $ 125,017 $ — Margin deposits placed with counterparties (5) $ 4,375 $ 5,000 (1) Excludes the effect of amortization of net issuance costs of $2.8 million and $4.4 million for the quarter and six months ended June 30, 2020, respectively, and net premiums of $2.0 million and $9.4 million for the quarter and six months ended June 30, 2019, respectively. (2) In 2017, PFSI entered into a master repurchase agreement that provides the Company with incentives to finance mortgage loans approved for satisfying certain consumer relief characteristics as provided in the agreement. The Company included $3.9 million and $13.2 million of such incentives as reductions in Interest expense during the quarter and six months ended June 30, 2019, respectively. The master repurchase agreement expired on August 21, 2019. (3) 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. (4) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits are pledged to the Issuer Trust and together serve as the collateral backing the VFN, GMSR Servicing Advance Notes, 2018-GT1 Notes and 2018-GT2 Notes described in Notes payable secured by mortgage servicing assets . The VFN financing and the GMSR Servicing Advance Notes are included in Assets sold under agreements to repurchase and 2018-GT1 Notes and 2018-GT2 Notes are included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheets. (5) Margin deposits are included in Other assets on the Company’s consolidated balance sheets.
Summary of maturities of outstanding advances under repurchase agreements by maturity date	Remaining maturity at June 30, 2020 Unpaid principal balance (dollars in thousands) Within 30 days $ 1,244,673 Over 30 to 90 days 2,116,162 Over 90 to 180 days 408,660 Total assets sold under agreements to repurchase $ 3,769,495 Weighted average maturity (in months) 1.4
Summary of amount at risk relating to the assets sold under agreements to repurchase by counterparty	Weighted average maturity of advances under repurchase Counterparty Amount at risk agreement Facility maturity (in thousands) Credit Suisse First Boston Mortgage Capital LLC (1) $ 1,032,963 October 21, 2020 October 21, 2020 Credit Suisse First Boston Mortgage Capital LLC $ 352,900 August 17, 2020 April 23, 2021 Bank of America, N.A. $ 120,991 July 31, 2020 March 11, 2021 Royal Bank of Canada $ 35,008 July 31, 2020 July 31, 2020 Morgan Stanley Bank, N.A. $ 34,949 August 21, 2020 August 21, 2020 Citibank, N.A. $ 27,323 August 4, 2020 August 4, 2020 BNP Paribas $ 14,888 July 31, 2020 July 31, 2020 JP Morgan Chase Bank, N.A. $ 9,812 September 5, 2020 October 9, 2020 (1) The calculation of the amount at risk includes the VFN and the Term Notes because beneficial interests in the Ginnie Mae MSRs and servicing advances are pledged to the Issuer Trust and together serve as the collateral backing the VFN, 2018-GT1 Notes and 2018-GT2 Notes described in Notes payable secured by mortgage servicing assets below. The VFN financing is included in Assets sold under agreements to repurchase and 2018-GT1 Notes and 2018-GT2 Notes are included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheets.
Summary of mortgage loan participations	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (dollars in thousands) Average balance $ 240,119 $ 251,997 $ 243,965 $ 244,374 Weighted average interest rate (1) 1.53 % 3.63 % 2.09 % 3.65 % Total interest expense $ 1,061 $ 2,419 $ 2,871 $ 4,730 Maximum daily amount outstanding $ 540,977 $ 523,279 $ 540,977 $ 548,038 (1) Excludes the effect of amortization of facility fees totaling $145,000 and $135,000 for the quarters ended June 30, 2020 and 2019, respectively, and $318,000 and $270,000 for the six months ended June 30, 2020 and 2019, respectively. June 30, December 31, 2020 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 536,395 $ 497,948 Unamortized debt issuance costs — — $ 536,395 $ 497,948 Weighted average interest rate 1.43 % 3.05 % Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements $ 558,546 $ 523,349
Summary of obligations under capital lease	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (dollars in thousands) Average balance $ 17,272 $ 10,135 $ 18,367 $ 8,406 Weighted average interest rate 2.70 % 4.39 % 3.05 % 4.39 % Total interest expense $ 104 $ 136 $ 271 $ 202 Maximum daily amount outstanding $ 18,145 $ 28,295 $ 20,810 $ 28,295 June 30, December 31, 2020 2019 (dollars in thousands) Unpaid principal balance $ 16,749 $ 20,810 Weighted average interest rate 2.70 % 3.74 % Assets pledged to secure obligations under capital lease: Furniture, fixtures and equipment $ 6,670 $ 20,406 Capitalized software $ 9,730 $ 12,192
Summary of term notes issued	Issuance Date Principal Stated interest rate (1) Maturity date (2) (in thousands) (Annually) February 28, 2018 (the "2018-GT1 Notes") $ 650,000 2.85% 2/25/2023 August 10, 2018 (the "2018-GT2 Notes") 650,000 2.65% 8/25/2023 $ 1,300,000 (1) Spread over one-month LIBOR. (2) The 2018 Term Notes indentures provide the Company with the option to extend the maturity of the 2018 Term Notes by two years after the stated maturity .
Summary of note payable	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (dollars in thousands) Average balance $ 1,300,000 $ 1,300,000 $ 1,300,000 $ 1,300,000 Weighted average interest rate (1) 3.28 % 5.27 % 3.86 % 5.26 % Total interest expense $ 11,109 $ 17,564 $ 25,955 $ 35,074 Maximum daily amount outstanding $ 1,300,000 $ 1,300,000 $ 1,300,000 $ 1,300,000 (1) Excludes the effect of amortization of debt issuance costs totaling $451,000 and $445,000 for the quarters ended June 30, 2020 and 2019, respectively, and $896,000 and $889,000 for the six month periods ended June 30, 2020 and 2019, respectively. June 30, December 31, 2020 2019 (dollars in thousands) Carrying value: Unpaid principal balance $ 1,300,000 $ 1,300,000 Unamortized debt issuance costs (5,051) (5,930) $ 1,294,949 $ 1,294,070 Weighted average interest rate 2.92 % 4.46 % Assets pledged to secure notes payable (1): Servicing advances $ 197,094 $ 207,460 Mortgage servicing rights $ 2,129,361 $ 2,861,442 Deposits $ 125,017 $ — (1) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits are pledged to the Issuer Trust and together serve as the collateral backing the VFN, GMSR Servicing Advance Notes, 2018-GT1 Notes and 2018-GT2 Notes. The VFN financing and the GMSR Servicing Advance Notes are included in Assets sold under agreements to repurchase and 2018-GT1 Notes and 2018-GT2 Notes are included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheet.
Summary of Corporate revolving line of credit	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (dollars in thousands) Interest expense (1) $ 472 $ 475 $ 975 $ 960 June 30, December 31, 2020 2019 (dollars in thousands) Carrying value $ — $ — Unused amount $ 150,000 $ 150,000 Cash pledged to secure corporate revolving line of credit $ 896,058 $ 52,599 (1) Interest expense is comprised of debt issuance costs and non-utilization fees.

Liability for Losses Under Re_2

Liability for Losses Under Representations and Warranties (Tables)	6 Months Ended
	Jun. 30, 2020
Liability for Losses Under Representations and Warranties
Summary of repurchase activity	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Balance at beginning of period $ 23,202 $ 17,982 $ 21,446 $ 21,155 Provision for losses on loans sold: Resulting from sales of loans 4,189 1,647 7,901 2,714 Reduction in liability due to change in estimate (1,270) (920) (2,946) (5,130) Losses incurred, net (212) — (492) (30) Balance at end of period $ 25,909 $ 18,709 $ 25,909 $ 18,709 Unpaid principal balance of loans subject to representations and warranties at end of period $ 192,064,630 $ 127,670,206

Stockholders' Equity (Tables)

Stockholders' Equity (Tables)	6 Months Ended
Stockholders' Equity (Tables)	Jun. 30, 2020
Stockholders' Equity.
Summary of share repurchase activity	Quarter ended June 30, Six months ended June 30, Cumulative 2020 2019 2020 2019 total (1) (in thousands) Shares of common stock repurchased 6,975 51 7,213 51 8,029 Cost of shares of common stock repurchased $ 237,162 $ 1,056 $ 241,283 $ 1,056 $ 256,231 (1) Amounts represent the total shares of common stock repurchased under the stock repurchase program through June 30, 2020 .

Net Gains on Loans Held for S_2

Net Gains on Loans Held for Sale (Tables)	6 Months Ended
Net Gains on Loans Held for Sale (Tables)	Jun. 30, 2020
Net Gains on Loans Held for Sale
Net Gains on Loans Held for Sale	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) From non-affiliates: Cash gain (loss): Loans $ 502,416 $ (13,579) $ 614,173 $ (54,821) Hedging activities (227,013) (73,145) (349,679) (82,072) 275,403 (86,724) 264,494 (136,893) Non-cash gain: Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales 225,534 176,493 501,273 291,450 Provision for losses relating to representations and warranties: Pursuant to loan sales (4,189) (1,647) (7,901) (2,714) Reduction in liability due to change in estimate 1,270 920 2,946 5,130 Change in fair value of loans and derivatives held at period end: Interest rate lock commitments 52,871 45,711 231,414 62,438 Loans 10,978 (29,522) (61,102) (29,686) Hedging derivatives 125,898 5,991 23,007 (19,750) 687,765 111,222 954,131 169,975 From PennyMac Mortgage Investment Trust (5,592) 36,311 72,324 62,334 $ 682,173 $ 147,533 $ 1,026,455 $ 232,309

Net Interest Income (Tables)

Net Interest Income (Tables)	6 Months Ended
Net Interest Income (Tables)	Jun. 30, 2020
Net Interest Income
Summary of net interest income	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Interest income: From non-affiliates: Cash and short-term investments $ 1,893 $ 2,706 $ 3,604 $ 4,639 Loans held for sale at fair value 32,586 34,366 79,012 65,709 Placement fees relating to custodial funds 12,047 32,136 35,256 55,397 46,526 69,208 117,872 125,745 From PennyMac Mortgage Investment Trust—Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell 792 1,692 2,010 3,488 47,318 70,900 119,882 129,233 Interest expense: To non-affiliates: Assets sold under agreements to repurchase 17,487 19,645 43,171 28,280 Mortgage loan participation purchase and sale agreements 1,061 2,419 2,871 4,730 Obligations under capital lease 104 136 271 202 Notes payable 11,581 18,039 26,930 36,034 Interest shortfall on repayments of mortgage loans serviced for Agency securitizations 18,954 8,214 33,825 12,525 Interest on mortgage loan impound deposits 1,648 1,704 3,305 2,863 50,835 50,157 110,373 84,634 To PennyMac Mortgage Investment Trust—Excess servicing spread financing at fair value 2,372 2,767 4,346 5,833 53,207 52,924 114,719 90,467 $ (5,889) $ 17,976 $ 5,163 $ 38,766 (1) In 2017, the Company entered into a master repurchase agreement that provided the Company with incentives to finance mortgage loans approved for satisfying certain consumer relief characteristics as provided in the agreement. The Company included $3.9 million and $13.2 million of such incentives as reductions of Interest expense during the quarter and six months ended June 30, 2019, respectively. The master repurchase agreement expired on August 21, 2019.

Stock-based Compensation (Table

Stock-based Compensation (Tables)	6 Months Ended
Stock-based Compensation (Tables)	Jun. 30, 2020
Stock-based Compensation
Summary of the stock-based compensation activity	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands) Grants: Units: Performance-based RSUs — — 422 665 Stock options — — 273 344 Time-based RSUs 5 — 310 330 Grant date fair value: Performance-based RSUs $ — $ — $ 14,788 $ 15,253 Stock options — — 2,770 2,965 Time-based RSUs 150 — 10,823 7,545 Total $ 150 $ — $ 28,381 $ 25,763 Vestings and exercises: Performance-based RSUs vested — — 603 648 Stock options exercised 144 29 324 118 Time-based RSUs vested — — 348 291 Compensation expense $ 6,757 $ 5,652 $ 19,125 $ 10,183

Earnings Per Share of Common _2

Earnings Per Share of Common Stock (Tables)	6 Months Ended
Earnings Per Share of Common Stock (Tables)	Jun. 30, 2020
Earnings Per Share of Common Stock
Summary of basic and diluted earnings per share calculations	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands, except per share amounts) Net income $ 352,677 $ 72,696 $ 658,920 $ 118,831 Weighted average basic shares of common stock outstanding 77,790 78,335 78,240 77,996 Effect of dilutive shares: Common shares issuable under stock-based compensation plan 2,634 983 3,001 1,305 Weighted average shares of common stock applicable to diluted earnings per share 80,424 79,318 81,241 79,301 Basic earnings per share of common stock $ 4.53 $ 0.93 $ 8.42 $ 1.52 Diluted earnings per share of common stock $ 4.39 $ 0.92 $ 8.11 $ 1.50
Schedule of anti-dilutive shares outstanding	Quarter ended June 30, Six months ended June 30, 2020 2019 2020 2019 (in thousands except for weighted-average exercise price) Performance-based RSUs (1) 422 1,811 292 1,547 Time-based RSUs 79 — 110 1 Stock options (2) 273 982 189 845 Total anti-dilutive shares and units 774 2,793 591 2,393 Weighted average exercise price of anti-dilutive stock options (2) $ 35.03 $ 18.34 $ 35.03 $ 18.34 (1) Certain performance-based RSUs were outstanding but not included in the computation of earnings per share because the performance thresholds included in such RSUs have not been achieved. (2) Certain stock options were outstanding but not included in the computation of diluted earnings per share because the weighted-average exercise prices were above the average stock prices for the period.

Supplemental Cash Flow Inform_2

Supplemental Cash Flow Information (Tables)	6 Months Ended
Supplemental Cash Flow Information (Tables)	Jun. 30, 2020
Supplemental Cash Flow Information
Schedule of supplemental cash flow information	Six months ended June 30, 2020 2019 (in thousands) Cash paid for interest $ 127,806 $ 73,905 Cash paid for income taxes, net $ 3,871 $ 261 Non-cash investing activity: Mortgage servicing rights resulting from loan sales $ 507,849 $ 299,082 Mortgage servicing liabilities resulting from loan sales $ 6,576 $ 7,632 Unsettled portion of MSR acquisitions $ 1,053 $ 9,457 Operating right-of-use assets $ 6,498 $ 58,713 Non-cash financing activity: Issuance of Excess servicing spread payable to PennyMac Mortgage Investment Trust $ 862 $ 950 Issuance of common stock in settlement of directors' fees $ 96 $ 136

Regulatory Capital and Liquid_2

Regulatory Capital and Liquidity Requirements (Tables)	6 Months Ended
Regulatory Capital and Liquidity Requirements (Tables)	Jun. 30, 2020
Regulatory Capital and Liquidity Requirements
Summary of agencies' capital and liquidity requirements by each agency	June 30, 2020 December 31, 2019 Agency–company subject to requirement Actual (1) Requirement (1) Actual (1) Requirement (1) (dollars in thousands) Capital Fannie Mae & Freddie Mac – $ 3,116,330 $ 604,026 $ 2,247,751 $ 585,674 Ginnie Mae – $ 2,644,288 $ 966,795 $ 1,907,398 $ 910,456 HUD – $ 2,644,288 $ 2,500 $ 1,907,398 $ 2,500 Liquidity Fannie Mae & Freddie Mac – $ 900,628 $ 82,578 $ 257,794 $ 79,991 Ginnie Mae – $ 900,628 $ 220,894 $ 257,794 $ 216,119 Adjusted net worth / Total assets ratio Ginnie Mae – 11 % 6 % 19 % 6 % Tangible net worth / Total assets ratio Fannie Mae & Freddie Mac – 14 % 6 % 22 % 6 % (1) Calculated in compliance with the respective Agency’s requirements.

Segments (Tables)

Segments (Tables)	6 Months Ended
Segments (Tables)	Jun. 30, 2020
Segments
Schedule of change in expense allocation, by segment	Quarter ended June 30, 2020 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 619,728 $ 62,445 $ 682,173 $ — $ 682,173 Loan origination fees 58,948 — 58,948 — 58,948 Fulfillment fees from PennyMac Mortgage Investment Trust 52,815 — 52,815 — 52,815 Net loan servicing fees — 22,337 22,337 — 22,337 Net interest income (expense): Interest income 19,205 28,113 47,318 — 47,318 Interest expense 12,642 40,560 53,202 5 53,207 6,563 (12,447) (5,884) (5) (5,889) Management fees — — — 8,288 8,288 Other 361 351 712 2,250 2,962 Total net revenue 738,415 72,686 811,101 10,533 821,634 Expenses 200,352 135,098 335,450 5,822 341,272 Income before provision for income taxes $ 538,063 $ (62,412) $ 475,651 $ 4,711 $ 480,362 Segment assets at quarter end $ 5,419,219 $ 17,789,046 $ 23,208,265 $ 18,210 $ 23,226,475 (1) All revenues are from external customers. Quarter ended June 30, 2019 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 124,860 $ 22,673 $ 147,533 $ — $ 147,533 Loan origination fees 36,924 — 36,924 — 36,924 Fulfillment fees from PennyMac Mortgage Investment Trust 29,590 — 29,590 — 29,590 Net loan servicing fees — 59,134 59,134 — 59,134 Net interest income (expense): Interest income 18,900 52,000 70,900 — 70,900 Interest expense 13,898 39,015 52,913 11 52,924 5,002 12,985 17,987 (11) 17,976 Management fees — — — 8,832 8,832 Other 117 1,332 1,449 1,539 2,988 Total net revenue 196,493 96,124 292,617 10,360 302,977 Expenses 98,249 98,797 197,046 6,341 203,387 Income before provision for income taxes $ 98,244 $ (2,673) $ 95,571 $ 4,019 $ 99,590 Segment assets at quarter end $ 3,556,575 $ 4,823,468 $ 8,380,043 $ 18,333 $ 8,398,376 (1) All revenues are from external customers. Six months ended June 30, 2020 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 936,363 $ 90,092 $ 1,026,455 $ — $ 1,026,455 Loan origination fees 116,519 — 116,519 — 116,519 Fulfillment fees from PennyMac Mortgage Investment Trust 94,755 — 94,755 — 94,755 Net loan servicing fees — 280,145 280,145 — 280,145 Net interest income (expense): Interest income 45,790 74,092 119,882 — 119,882 Interest expense 32,799 81,906 114,705 14 114,719 12,991 (7,814) 5,177 (14) 5,163 Management fees — — — 17,343 17,343 Other 351 (329) 22 3,057 3,079 Total net revenue 1,160,979 362,094 1,523,073 20,386 1,543,459 Expenses 382,785 253,664 636,449 11,918 648,367 Income before provision for income taxes $ 778,194 $ 108,430 $ 886,624 $ 8,468 $ 895,092 Segment assets at period end $ 5,419,219 $ 17,789,046 $ 23,208,265 $ 18,210 $ 23,226,475 (1) All revenues are from external customers. Six months ended June 30, 2019 Mortgage Banking Investment Production Servicing Total Management Total (in thousands) Revenue: (1) Net gains on loans held for sale at fair value $ 191,581 $ 40,728 $ 232,309 $ — $ 232,309 Loan origination fees 60,854 — 60,854 — 60,854 Fulfillment fees from PennyMac Mortgage Investment Trust 57,164 — 57,164 — 57,164 Net loan servicing fees — 139,705 139,705 — 139,705 Net interest income (expense): Interest income 33,269 95,964 129,233 — 129,233 Interest expense 17,813 72,636 90,449 18 90,467 15,456 23,328 38,784 (18) 38,766 Management fees — — — 16,080 16,080 Other 605 2,097 2,702 3,102 5,804 Total net revenue 325,660 205,858 531,518 19,164 550,682 Expenses 180,410 197,368 377,778 13,023 390,801 Income before provision for income taxes $ 145,250 $ 8,490 $ 153,740 $ 6,141 $ 159,881 Segment assets at period end $ 3,556,575 $ 4,823,468 $ 8,380,043 $ 18,333 $ 8,398,376 (1) All revenues are from external customers.

Concentration of Risk (Details)

Concentration of Risk (Details)	3 Months Ended		6 Months Ended
Concentration of Risk (Details)	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Sales Revenue \| Customer Concentration Risk
Concentration of Risk
Percentage of total net revenue	9.00%	31.00%	15.00%	31.00%

Transactions with Affiliates -

Transactions with Affiliates - Correspondent Production (Details) - USD ($)	Jul. 01, 2020	Jun. 30, 2020	Sep. 12, 2016	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Lending activity between the entity and affiliate
Fulfillment fee revenue						$ 94,755,000	$ 57,164,000
Ginnie Mae Mortgage Backed Securities Guide Loan
Transactions with Affiliates
Threshold limit of loan commitment	$ 16,500
Maximum Multiplier factor for each pull through adjusted loan commitment	585
Multiplying factor for each pull through adjusted loan commitment in excess of threshold limit per quarter	315
Multiplying factor for number of purchased loans	355
Multiplying factor for number of purchased loans in excess of threshold limit per quarter	$ 195
Ginnie Mae Mortgage Backed Securities Guide Loan \| Minimum
Transactions with Affiliates
Pull through factor as a percentage	80.00%
Ginnie Mae Mortgage Backed Securities Guide Loan \| Maximum
Transactions with Affiliates
Pull through factor as a percentage	99.00%
Other mortgage loans
Transactions with Affiliates
Multiplying factor for number of purchased loans	$ 750
MBS Agreement
Transactions with Affiliates
The administrative fee plus accrued interest and sourcing fee percent			0.35%
Fulfillment fee as a percent of UPB of all other mortgage loans, excluding Ginnie Mae mortgage loans			0.50%
MSR Recapture Agreement
Transactions with Affiliates
Target recapture rate	15.00%
Lending activity between the entity and affiliate
Minimum percent of total UPB of loans originated from refinancing of loans which a related party previously held the MSR required to be transferred			30.00%
Related party transaction, renewal period		5 years
MSR Recapture Agreement \| First 15%
Transactions with Affiliates
Percentage of fair market value.	40.00%
Percentage of recapture rate.	15.00%
MSR Recapture Agreement \| In excess of 15% and upto 30%
Transactions with Affiliates
Percentage of fair market value.	35.00%
MSR Recapture Agreement \| In excess of 30%
Transactions with Affiliates
Percentage of fair market value.	30.00%
Percentage of recapture rate.	30.00%
MSR Recapture Agreement \| Minimum \| In excess of 15% and upto 30%
Transactions with Affiliates
Percentage of recapture rate.	15.00%
MSR Recapture Agreement \| Maximum \| In excess of 15% and upto 30%
Transactions with Affiliates
Percentage of recapture rate.	30.00%
PMT
Lending activity between the entity and affiliate
Total of gain on sale of loans and MSR recapture				$ (5,592,000)	$ 36,311,000	72,324,000	62,334,000
Sale of loans held for sale to PMT						2,248,869,000	2,218,721,000
Fulfillment fee revenue				52,815,000	29,590,000	94,755,000	57,164,000
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust						2,248,869,000	2,218,721,000
PMT \| MBS Agreement
Lending activity between the entity and affiliate
Related party transaction, renewal period		5 years
PMT \| MBS Agreement \| Minimum
Transactions with Affiliates
The administrative fee plus accrued interest and sourcing fee percent			0.02%
PMT \| MBS Agreement \| Maximum
Transactions with Affiliates
The administrative fee plus accrued interest and sourcing fee percent			0.035%
PMT \| Loan Lending
Lending activity between the entity and affiliate
Net gain on loans held for sale to PMT				70,000	37,719,000	81,294,000	64,865,000
Mortgage servicing rights and excess servicing spread recapture incurred				(5,662,000)	(1,408,000)	(8,970,000)	(2,531,000)
Total of gain on sale of loans and MSR recapture				(5,592,000)	36,311,000	72,324,000	62,334,000
Sale of loans held for sale to PMT				2,742,000	1,334,211,000	2,248,869,000	2,218,721,000
Tax service fee				4,288,000	3,102,000	8,268,000	5,345,000
Fulfillment fee revenue				52,815,000	29,590,000	94,755,000	57,164,000
Unpaid principal balance of loans fulfilled for PMT				18,899,695,000	10,741,078,000	35,052,238,000	18,876,630,000
Sourcing fees paid				3,324,000	3,155,000	7,485,000	5,149,000
Unpaid principal balance of loans purchased from PMT				11,080,565,000	10,514,390,000	24,950,845,000	17,161,728,000
Proceeds from sale of mortgage loans held for sale to PennyMac Mortgage Investment Trust				$ 2,742,000	$ 1,334,211,000	$ 2,248,869,000	$ 2,218,721,000
PLS \| Minimum
Transactions with Affiliates
Sourcing fees (as a percent)	0.01%
PLS \| Maximum
Transactions with Affiliates
Sourcing fees (as a percent)	0.02%
PLS \| Ginnie Mae Mortgage Backed Securities Guide Loan
Transactions with Affiliates
Fulfilment fee payable	$ 0

Transactions with Affiliates _2

Transactions with Affiliates - Mortgage Loan Servicing (Details)	Jun. 30, 2020	Sep. 12, 2016USD ($)item	Jun. 30, 2020USD ($)	Jun. 30, 2019USD ($)	Jun. 30, 2020USD ($)	Jun. 30, 2019USD ($)
Loan Servicing Agreement
Transactions with Affiliates
Base servicing fees per month for REO		$ 75
Rental fee per month per REO		30
Renewal fee, per lease renewal, on REO property		$ 100
Property management fees on REOs, as a percent of gross rental income		9.00%
Base servicing fees per month for fixed-rate non-distressed loans subserviced		$ 7.50
Base servicing fees per month for adjustable rate non-distressed loans subserviced		8.50
Supplemental fee per month for each distressed whole loan		25
Activity-based fee, percent, due to a streamline modification		750
Activity-based fee, percent, due to a liquidation		1,750
Activity-based fee due to a deed-in-lieu of foreclosure		$ 500
Maximum number of liquidation, reperformance, or modification fees that can be earned during earnable period \| item		1
Liquidation, reperformance, or modification fees earnable period		18 months
Minimum \| Loan Servicing Agreement
Transactions with Affiliates
Servicing fees amount per month for current loans		$ 30
Additional servicing fee amount per month for delinquent loans		10
Maximum \| Loan Servicing Agreement
Transactions with Affiliates
Servicing fees amount per month for severely delinquent loans		85
Additional servicing fee amount per month for delinquent loans		$ 55
PMT
Summary of mortgage loan servicing fees earned
Loan servicing fees			$ 15,533,000	$ 11,568,000	$ 30,054,000	$ 22,138,000
PMT \| Loan Servicing Agreement
Summary of mortgage loan servicing fees earned
Related party transaction, renewal period	5 years
PMT \| Loans acquired for sale at fair value
Summary of mortgage loan servicing fees earned
Loan servicing fees			607,000	385,000	1,143,000	624,000
PMT \| Loans at fair value
Summary of mortgage loan servicing fees earned
Loan servicing fees			188,000	617,000	488,000	1,080,000
PMT \| Mortgage servicing rights
Summary of mortgage loan servicing fees earned
Loan servicing fees			$ 14,738,000	10,566,000	$ 28,423,000	20,434,000
PMT \| Other income.
Summary of mortgage loan servicing fees earned
Property management fees				$ 102,000		$ 225,000

Transactions with Affiliates _3

Transactions with Affiliates - Management Fees (Details) - USD ($)	Sep. 12, 2016	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Management Fee Revenue Abstract
Management fees		$ 8,288,000	$ 8,832,000	$ 17,343,000	$ 16,080,000
PMT
Management Fee Revenue Abstract
Management fees		8,288,000	8,832,000	17,343,000	16,080,000
PMT \| Management Agreement
Transactions with Affiliates
Percentage of change in net income due to quarterly adjustments	8.00%
Management Fee Revenue Abstract
Base management fee		8,288,000	6,839,000	17,343,000	12,948,000
Performance incentive			1,993,000		3,132,000
Management fees		$ 8,288,000	$ 8,832,000	$ 17,343,000	$ 16,080,000
PMT \| Management Agreement \| Maximum
Transactions with Affiliates
Percentage of performance incentive fee payable by issuance of common shares	50.00%
PMT \| Management Agreement \| Minimum
Transactions with Affiliates
High watermark	$ 0
PMT \| Shareholders Equity Up To 2 Billion Dollars \| Maximum
Transactions with Affiliates
Base management fee annual rate (as a percent)	1.50%
Base management fee shareholders' equity limit	$ 2,000,000,000
PMT \| Shareholders Equity In Excess Of 2 Billion Dollars And Upto 5 Billion Dollars
Transactions with Affiliates
Base management fee annual rate (as a percent)	1.375%
PMT \| Shareholders Equity In Excess Of 2 Billion Dollars And Upto 5 Billion Dollars \| Maximum
Transactions with Affiliates
Base management fee shareholders' equity limit	$ 5,000,000,000
PMT \| Shareholders Equity In Excess Of 2 Billion Dollars And Upto 5 Billion Dollars \| Minimum
Transactions with Affiliates
Base management fee shareholders' equity limit	$ 2,000,000,000
PMT \| Shareholders Equity In Excess Of 5 Billion Dollars
Transactions with Affiliates
Base management fee annual rate (as a percent)	1.25%
PMT \| Shareholders Equity In Excess Of 5 Billion Dollars \| Maximum
Transactions with Affiliates
Base management fee shareholders' equity limit	$ 5,000,000,000
PMT \| Return on Shareholders Equity 8 Percent
Transactions with Affiliates
Percentage of net income for calculation of performance incentive fees	10.00%
PMT \| Return on Shareholders Equity 8 Percent \| Maximum
Transactions with Affiliates
Percentage of return on affiliate's equity	12.00%
PMT \| Return on Shareholders Equity 8 Percent \| Minimum
Transactions with Affiliates
Percentage of return on affiliate's equity	8.00%
PMT \| Return on Shareholders Equity 12 Percent
Transactions with Affiliates
Percentage of net income for calculation of performance incentive fees	15.00%
Percentage of return on affiliate's equity	12.00%
PMT \| Return on Shareholders Equity 12 Percent \| Maximum
Transactions with Affiliates
Percentage of return on affiliate's equity	16.00%
PMT \| Return on Shareholders Equity in Excess of 16 Percent
Transactions with Affiliates
Percentage of net income for calculation of performance incentive fees	20.00%
Percentage of return on affiliate's equity	16.00%

Transactions with Affiliates _4

Transactions with Affiliates - Other Transactions, Reimbursement of Common Overhead Expenses (Details) - USD ($)	Jul. 01, 2020	Sep. 12, 2016	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
PMT
Transactions with Affiliates
Expense reimbursement amount, per quarter, relating to personnel		$ 120,000
Reimbursement of common overhead and expenses incurred on behalf of affiliates
Reimbursement of common overhead and expenses incurred by the Company			$ 3,143,000	$ 1,885,000	$ 6,074,000	$ 3,811,000
Payments and settlements during the period			136,352,000	28,031,000	170,035,000	43,220,000
PMT \| Common overhead incurred
Reimbursement of common overhead and expenses incurred on behalf of affiliates
Reimbursement of common overhead and expenses incurred by the Company			1,585,000	1,276,000	3,125,000	2,512,000
PMT \| Compensation
Reimbursement of common overhead and expenses incurred on behalf of affiliates
Reimbursement of common overhead and expenses incurred by the Company			120,000	120,000	240,000	240,000
PMT \| Expenses incurred by related party (reporting entity), net
Reimbursement of common overhead and expenses incurred on behalf of affiliates
Reimbursement of common overhead and expenses incurred by the Company			$ 1,438,000	$ 489,000	$ 2,709,000	$ 1,059,000
PCM
Transactions with Affiliates
Expense reimbursement amount, per quarter, relating to personnel	$ 165,000	$ 120,000
Related party transaction, renewal period	5 years

Transactions with Affiliates _5

Transactions with Affiliates - Other Transactions, Conditional Reimbursement (Details) - PMT - Conditional Reimbursement - USD ($)	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Aug. 04, 2009
Conditional reimbursement
Payments received	$ 0	$ 144,000	$ 211,000	$ 219,000
Maximum
Conditional reimbursement
Conditional reimbursement					$ 2,900,000

Transactions with Affiliates _6

Transactions with Affiliates - Investing Activities (Details)	Dec. 19, 2016USD ($)item	Jun. 30, 2020USD ($)shares	Jun. 30, 2019USD ($)	Jun. 30, 2020USD ($)shares	Jun. 30, 2019USD ($)	Dec. 31, 2019USD ($)shares
PennyMac Holdings, L L C Repurchase Agreement
Transactions with Affiliates
Number of subsidiaries entered into master repurchase agreement \| item	1
Maximum principal balance of VFN	$ 1,000,000,000
PMT
Transactions with Affiliates
Common shares of beneficial interest owned \| shares		75,000		75,000
Repurchase agreement with PennyMac Mortgage Investment Trust:
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors		$ 90,101,000		$ 90,101,000		$ 107,512,000
Activity during the period:
Interest income on receivable from PennyMac Mortgage Investment Trust		792,000	$ 1,692,000	2,010,000	$ 3,488,000
Activity during the period:
Dividends received from PennyMac Mortgage Investment Trust		30,000	35,000	48,000	71,000
Change in fair value of investment in Common shares of PennyMac Mortgage Investment Trust		513,000	84,000	(362,000)	240,000
Balance at end of period		543,000	119,000	(314,000)	311,000
Loans and Leases Receivable, Related Parties		90,101,000		90,101,000		107,512,000
Fair value of PennyMac Mortgage Investment Trust shares		$ 1,310,000		$ 1,310,000		$ 1,672,000
Number of shares \| shares		75,000		75,000		75,000
PMT \| PennyMac Holdings, L L C Repurchase Agreement
Activity during the period:
Interest income on receivable from PennyMac Mortgage Investment Trust		$ 792,000	$ 1,692,000	$ 2,010,000	$ 3,488,000

Transactions with Affiliates _7

Transactions with Affiliates - Financing Activities (Details) - USD ($)	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019	Feb. 01, 2013
Financing activities:
Issuance pursuant to recapture agreement			$ 862,000	$ 950,000
Repayments			17,430,000	21,082,000
PMT
Financing activities:
Interest expense	$ 2,372,000	$ 2,767,000	4,346,000	5,833,000
Change in fair value	636,000	3,604,000	15,158,000	7,655,000
Excess servicing spread financing at fair value payable to affiliate	151,206,000		151,206,000		$ 178,586,000
PMT \| 2/1/13 Spread Acquisition Agreement
Financing activities:
Maximum ESS recapture obligation						$ 200,000
Excess servicing spread financing \| PMT
Financing activities:
Balance at the beginning of the period	157,109,000	205,081,000	178,586,000	216,110,000
Issuance pursuant to recapture agreement	483,000	442,000	862,000	950,000
Interest expense	2,372,000	2,767,000	4,346,000	5,833,000
Repayments	(8,122,000)	(10,530,000)	(17,430,000)	(21,082,000)
Change in fair value	(636,000)	(3,604,000)	(15,158,000)	(7,655,000)
Balance at the end of the period	151,206,000	194,156,000	151,206,000	194,156,000
Excess servicing spread recapture recognized	$ 535,000	$ 393,000	$ 916,000	$ 882,000

Transactions with Affiliates _8

Transactions with Affiliates - Amounts due from Affiliate (Details) - PMT - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Amounts due from affiliate
Allocated expenses	$ 11,867	$ 3,724
Fulfillment fees	11,549	18,285
Management fees	8,288	10,579
Correspondent production fees	7,746	10,606
Servicing fees	4,824	4,659
Interest on assets purchased under agreements to resell	45	85
Conditional Reimbursement	10	221
Total due from affiliate	44,329	48,159
Payable to affiliate
Amounts advanced by PMT	53,100	70,520
MSR Recapture Payable to PMT	202	149
Other expenses	3,256	2,611
Payable to affiliates	$ 56,558	$ 73,280

Transactions with Affiliates _9

Transactions with Affiliates - Exchanged Private National Mortgage Acceptance Company, LLC Unitholders (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Dec. 31, 2019
Transactions with Affiliates
Amount of tax benefits under the tax sharing agreement (as a percent)			85.00%
Payable to exchanged PNMAC unitholders under tax receivable agreement	$ 46.2		$ 46.2	$ 46.2
Private National Mortgage Acceptance Company, LLC
Transactions with Affiliates
Payment of tax liability under the tax receivable agreement to Private National Mortgage Acceptance Company, LLC unitholders	$ 0	$ 0

Loan Sales and Servicing Acti_3

Loan Sales and Servicing Activities - Summary of Cash Flows with Transferees (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019
Cash flows:
Sales proceeds	$ 21,188,988	$ 12,650,318	$ 40,526,005	$ 21,186,748
Servicing fees received	158,871	140,416	325,427	277,564
Net servicing advances	12,311	$ (8,012)	(2,898)	$ (32,188)
Period end information:
Unpaid principal balance of loans outstanding	182,319,317		182,319,317		$ 168,842,011
30-89 days	12,396,411		12,396,411		7,947,560
90 days or more - Not in foreclosure	16,046,569		16,046,569		3,237,563
90 days or more - In foreclosure	718,689		718,689		888,136
90 days or more - Foreclosed	14,920		14,920		15,387
Bankruptcy	$ 1,384,075		$ 1,384,075		$ 1,343,816

Loan Sales and Servicing Acti_4

Loan Sales and Servicing Activities - Summary of Mortgage Servicing Portfolio (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Mortgage servicing portfolio
Loans held for sale	$ 4,672,171	$ 4,724,006
Total loans serviced	388,305,875	368,684,232
Delinquent loans:
30 days	9,415,625	8,844,792
60 days	11,024,495	2,663,060
90 days or more - Not in foreclosure	25,858,170	4,345,074
90 days or more - In foreclosure	1,002,345	1,182,137
90 days or more - Foreclosed	75,422	107,736
Total delinquent mortgage loans	47,376,057	17,142,799
Bankruptcy	2,109,858	2,035,185
Delinquent loans in COVID-19 related forbearance
30 days	5,503,616
60 days	9,256,145
90 days or more not in foreclosure	20,635,811
Total delinquent loans in COVID-19 related forbearance	35,395,572
Custodial funds managed by the Company	13,448,143	8,942,275
Servicing rights owned
Mortgage servicing portfolio
Loans held for sale	4,672,171	4,724,006
Total loans serviced	240,610,420	233,269,564
Delinquent loans:
30 days	7,589,181	7,987,132
60 days	8,073,130	2,490,797
90 days or more - Not in foreclosure	20,428,946	4,070,482
90 days or more - In foreclosure	954,312	1,113,806
90 days or more - Foreclosed	18,596	18,315
Total delinquent mortgage loans	37,064,165	15,680,532
Bankruptcy	1,953,297	1,898,367
Delinquent loans in COVID-19 related forbearance
30 days	4,289,993
60 days	6,721,454
90 days or more not in foreclosure	16,108,414
Total delinquent loans in COVID-19 related forbearance	27,119,861
Custodial funds managed by the Company	8,108,221	6,412,291
Contract servicing and subservicing
Mortgage servicing portfolio
Total loans serviced	147,695,455	135,414,668
Delinquent loans:
30 days	1,826,444	857,660
60 days	2,951,365	172,263
90 days or more - Not in foreclosure	5,429,224	274,592
90 days or more - In foreclosure	48,033	68,331
90 days or more - Foreclosed	56,826	89,421
Total delinquent mortgage loans	10,311,892	1,462,267
Bankruptcy	156,561	136,818
Delinquent loans in COVID-19 related forbearance
30 days	1,213,623
60 days	2,534,691
90 days or more not in foreclosure	4,527,397
Total delinquent loans in COVID-19 related forbearance	8,275,711
Custodial funds managed by the Company	5,339,922	2,529,984
Non affiliated entities
Mortgage servicing portfolio
Originated	182,319,317	168,842,011
Purchased	53,618,932	59,703,547
Total loans serviced, excluding loans held for sale	235,938,249	228,545,558
Non affiliated entities \| Servicing rights owned
Mortgage servicing portfolio
Originated	182,319,317	168,842,011
Purchased	53,618,932	59,703,547
Total loans serviced, excluding loans held for sale	235,938,249	228,545,558
Affiliated entities
Mortgage servicing portfolio
Advised entities	147,695,455	135,414,668
Affiliated entities \| Contract servicing and subservicing
Mortgage servicing portfolio
Advised entities	$ 147,695,455	$ 135,414,668

Loan Sales and Servicing Acti_5

Loan Sales and Servicing Activities - Geographical Distribution of Loans (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Loan Sales and Servicing Activities
Total loans serviced	$ 388,305,875	$ 368,684,232
California
Loan Sales and Servicing Activities
Total loans serviced	57,483,007	57,311,867
Florida
Loan Sales and Servicing Activities
Total loans serviced	31,896,387	28,940,696
Texas
Loan Sales and Servicing Activities
Total loans serviced	30,394,027	27,909,821
Virginia
Loan Sales and Servicing Activities
Total loans serviced	23,467,173	22,115,619
Maryland
Loan Sales and Servicing Activities
Total loans serviced	17,783,314	16,829,320
All other states
Loan Sales and Servicing Activities
Total loans serviced	$ 227,281,967	$ 215,576,909

Fair Value - Financial Statemen

Fair Value - Financial Statement Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Assets:
Short-term investments at fair value	$ 7,746	$ 74,611
Loans held for sale	4,918,253	4,912,953
Derivative assets:
Derivative asset, before netting	493,621	187,397
Netting	(93,319)	(27,711)
Total derivative assets	400,302	159,686
Derivative liabilities:
Derivative liability, before netting	114,948	38,946
Netting	(93,794)	(16,616)
Net amounts of liabilities presented in the consolidated balance sheet	21,154	22,330
Mortgage servicing liabilities	29,858	29,140
PMT
Derivative assets:
Investment in PennyMac Mortgage Investment Trust	1,310	1,672
Interest rate lock commitments
Derivative assets:
Total derivative assets	369,455	138,511
Forward contracts \| Purchases
Derivative assets:
Derivative asset, before netting	93,136	12,364
Derivative liabilities:
Derivative liability, before netting	4,184	19,040
Forward contracts \| Sales
Derivative assets:
Derivative asset, before netting	5,271	17,097
Derivative liabilities:
Derivative liability, before netting	109,371	18,045
MBS put options
Derivative assets:
Derivative asset, before netting	8,543	3,415
Derivative liabilities:
Derivative liability, before netting	2
Call options on interest rate futures \| Purchases
Derivative assets:
Derivative asset, before netting	3,438	1,469
Put options on interest rate futures \| Purchases
Derivative assets:
Derivative asset, before netting	273	3,945
Level 3
Assets:
Loans held for sale	661,719	383,878
Level 3 \| Interest rate lock commitments
Assets:
Loans held for sale	368,064	136,650
Recurring basis
Assets:
Short-term investments at fair value	7,746	74,611
Loans held for sale	4,918,253	4,912,953
Derivative assets:
Derivative asset, before netting	493,621	187,397
Netting	(93,319)	(27,711)
Total derivative assets	400,302	159,686
Mortgage servicing rights at fair value	2,213,539	2,926,790
Total assets	7,541,150	8,075,712
Derivative liabilities:
Derivative liability, before netting	114,948	38,946
Netting	(93,794)	(16,616)
Net amounts of liabilities presented in the consolidated balance sheet	21,154	22,330
Mortgage servicing liabilities	29,858	29,140
Total liabilities	202,218	230,056
Recurring basis \| PMT
Derivative assets:
Investment in PennyMac Mortgage Investment Trust	1,310	1,672
Derivative liabilities:
Excess servicing spread financing at fair value to affiliate	151,206	178,586
Recurring basis \| MBS put options
Derivative liabilities:
Derivative liability, before netting	2
Recurring basis \| Interest rate lock commitments
Derivative assets:
Derivative asset, before netting	369,455	138,511
Derivative liabilities:
Derivative liability, before netting	1,391	1,861
Recurring basis \| Repurchase agreement derivatives
Derivative assets:
Derivative asset, before netting	8,187	8,187
Recurring basis \| Forward contracts \| Purchases
Derivative assets:
Derivative asset, before netting	93,136	12,364
Derivative liabilities:
Derivative liability, before netting	4,184	19,040
Recurring basis \| Forward contracts \| Sales
Derivative assets:
Derivative asset, before netting	5,271	17,097
Derivative liabilities:
Derivative liability, before netting	109,371	18,045
Recurring basis \| MBS put options
Derivative assets:
Derivative asset, before netting	8,543	3,415
Recurring basis \| Swaptions
Derivative assets:
Derivative asset, before netting	5,318	2,409
Recurring basis \| Call options on interest rate futures \| Purchases
Derivative assets:
Derivative asset, before netting	3,438	1,469
Recurring basis \| Put options on interest rate futures \| Purchases
Derivative assets:
Derivative asset, before netting	273	3,945
Recurring basis \| Level 1
Assets:
Short-term investments at fair value	7,746	74,611
Derivative assets:
Derivative asset, before netting	3,711	5,414
Total derivative assets	3,711	5,414
Total assets	12,767	81,697
Recurring basis \| Level 1 \| PMT
Derivative assets:
Investment in PennyMac Mortgage Investment Trust	1,310	1,672
Recurring basis \| Level 1 \| Call options on interest rate futures \| Purchases
Derivative assets:
Derivative asset, before netting	3,438	1,469
Recurring basis \| Level 1 \| Put options on interest rate futures \| Purchases
Derivative assets:
Derivative asset, before netting	273	3,945
Recurring basis \| Level 2
Assets:
Loans held for sale	4,256,534	4,529,075
Derivative assets:
Derivative asset, before netting	112,268	35,285
Total derivative assets	112,268	35,285
Total assets	4,368,802	4,564,360
Derivative liabilities:
Derivative liability, before netting	113,557	37,085
Net amounts of liabilities presented in the consolidated balance sheet	113,557	37,085
Total liabilities	113,557	37,085
Recurring basis \| Level 2 \| MBS put options
Derivative liabilities:
Derivative liability, before netting	2
Recurring basis \| Level 2 \| Forward contracts \| Purchases
Derivative assets:
Derivative asset, before netting	93,136	12,364
Derivative liabilities:
Derivative liability, before netting	4,184	19,040
Recurring basis \| Level 2 \| Forward contracts \| Sales
Derivative assets:
Derivative asset, before netting	5,271	17,097
Derivative liabilities:
Derivative liability, before netting	109,371	18,045
Recurring basis \| Level 2 \| MBS put options
Derivative assets:
Derivative asset, before netting	8,543	3,415
Recurring basis \| Level 2 \| Swaptions
Derivative assets:
Derivative asset, before netting	5,318	2,409
Recurring basis \| Level 3
Assets:
Loans held for sale	661,719	383,878
Derivative assets:
Derivative asset, before netting	377,642	146,698
Total derivative assets	377,642	146,698
Mortgage servicing rights at fair value	2,213,539	2,926,790
Total assets	3,252,900	3,457,366
Derivative liabilities:
Derivative liability, before netting	1,391	1,861
Net amounts of liabilities presented in the consolidated balance sheet	1,391	1,861
Mortgage servicing liabilities	29,858	29,140
Total liabilities	182,455	209,587
Recurring basis \| Level 3 \| PMT
Derivative liabilities:
Excess servicing spread financing at fair value to affiliate	151,206	178,586
Recurring basis \| Level 3 \| Interest rate lock commitments
Derivative assets:
Derivative asset, before netting	369,455	138,511
Derivative liabilities:
Derivative liability, before netting	1,391	1,861
Recurring basis \| Level 3 \| Repurchase agreement derivatives
Derivative assets:
Derivative asset, before netting	$ 8,187	$ 8,187

Fair Value - Level 3 Input Roll

Fair Value - Level 3 Input Roll Forward, Recurring Basis (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Roll forward of liabilities measured using Level 3 inputs on a recurring basis
Mortgage servicing liabilities resulting from loan sales			$ 6,576	$ 7,632
Recurring basis
Roll forward of assets measured using Level 3 inputs on a recurring basis
Balance at the beginning of the period	$ 3,323,665	$ 3,451,320	3,455,505	3,156,728
Purchases and issuances, net	785,005	1,014,315	2,793,976	2,093,187
Capitalization of interest and advances	14,994		33,021
Sales and repayments	(60,364)	(667,169)	(799,292)	(854,907)
Mortgage servicing rights resulting from loan sales	225,534	183,331	507,849	299,082
Changes in fair value included in income arising from:
Changes in instrument specific credit risk	1,132	(186)	(6,391)	(6,277)
Other factors	91,506	(272,083)	(749,744)	(471,707)
Total changes in fair value included in income	92,638	(272,269)	(756,135)	(477,984)
Transfers from mortgage loans held for sale from Level 3 to Level 2	(389,486)	(471,599)	(878,893)	(876,762)
Transfers to real estate acquired in settlement of loans		(863)	(691)	(2,044)
Transfers from interest rate lock commitments to loans held for sale	(740,477)	(170,942)	(1,103,831)	(271,176)
Balance at the end of the period	3,251,509	3,066,124	3,251,509	3,066,124
Changes in fair value recognized during the period relating to assets still held at the end of the period	161,655	(259,604)	(879,359)	(519,118)
Roll forward of liabilities measured using Level 3 inputs on a recurring basis
Balance at the beginning of the period	186,870	212,925	207,726	224,791
Issuances	483	442	862	950
Accrual of interest on excess servicing spread financing	2,372	2,767	4,346	5,833
Repayment	(8,122)	(10,530)	(17,430)	(21,082)
Mortgage servicing liabilities resulting from loan sales		6,838	6,576	7,632
Changes in fair value included in income	(539)	(5,338)	(21,016)	(11,020)
Balance at the end of the period	181,064	207,104	181,064	207,104
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period	(539)	(5,338)	(21,016)	(11,020)
Recurring basis \| Excess servicing spread financing
Roll forward of liabilities measured using Level 3 inputs on a recurring basis
Balance at the beginning of the period	157,109	205,081	178,586	216,110
Issuances	483	442	862	950
Accrual of interest on excess servicing spread financing	2,372	2,767	4,346	5,833
Repayment	(8,122)	(10,530)	(17,430)	(21,082)
Changes in fair value included in income	(636)	(3,604)	(15,158)	(7,655)
Balance at the end of the period	151,206	194,156	151,206	194,156
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period	(636)	(3,604)	(15,158)	(7,655)
Recurring basis \| Mortgage servicing liabilities
Roll forward of liabilities measured using Level 3 inputs on a recurring basis
Balance at the beginning of the period	29,761	7,844	29,140	8,681
Mortgage servicing liabilities resulting from loan sales		6,838	6,576	7,632
Changes in fair value included in income	97	(1,734)	(5,858)	(3,365)
Balance at the end of the period	29,858	12,948	29,858	12,948
Changes in fair value recognized during the period relating to liability still outstanding at the end of the period	97	(1,734)	(5,858)	(3,365)
Recurring basis \| Loans held for sale
Roll forward of assets measured using Level 3 inputs on a recurring basis
Balance at the beginning of the period	806,587	455,533	383,878	260,008
Purchases and issuances, net	288,856	891,146	1,930,087	1,675,408
Capitalization of interest and advances	14,994		33,021
Sales and repayments	(60,364)	(656,033)	(799,292)	(832,335)
Changes in fair value included in income arising from:
Changes in instrument specific credit risk	1,132	(186)	(6,391)	(6,277)
Total changes in fair value included in income	1,132	(186)	(6,391)	(6,277)
Transfers from mortgage loans held for sale from Level 3 to Level 2	(389,486)	(471,599)	(878,893)	(876,762)
Transfers to real estate acquired in settlement of loans		(863)	(691)	(2,044)
Balance at the end of the period	661,719	217,998	661,719	217,998
Changes in fair value recognized during the period relating to assets still held at the end of the period	(717)	(3,911)	(563)	(4,380)
Recurring basis \| Interest rate lock commitments
Roll forward of assets measured using Level 3 inputs on a recurring basis
Balance at the beginning of the period	315,194	66,065	136,650	49,338
Purchases and issuances, net	496,149	119,880	838,129	176,863
Changes in fair value included in income arising from:
Other factors	297,198	96,773	497,116	156,751
Total changes in fair value included in income	297,198	96,773	497,116	156,751
Transfers from interest rate lock commitments to loans held for sale	(740,477)	(170,942)	(1,103,831)	(271,176)
Balance at the end of the period	368,064	111,776	368,064	111,776
Changes in fair value recognized during the period relating to assets still held at the end of the period	368,064	111,776	368,064	111,776
Recurring basis \| Repurchase agreement derivatives
Roll forward of assets measured using Level 3 inputs on a recurring basis
Balance at the beginning of the period	8,187	24,632	8,187	26,770
Purchases and issuances, net		3,662		13,517
Sales and repayments		(11,136)		(22,572)
Changes in fair value included in income arising from:
Other factors		(1,143)		(1,700)
Total changes in fair value included in income		(1,143)		(1,700)
Balance at the end of the period	8,187	16,015	8,187	16,015
Changes in fair value recognized during the period relating to assets still held at the end of the period		244		244
Recurring basis \| Mortgage servicing rights
Roll forward of assets measured using Level 3 inputs on a recurring basis
Balance at the beginning of the period	2,193,697	2,905,090	2,926,790	2,820,612
Purchases and issuances, net		(373)	25,760	227,399
Mortgage servicing rights resulting from loan sales	225,534	183,331	507,849	299,082
Changes in fair value included in income arising from:
Other factors	(205,692)	(367,713)	(1,246,860)	(626,758)
Total changes in fair value included in income	(205,692)	(367,713)	(1,246,860)	(626,758)
Balance at the end of the period	2,213,539	2,720,335	2,213,539	2,720,335
Changes in fair value recognized during the period relating to assets still held at the end of the period	$ (205,692)	$ (367,713)	$ (1,246,860)	$ (626,758)

Fair Value - Changes in Fair Va

Fair Value - Changes in Fair Value, Fair Value Option, Recurring Basis (Details) - Recurring basis - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Liabilities.
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value
Total gains (losses) from changes in estimated fair values included in earnings	$ 539	$ 5,338	$ 21,016	$ 11,020
Liabilities. \| Net loan servicing fees
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value
Total gains (losses) from changes in estimated fair values included in earnings	539	5,338	21,016	11,020
Excess servicing spread financing
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value
Total gains (losses) from changes in estimated fair values included in earnings	636	3,604	15,158	7,655
Excess servicing spread financing \| Net loan servicing fees
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value
Total gains (losses) from changes in estimated fair values included in earnings	636	3,604	15,158	7,655
Mortgage servicing liabilities
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value
Total gains (losses) from changes in estimated fair values included in earnings	(97)	1,734	5,858	3,365
Mortgage servicing liabilities \| Net loan servicing fees
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value
Total gains (losses) from changes in estimated fair values included in earnings	(97)	1,734	5,858	3,365
Assets
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value
Total gains (losses) from changes in estimated fair values included in earnings	534,105	(194,961)	(108,345)	(352,011)
Assets \| Net gains on loans held for sale at fair value
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value
Total gains (losses) from changes in estimated fair values included in earnings	739,797	172,752	1,138,515	274,747
Assets \| Net loan servicing fees
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value
Total gains (losses) from changes in estimated fair values included in earnings	(205,692)	(367,713)	(1,246,860)	(626,758)
Loans held for sale
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value
Total gains (losses) from changes in estimated fair values included in earnings	739,797	172,752	1,138,515	274,747
Loans held for sale \| Net gains on loans held for sale at fair value
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value
Total gains (losses) from changes in estimated fair values included in earnings	739,797	172,752	1,138,515	274,747
Mortgage servicing rights at fair value
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value
Total gains (losses) from changes in estimated fair values included in earnings	(205,692)	(367,713)	(1,246,860)	(626,758)
Mortgage servicing rights at fair value \| Net loan servicing fees
Net gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value
Total gains (losses) from changes in estimated fair values included in earnings	$ (205,692)	$ (367,713)	$ (1,246,860)	$ (626,758)

Fair Value - Fair Value Option

Fair Value - Fair Value Option Maturities, Recurring Basis (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Fair value
Total fair value	$ 4,918,253	$ 4,912,953
Recurring basis
Fair value
Total fair value	4,918,253	4,912,953
Loans held for sale \| Recurring basis
Fair value
Current through 89 days delinquent	4,376,517	4,628,333
Not in foreclosure	467,334	236,650
In foreclosure	74,402	47,970
Total fair value	4,918,253	4,912,953
Principal amount due upon maturity
Current through 89 days delinquent	4,114,182	4,431,854
Not in foreclosure	480,268	241,958
In foreclosure	77,721	50,194
Total principal amount due upon maturity	4,672,171	4,724,006
Difference
Current through 89 days delinquent	262,335	196,479
Not in foreclosure	(12,934)	(5,308)
In foreclosure	(3,319)	(2,224)
Total difference	$ 246,082	$ 188,947

Fair Value - Measurement Basis,

Fair Value - Measurement Basis, Nonrecurring (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis
Notes Payable	$ 1,294,949		$ 1,294,949		$ 1,294,070
Nonrecurring basis
Financial statement items measured at fair value on a nonrecurring basis
Real estate acquired in settlement of loans	8,838		8,838		9,850
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis
Real estate acquired in settlement of loans	(1,001)	$ 105	(2,283)	$ 111
Nonrecurring basis \| Level 3
Financial statement items measured at fair value on a nonrecurring basis
Real estate acquired in settlement of loans	8,838		8,838		9,850
Fair Values
Total gains (losses) on assets measured at estimated fair values on a nonrecurring basis
Notes Payable	$ 1,255,719		$ 1,255,719		$ 1,303,047

Fair Value - Level 3 Unobservab

Fair Value - Level 3 Unobservable Inputs, Mortgage Loans and IRLC (Details) $ in Thousands	Jun. 30, 2020USD ($)item	Dec. 31, 2019USD ($)item
Excess servicing spread financing
Loans held for sale \| $	$ 4,918,253	$ 4,912,953
Level 3
Excess servicing spread financing
Loans held for sale \| $	$ 661,719	$ 383,878
Loans held for sale \| Discount rate \| Level 3 \| Minimum
Excess servicing spread financing
Input	2.9	3
Loans held for sale \| Discount rate \| Level 3 \| Maximum
Excess servicing spread financing
Input	9.2	9.2
Loans held for sale \| Discount rate \| Level 3 \| Weighted average
Excess servicing spread financing
Input	3	3
Loans held for sale \| Twelve-month projected housing price index Change \| Level 3 \| Minimum
Excess servicing spread financing
Input	0.8	2.6
Loans held for sale \| Twelve-month projected housing price index Change \| Level 3 \| Maximum
Excess servicing spread financing
Input	1.3	3.2
Loans held for sale \| Twelve-month projected housing price index Change \| Level 3 \| Weighted average
Excess servicing spread financing
Input	0.9	2.8
Loans held for sale \| Prepayment/resale speed \| Level 3 \| Minimum
Excess servicing spread financing
Input	0.4	0.4
Loans held for sale \| Prepayment/resale speed \| Level 3 \| Maximum
Excess servicing spread financing
Input	20.2	21.4
Loans held for sale \| Prepayment/resale speed \| Level 3 \| Weighted average
Excess servicing spread financing
Input	17.5	18.2
Loans held for sale \| Total prepayment speed \| Level 3 \| Minimum
Excess servicing spread financing
Input	0.6	0.5
Loans held for sale \| Total prepayment speed \| Level 3 \| Maximum
Excess servicing spread financing
Input	37.7	39.2
Loans held for sale \| Total prepayment speed \| Level 3 \| Weighted average
Excess servicing spread financing
Input	35	36.2
Interest rate lock commitments \| Level 3
Excess servicing spread financing
Loans held for sale \| $	$ 368,064	$ 136,650
Interest rate lock commitments \| Pull-through rate \| Level 3 \| Minimum
Excess servicing spread financing
Input	11.8	12.2
Interest rate lock commitments \| Pull-through rate \| Level 3 \| Maximum
Excess servicing spread financing
Input	100	100
Interest rate lock commitments \| Pull-through rate \| Level 3 \| Weighted average
Excess servicing spread financing
Input	79.8	86.5
Interest rate lock commitments \| Mortgage servicing rights value expressed as servicing fee multiple \| Level 3 \| Minimum
Excess servicing spread financing
Input	0.8	1.4
Interest rate lock commitments \| Mortgage servicing rights value expressed as servicing fee multiple \| Level 3 \| Maximum
Excess servicing spread financing
Input	5.5	5.7
Interest rate lock commitments \| Mortgage servicing rights value expressed as servicing fee multiple \| Level 3 \| Weighted average
Excess servicing spread financing
Input	2.9	4.2
Interest rate lock commitments \| Percentage of unpaid principal balance \| Level 3 \| Minimum
Excess servicing spread financing
Input	0.2	0.3
Interest rate lock commitments \| Percentage of unpaid principal balance \| Level 3 \| Maximum
Excess servicing spread financing
Input	2.5	2.8
Interest rate lock commitments \| Percentage of unpaid principal balance \| Level 3 \| Weighted average
Excess servicing spread financing
Input	0.9	1.6
Repurchase agreement derivatives
Excess servicing spread financing
Acceptance rate (as a percent)	99.00%	99.00%

Fair Value - Level 3 Unobserv_2

Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights - Initial Recognition (Details)	3 Months Ended		6 Months Ended		12 Months Ended
	Jun. 30, 2020USD ($)item	Jun. 30, 2019USD ($)item	Jun. 30, 2020USD ($)item	Jun. 30, 2019USD ($)item	Dec. 31, 2019USD ($)item
Mortgage servicing rights
Inputs
Amount recognized \| $	$ 225,534,000	$ 183,331,000	$ 507,849,000	$ 299,082,000
Fair Values \| Pricing spread \| Level 3 \| Minimum
Inputs:
Input				5.8
Fair Values \| Annual total prepayment speed \| Level 3 \| Minimum
Inputs:
Input				7.7
Fair Values \| Mortgage servicing rights \| Level 3 \| Minimum
Inputs:
Annual per-loan cost of servicing \| $			79		$ 77
Fair Values \| Mortgage servicing rights \| Level 3 \| Maximum
Inputs:
Annual per-loan cost of servicing \| $			111		100
Fair Values \| Mortgage servicing rights \| Level 3 \| Weighted average
Inputs:
Annual per-loan cost of servicing \| $			$ 106		$ 97
Fair Values \| Mortgage servicing rights \| Pricing spread \| Level 3 \| Minimum
Inputs:
Input	8		8		6.8
Fair Values \| Mortgage servicing rights \| Pricing spread \| Level 3 \| Maximum
Inputs:
Input					15.8
Fair Values \| Mortgage servicing rights \| Pricing spread \| Level 3 \| Weighted average
Inputs:
Input	10.2		10.2		8.5
Fair Values \| Mortgage servicing rights \| Annual total prepayment speed \| Level 3 \| Minimum
Inputs:
Input	10.5		10.5		9.3
Fair Values \| Mortgage servicing rights \| Annual total prepayment speed \| Level 3 \| Maximum
Inputs:
Input	33.4		33.4		40.9
Fair Values \| Mortgage servicing rights \| Annual total prepayment speed \| Level 3 \| Weighted average
Inputs:
Input				14.4
Input	16.9		16.9		12.7
Fair Values \| Mortgage servicing rights \| Life \| Level 3 \| Minimum
Inputs:
Input	1.3		1.3		1.4
Fair Values \| Mortgage servicing rights \| Life \| Level 3 \| Maximum
Inputs:
Input	6.8		6.8		7.4
Fair Values \| Mortgage servicing rights \| Life \| Level 3 \| Weighted average
Inputs:
Input	5		5		6.1
Fair Values \| MSRs at the time of initial recognition, excluding MSR purchases \| Level 3
Inputs
Amount recognized \| $	$ 225,534,000	183,331,000	$ 507,849,000	$ 299,082,000
Unpaid principal balance of underlying loans \| $	$ 20,066,302,000	$ 11,677,325,000	$ 38,396,686,000	$ 19,823,176,000
Weighted-average servicing fee rate (as a percent)	0.36%	0.42%	0.38%	0.41%
Fair Values \| MSRs at the time of initial recognition, excluding MSR purchases \| Level 3 \| Minimum
Inputs:
Annual per-loan cost of servicing \| $	$ 79	$ 78	$ 77	$ 78
Fair Values \| MSRs at the time of initial recognition, excluding MSR purchases \| Level 3 \| Maximum
Inputs:
Annual per-loan cost of servicing \| $	110	100	110	100
Fair Values \| MSRs at the time of initial recognition, excluding MSR purchases \| Level 3 \| Weighted average
Inputs:
Annual per-loan cost of servicing \| $	$ 101	$ 97	$ 99	$ 96
Fair Values \| MSRs at the time of initial recognition, excluding MSR purchases \| Pricing spread \| Level 3 \| Minimum
Inputs:
Input	8.1	5.9	6.8
Fair Values \| MSRs at the time of initial recognition, excluding MSR purchases \| Pricing spread \| Level 3 \| Maximum
Inputs:
Input	18.1	15.8	18.1	15.8
Fair Values \| MSRs at the time of initial recognition, excluding MSR purchases \| Pricing spread \| Level 3 \| Weighted average
Inputs:
Input	9.9	8.7	9.1	8.8
Fair Values \| MSRs at the time of initial recognition, excluding MSR purchases \| Annual total prepayment speed \| Level 3 \| Minimum
Inputs:
Input	8.8	8.7	8.8
Fair Values \| MSRs at the time of initial recognition, excluding MSR purchases \| Annual total prepayment speed \| Level 3 \| Maximum
Inputs:
Input	29.1	32.8	49.8	32.8
Fair Values \| MSRs at the time of initial recognition, excluding MSR purchases \| Annual total prepayment speed \| Level 3 \| Weighted average
Inputs:
Input	13	13.8	13.7
Fair Values \| MSRs at the time of initial recognition, excluding MSR purchases \| Life \| Level 3 \| Minimum
Inputs:
Input	2.9	2.6	1.5	2.6
Fair Values \| MSRs at the time of initial recognition, excluding MSR purchases \| Life \| Level 3 \| Maximum
Inputs:
Input	8.1	7.8	8.1	7.8
Fair Values \| MSRs at the time of initial recognition, excluding MSR purchases \| Life \| Level 3 \| Weighted average
Inputs:
Input	6.3	6.1	6.1	6

Fair Value - Level 3 Unobserv_3

Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Rights, Effect of Change In Inputs on Fair Value (Details)	6 Months Ended	12 Months Ended
	Jun. 30, 2020USD ($)item	Dec. 31, 2019USD ($)item
MSR and pool characteristics
Carrying value	$ 2,213,539,000	$ 2,926,790,000
Mortgage servicing liabilities \| Level 3
Prepayment speed
Annual per-loan cost of servicing	$ 317	300
Fair Values \| Mortgage servicing liabilities \| Pricing spread \| Level 3 \| Maximum
Inputs
Input \| item	17.6
Fair Values \| Mortgage servicing rights \| Level 3
MSR and pool characteristics
Carrying value	$ 2,213,539,000	2,926,790,000
Unpaid principal balance of underlying loans	$ 233,807,729,000	$ 225,787,103,000
Weighted-average note interest rate (as a percent)	3.9	3.9
Weighted-average servicing fee rate (as a percent)	0.35%	0.35%
Pricing spread
Effect on fair value of 5% adverse change	$ (39,039,000)	$ (44,561,000)
Effect on fair value of 10% adverse change	(76,624,000)	(87,734,000)
Effect on fair value of 20% adverse change	(147,730,000)	(170,155,000)
Prepayment speed
Effect on fair value of 5% adverse change	(69,081,000)	(63,569,000)
Effect on fair value of 10% adverse change	(134,729,000)	(124,411,000)
Effect on fair value of 20% adverse change	(256,580,000)	(238,549,000)
Annual per-loan cost of servicing
Effect on fair value of 5% adverse change	(24,484,000)	(24,516,000)
Effect on fair value of 10% adverse change	(48,967,000)	(49,032,000)
Effect on fair value of 20% adverse change	(97,934,000)	(98,065,000)
Fair Values \| Mortgage servicing rights \| Level 3 \| Minimum
Prepayment speed
Annual per-loan cost of servicing	79	77
Fair Values \| Mortgage servicing rights \| Level 3 \| Maximum
Prepayment speed
Annual per-loan cost of servicing	111	100
Fair Values \| Mortgage servicing rights \| Level 3 \| Weighted average
Prepayment speed
Annual per-loan cost of servicing	$ 106	$ 97
Fair Values \| Mortgage servicing rights \| Pricing spread \| Level 3 \| Minimum
Inputs
Input \| item	8	6.8
Fair Values \| Mortgage servicing rights \| Pricing spread \| Level 3 \| Maximum
Inputs
Input \| item		15.8
Fair Values \| Mortgage servicing rights \| Pricing spread \| Level 3 \| Weighted average
Inputs
Input \| item	10.2	8.5
Fair Values \| Mortgage servicing rights \| Annual total prepayment speed \| Level 3 \| Minimum
Inputs
Input \| item	10.5	9.3
Fair Values \| Mortgage servicing rights \| Annual total prepayment speed \| Level 3 \| Maximum
Inputs
Input \| item	33.4	40.9
Fair Values \| Mortgage servicing rights \| Annual total prepayment speed \| Level 3 \| Weighted average
Inputs
Input \| item	16.9	12.7
Fair Values \| Mortgage servicing rights \| Life \| Level 3 \| Minimum
Inputs
Input \| item	1.3	1.4
Fair Values \| Mortgage servicing rights \| Life \| Level 3 \| Maximum
Inputs
Input \| item	6.8	7.4
Fair Values \| Mortgage servicing rights \| Life \| Level 3 \| Weighted average
Inputs
Input \| item	5	6.1

Fair Value - Level 3 Unobserv_4

Fair Value - Level 3 Unobservable Inputs, ESS (Details) - Excess servicing spread financing - Level 3 $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2020USD ($)item	Dec. 31, 2019USD ($)item
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption
Carrying value \| $	$ 151,206	$ 178,586
Unpaid principal balance of underlying mortgage loans \| $	$ 18,197,844	$ 19,904,571
Average servicing fee rate (as a percent)	0.34	0.34
Average excess servicing spread (as a percent)	0.19	0.19
Pricing spread \| Minimum
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption
Input	4.9	3
Pricing spread \| Maximum
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption
Input	5.3	3.3
Pricing spread \| Weighted average
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption
Input	5.1	3.1
Annual total prepayment speed \| Minimum
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption
Input	9.5	8.7
Annual total prepayment speed \| Maximum
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption
Input	17.9	16.2
Annual total prepayment speed \| Weighted average
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption
Input	12.1	11
Life \| Minimum
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption
Input	2.4	2.7
Life \| Maximum
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption
Input	6.7	7.2
Life \| Weighted average
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption
Input	5.7	6.1

Fair Value - Level 3 Unobserv_5

Fair Value - Level 3 Unobservable Inputs, Mortgage Servicing Liabilities (Details)	6 Months Ended	12 Months Ended
	Jun. 30, 2020USD ($)item	Dec. 31, 2019USD ($)item
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption
Carrying value	$ 29,858,000	$ 29,140,000
Mortgage servicing liabilities \| Level 3
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption
Carrying value	29,858,000	29,140,000
Unpaid principal balance of underlying loans	$ 2,130,520,000	$ 2,758,454,000
Servicing fee rate (as a percent)	0.25%	0.25%
Annual per-loan cost of servicing	$ 317	$ 300
Mortgage servicing liabilities \| Pricing spread \| Level 3
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption
Input \| item	7.9	8.2
Mortgage servicing liabilities \| Annual total prepayment speed \| Level 3
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption
Input \| item	32.7	29.2
Mortgage servicing liabilities \| Life \| Level 3
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption
Input \| item	3.1	3.9

Loans Held for Sale at Fair V_3

Loans Held for Sale at Fair Value (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Mortgage Loans Held for Sale at Fair Value
Loans held for sale	$ 4,918,253	$ 4,912,953
Fair value of loans pledged to secure assets sold under agreements to repurchase	4,315,116	4,322,789
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreement	558,546	523,349
Pledged Assets Separately Reported, Loans Pledged as Collateral, at Fair Value, Total	4,873,662	4,846,138
Government-insured or guaranteed
Mortgage Loans Held for Sale at Fair Value
Loans held for sale	3,357,624	4,222,010
Conventional mortgage loans
Mortgage Loans Held for Sale at Fair Value
Loans held for sale	898,910	307,065
Purchased from Ginnie Mae pools serviced by the Company
Mortgage Loans Held for Sale at Fair Value
Loans held for sale	642,722	374,121
Repurchased pursuant to representations and warranties
Mortgage Loans Held for Sale at Fair Value
Loans held for sale	18,972	9,244
Home equity lines of credit
Mortgage Loans Held for Sale at Fair Value
Loans held for sale	$ 25	$ 513

Derivative Financial Instrume_3

Derivative Financial Instruments - Other Information (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Dec. 31, 2019
Derivative assets:
Margin deposits placed with counterparties					$ (4,375)	$ (5,000)
Derivative asset, before netting					493,621	187,397
Netting					(93,319)	(27,711)
Total derivative assets					400,302	159,686
Derivative liabilities:
Derivative liability, before netting					114,948	38,946
Netting					(93,794)	(16,616)
Net amounts of liabilities presented in the consolidated balance sheet					21,154	22,330
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Gains (losses) recognized on derivative financial instruments	$ (15,764)	$ 203,180	$ 1,020,806	$ 337,737
Interest Expense. \| Repurchase agreement derivative
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Gains (losses) recognized on derivative financial instruments		(1,143)		(1,700)
Net gains on loans held for sale at fair value \| Interest rate lock commitments and loans held for sale
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Gains (losses) recognized on derivative financial instruments	(101,115)	(67,154)	(326,672)	(101,822)
Net loan servicing fees \| Mortgage servicing rights
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Gains (losses) recognized on derivative financial instruments	(15,764)	203,180	1,020,806	337,737
Margin Deposits
Derivative assets:
Collateral placed with (received from) derivative counterparties					475	(11,095)
Interest rate lock commitments
Derivative assets:
Total derivative assets					369,455	138,511
Interest rate lock commitments \| Net gains on loans held for sale at fair value
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Gains (losses) recognized on derivative financial instruments	52,871	45,711	231,414	62,438
Forward contracts \| Purchases
Derivative Instruments
Notional amount	20,709,914		13,618,361		20,709,914	13,618,361
Derivative assets:
Derivative asset, before netting					93,136	12,364
Derivative liabilities:
Derivative liability, before netting					4,184	19,040
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Balance at beginning of period			13,618,361
Balance at end of period	20,709,914		20,709,914
Forward contracts \| Sales
Derivative Instruments
Notional amount	25,302,147		16,220,526		25,302,147	16,220,526
Derivative assets:
Derivative asset, before netting					5,271	17,097
Derivative liabilities:
Derivative liability, before netting					109,371	18,045
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Balance at beginning of period			16,220,526
Balance at end of period	25,302,147		25,302,147
MBS put options
Derivative Instruments
Notional amount	11,200,000		6,100,000		11,200,000	6,100,000
Derivative assets:
Derivative asset, before netting					8,543	3,415
Derivative liabilities:
Derivative liability, before netting					2
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Balance at beginning of period			6,100,000
Balance at end of period	11,200,000		11,200,000
Swaptions \| Purchases
Derivative Instruments
Notional amount	3,375,000		1,750,000		3,375,000	1,750,000
Derivative assets:
Derivative asset, before netting					5,318	2,409
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Balance at beginning of period			1,750,000
Balance at end of period	3,375,000		3,375,000
Put options on interest rate futures \| Purchases
Derivative Instruments
Notional amount	350,000		2,250,000		350,000	2,250,000
Derivative assets:
Derivative asset, before netting					273	3,945
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Balance at beginning of period			2,250,000
Balance at end of period	350,000		350,000
Call options on interest rate futures \| Purchases
Derivative Instruments
Notional amount	1,800,000		750,000		1,800,000	750,000
Derivative assets:
Derivative asset, before netting					3,438	1,469
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Balance at beginning of period			750,000
Balance at end of period	1,800,000		1,800,000
Treasury future \| Purchases
Derivative Instruments
Notional amount	925,000		1,276,000		925,000	1,276,000
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Balance at beginning of period			1,276,000
Balance at end of period	925,000		925,000
Treasury future \| Sales
Derivative Instruments
Notional amount	450,000		1,010,000		450,000	1,010,000
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Balance at beginning of period			1,010,000
Balance at end of period	450,000		450,000
Interest rate swap futures \| Purchases
Derivative Instruments
Notional amount	3,460,000		3,210,000		3,460,000	3,210,000
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Balance at beginning of period			3,210,000
Balance at end of period	3,460,000		3,460,000
Not designated as hedging instrument \| Repurchase agreement derivatives
Derivative assets:
Derivative asset, before netting					8,187	8,187
Not designated as hedging instrument \| Interest rate lock commitments
Derivative Instruments
Notional amount	12,245,054		7,122,316		12,245,054	7,122,316
Derivative assets:
Derivative asset, before netting					369,455	138,511
Derivative liabilities:
Derivative liability, before netting					1,391	1,861
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Balance at beginning of period			7,122,316
Balance at end of period	12,245,054		12,245,054
Not designated as hedging instrument \| Forward contracts \| Purchases
Derivative Instruments
Notional amount	20,709,914	19,497,698	13,618,361	19,497,698	20,709,914	13,618,361
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Balance at beginning of period	20,480,331	9,313,389	13,618,361	6,657,026
Additions	113,942,362	84,608,506	226,801,811	137,230,351
Dispositions/expirations	(113,712,779)	(74,424,197)	(219,710,258)	(124,389,679)
Balance at end of period	20,709,914	19,497,698	20,709,914	19,497,698
Not designated as hedging instrument \| Forward contracts \| Sales
Derivative Instruments
Notional amount	25,302,147	14,276,156	16,220,526	14,276,156	25,302,147	16,220,526
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Balance at beginning of period	20,196,818	7,583,005	16,220,526	6,890,046
Additions	138,886,096	93,901,535	269,322,327	153,575,022
Dispositions/expirations	(133,780,767)	(87,208,384)	(260,240,706)	(146,188,912)
Balance at end of period	25,302,147	14,276,156	25,302,147	14,276,156
Not designated as hedging instrument \| MBS put options
Derivative Instruments
Notional amount	11,200,000	12,775,000	6,100,000	12,775,000	11,200,000	6,100,000
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Balance at beginning of period	10,700,000	9,425,000	6,100,000	4,635,000
Additions	27,750,000	28,450,000	49,750,000	47,610,000
Dispositions/expirations	(27,250,000)	(25,100,000)	(44,650,000)	(39,470,000)
Balance at end of period	11,200,000	12,775,000	11,200,000	12,775,000
Not designated as hedging instrument \| MBS call options
Derivative Instruments
Notional amount		2,250,000		2,250,000
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Balance at beginning of period		3,350,000		1,450,000
Additions		2,250,000		6,750,000
Dispositions/expirations		(3,350,000)		(5,950,000)
Balance at end of period		2,250,000		2,250,000
Not designated as hedging instrument \| Swaptions \| Purchases
Derivative Instruments
Notional amount	3,375,000		1,750,000		3,375,000	1,750,000
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Balance at beginning of period	6,800,000		1,750,000
Additions	3,175,000		11,075,000
Dispositions/expirations	(6,600,000)		(9,450,000)
Balance at end of period	3,375,000		3,375,000
Not designated as hedging instrument \| Swaptions \| Sales
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Additions	6,600,000		9,450,000
Dispositions/expirations	(6,600,000)		(9,450,000)
Not designated as hedging instrument \| Put options on interest rate futures \| Purchases
Derivative Instruments
Notional amount	350,000	2,835,000	2,250,000	3,085,000	350,000	2,250,000
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Balance at beginning of period	4,925,000	3,350,000	2,250,000	3,085,000
Additions	1,100,000	2,897,500	8,700,000	9,572,500
Dispositions/expirations	(5,675,000)	(3,412,500)	(10,600,000)	(9,822,500)
Balance at end of period	350,000	2,835,000	350,000	2,835,000
Not designated as hedging instrument \| Put options on interest rate futures \| Sales
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Additions	5,675,000	8,827,500	10,600,000	18,962,800
Dispositions/expirations	(5,675,000)	(8,827,500)	(10,600,000)	(18,962,800)
Not designated as hedging instrument \| Call options on interest rate futures \| Purchases
Derivative Instruments
Notional amount	1,800,000	3,687,500	750,000	1,512,500	1,800,000	750,000
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Balance at beginning of period	1,925,000	2,250,000	750,000	1,512,500
Additions	5,000,000	6,915,000	8,540,000	11,377,800
Dispositions/expirations	(5,125,000)	(5,477,500)	(7,490,000)	(9,202,800)
Balance at end of period	1,800,000	3,687,500	1,800,000	3,687,500
Not designated as hedging instrument \| Call options on interest rate futures \| Sales
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Additions	5,125,000		7,490,000
Dispositions/expirations	(5,125,000)		(7,490,000)
Not designated as hedging instrument \| Treasury future \| Purchases
Derivative Instruments
Notional amount	925,000	486,100	1,276,000	835,000	925,000	1,276,000
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Balance at beginning of period	650,000	1,810,000	1,276,000	835,000
Additions	1,920,200	2,700,200	3,955,200	6,811,400
Dispositions/expirations	(1,645,200)	(4,024,100)	(4,306,200)	(7,160,300)
Balance at end of period	925,000	486,100	925,000	486,100
Not designated as hedging instrument \| Treasury future \| Sales
Derivative Instruments
Notional amount	450,000	1,550,000	1,010,000	1,550,000	450,000	1,010,000
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Balance at beginning of period	810,000	1,075,000	1,010,000	1,450,000
Additions	1,285,200	4,499,100	3,746,200	7,260,300
Dispositions/expirations	(1,645,200)	(4,024,100)	(4,306,200)	(7,160,300)
Balance at end of period	450,000	1,550,000	450,000	1,550,000
Not designated as hedging instrument \| Interest rate swap futures \| Purchases
Derivative Instruments
Notional amount	3,460,000	2,900,000	3,210,000	2,900,000	$ 3,460,000	$ 3,210,000
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Balance at beginning of period	2,560,000	1,025,000	3,210,000	625,000
Additions	1,725,000	1,875,000	2,950,000	2,275,000
Dispositions/expirations	(825,000)		(2,700,000)
Balance at end of period	3,460,000	$ 2,900,000	3,460,000	$ 2,900,000
Not designated as hedging instrument \| Interest rate swap futures \| Sales
Activity for derivative contracts used to hedge the IRLCs and inventory of mortgage loans at notional value
Additions	825,000		2,700,000
Dispositions/expirations	$ (825,000)		$ (2,700,000)

Derivative Financial Instrume_4

Derivative Financial Instruments - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Derivatives not subject to master netting arrangements
Gross amounts of recognized assets	$ 377,642	$ 146,698
Derivatives subject to master netting arrangements:
Gross amounts of recognized assets	115,979	40,699
Gross amounts offset in the consolidated balance sheet	(93,319)	(27,711)
Net amounts of assets presented in the consolidated balance sheet	22,660	12,988
Total
Gross amounts of recognized assets	493,621	187,397
Net amounts of assets presented in the balance sheet	400,302	159,686
Interest rate lock commitments
Derivatives not subject to master netting arrangements
Gross amounts of recognized assets	369,455	138,511
Total
Net amounts of assets presented in the balance sheet	369,455	138,511
Repurchase agreement derivatives
Derivatives not subject to master netting arrangements
Gross amounts of recognized assets	8,187	8,187
MBS put options
Derivatives subject to master netting arrangements:
Gross amounts of recognized assets	8,543	3,415
Net amounts of assets presented in the consolidated balance sheet	8,543	3,415
Total
Gross amounts of recognized assets	8,543	3,415
Swaptions
Derivatives subject to master netting arrangements:
Gross amounts of recognized assets	5,318	2,409
Net amounts of assets presented in the consolidated balance sheet	5,318	2,409
Swaptions \| Purchases
Total
Gross amounts of recognized assets	5,318	2,409
Forward contracts \| Purchases
Derivatives subject to master netting arrangements:
Gross amounts of recognized assets	93,136	12,364
Net amounts of assets presented in the consolidated balance sheet	93,136	12,364
Total
Gross amounts of recognized assets	93,136	12,364
Forward contracts \| Sales
Derivatives subject to master netting arrangements:
Gross amounts of recognized assets	5,271	17,097
Net amounts of assets presented in the consolidated balance sheet	5,271	17,097
Total
Gross amounts of recognized assets	5,271	17,097
Put options on interest rate futures \| Purchases
Derivatives subject to master netting arrangements:
Gross amounts of recognized assets	273	3,945
Net amounts of assets presented in the consolidated balance sheet	273	3,945
Total
Gross amounts of recognized assets	273	3,945
Call options on interest rate futures \| Purchases
Derivatives subject to master netting arrangements:
Gross amounts of recognized assets	3,438	1,469
Net amounts of assets presented in the consolidated balance sheet	3,438	1,469
Total
Gross amounts of recognized assets	$ 3,438	$ 1,469

Derivative Financial Instrume_5

Derivative Financial Instruments - Offsetting of Derivative Assets - Derivative Assets, Financial Assets, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Total
Net amounts of assets presented in the balance sheet	$ 400,302	$ 159,686
Net amount	400,302	159,686
JP Morgan
Total
Net amounts of assets presented in the balance sheet	3,462	2,196
Net amount	3,462	2,196
RJ O'Brien
Total
Net amounts of assets presented in the balance sheet	3,711	5,414
Net amount	3,711	5,414
Deutsche Bank AG
Total
Net amounts of assets presented in the balance sheet	8,187	9,138
Net amount	8,187	9,138
Wells Fargo Bank, N.A.
Total
Net amounts of assets presented in the balance sheet	9,482
Net amount	9,482
Mizuho Securities
Total
Net amounts of assets presented in the balance sheet		1,597
Net amount		1,597
Goldman Sachs
Total
Net amounts of assets presented in the balance sheet	2,094	2,548
Net amount	2,094	2,548
Nomura Securities International, Inc.
Total
Net amounts of assets presented in the balance sheet	1,482
Net amount	1,482
Other
Total
Net amounts of assets presented in the balance sheet	2,429	282
Net amount	2,429	282
Interest rate lock commitments
Total
Net amounts of assets presented in the balance sheet	369,455	138,511
Net amount	$ 369,455	$ 138,511

Derivative Financial Instrume_6

Derivative Financial Instruments - Offsetting of Derivative Assets - Offsetting of Derivative and Financial Liabilities (Details) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2020	Dec. 31, 2019
Derivatives: Subject to master netting arrangements:
Gross amounts of recognized liabilities	$ 113,557	$ 37,085
Netting	(93,794)	(16,616)
Net amounts of liabilities presented in the balance sheet	19,763	20,469
Total
Gross amounts of recognized liabilities	114,948	38,946
Net amounts of liabilities presented in the consolidated balance sheet	21,154	22,330
Mortgage loans sold under agreements to repurchase
Net amounts of liabilities presented in the consolidated balance sheet	3,769,495	4,141,680
Debt Issuance Costs
Debt issuance costs, gross	(10,180)	(627)
Debt issuance costs	(10,180)	(627)
Debt issuance costs	(10,180)	(627)
Gross amounts of recognized liabilities	3,759,315	4,141,053
Net amount of liabilities in the consolidated balance sheet	3,759,315	4,141,053
Total
Gross amounts of recognized liabilities	3,874,263	4,179,999
Gross amounts offset in the consolidated balance sheet	(93,794)	(16,616)
Net amounts of liabilities presented in the consolidated balance sheet	3,790,649	4,164,010
Net amount of liabilities in the consolidated balance sheet	21,154	22,330
Receivable from Counterparties
Total
Net amounts of liabilities presented in the consolidated balance sheet	3,780,469	4,163,383
Assets sold under agreements to repurchase
Mortgage loans sold under agreements to repurchase
Gross amounts of recognized liabilities	3,769,495	4,141,680
Net amounts of liabilities presented in the consolidated balance sheet	3,769,495	4,141,680
Forward contracts \| Purchases
Derivatives: Subject to master netting arrangements:
Gross amounts of recognized liabilities	4,184	19,040
Net amounts of liabilities presented in the balance sheet	4,184	19,040
Total
Gross amounts of recognized liabilities	4,184	19,040
Forward contracts \| Sales
Derivatives: Subject to master netting arrangements:
Gross amounts of recognized liabilities	109,371	18,045
Net amounts of liabilities presented in the balance sheet	109,371	18,045
Total
Gross amounts of recognized liabilities	109,371	18,045
Interest rate lock commitments
Derivatives not subject to master netting arrangements
Gross amounts of recognized liabilities	1,391	1,861
Total
Net amounts of liabilities presented in the consolidated balance sheet	1,391	1,861
Net amount of liabilities in the consolidated balance sheet	1,391	$ 1,861
MBS put options
Derivatives: Subject to master netting arrangements:
Gross amounts of recognized liabilities	2
Net amounts of liabilities presented in the balance sheet	2
Total
Gross amounts of recognized liabilities	$ 2

Derivative Financial Instrume_7

Derivative Financial Instruments - Offsetting of Derivative Assets - Derivative Liabilities, Financial Liabilities, and Collateral Held by Counterparty (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Derivative liabilities:
Net amounts of liabilities presented in the consolidated balance sheet	$ 3,790,649	$ 4,164,010
Financial instruments	(3,769,495)	(4,141,680)
Net amount of liabilities in the consolidated balance sheet	21,154	22,330
Credit Suisse First Boston Mortgage Capital LLC
Derivative liabilities:
Net amounts of liabilities presented in the consolidated balance sheet	1,690,452	1,235,430
Financial instruments	(1,685,301)	(1,235,430)
Net amount of liabilities in the consolidated balance sheet	5,151
Bank of America, N.A.
Derivative liabilities:
Net amounts of liabilities presented in the consolidated balance sheet	721,185	379,400
Financial instruments	(714,042)	(374,190)
Net amount of liabilities in the consolidated balance sheet	7,143	5,210
JP Morgan
Derivative liabilities:
Net amounts of liabilities presented in the consolidated balance sheet	108,195	936,172
Financial instruments	(108,195)	(936,172)
Morgan Stanley Bank
Derivative liabilities:
Net amounts of liabilities presented in the consolidated balance sheet	368,513	582,941
Financial instruments	(368,513)	(582,941)
BNP Paribas
Derivative liabilities:
Net amounts of liabilities presented in the consolidated balance sheet	193,740	183,880
Financial instruments	(193,740)	(183,880)
Royal Bank of Canada
Derivative liabilities:
Net amounts of liabilities presented in the consolidated balance sheet	360,389	175,897
Financial instruments	(360,389)	(175,897)
Citibank, N.A.
Derivative liabilities:
Net amounts of liabilities presented in the consolidated balance sheet	339,315	655,831
Financial instruments	(339,315)	(653,170)
Net amount of liabilities in the consolidated balance sheet		2,661
Wells Fargo Bank, N.A.
Derivative liabilities:
Net amounts of liabilities presented in the consolidated balance sheet		11,212
Net amount of liabilities in the consolidated balance sheet		11,212
Federal National Mortgage Association
Derivative liabilities:
Net amounts of liabilities presented in the consolidated balance sheet	6,183
Net amount of liabilities in the consolidated balance sheet	6,183
Other
Derivative liabilities:
Net amounts of liabilities presented in the consolidated balance sheet	1,286	1,386
Net amount of liabilities in the consolidated balance sheet	1,286	1,386
Interest rate lock commitments
Derivative liabilities:
Net amounts of liabilities presented in the consolidated balance sheet	1,391	1,861
Net amount of liabilities in the consolidated balance sheet	$ 1,391	$ 1,861

Mortgage Servicing Rights and_3

Mortgage Servicing Rights and Mortgage Servicing Liabilities - Activity in MSRs at Fair Value (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019
Change in fair value due to:
Total change in fair value	$ 205,789	$ 365,979	$ 1,241,002	$ 623,393
Mortgage servicing rights
Activity in MSRs carried at fair value
Balance at beginning of period	2,193,697	2,905,090	2,926,790	2,820,612
Additions - Resulting from loan sales	225,534	183,331	507,849	299,082
Additions - Purchases (purchase adjustments)		(373)	25,760	227,399
Additions	225,534	182,958	533,609	526,481
Change in fair value due to:
Changes in valuation inputs used in valuation model	(98,681)	(256,449)	(1,014,543)	(418,087)
Other changes in fair value	(107,011)	(111,264)	(232,317)	(208,671)
Total change in fair value	(205,692)	(367,713)	(1,246,860)	(626,758)
Balance at end of period	2,213,539	$ 2,720,335	2,213,539	$ 2,720,335
Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable secured by mortgage servicing assets	$ 2,209,928		$ 2,209,928		$ 2,920,603

Mortgage Servicing Rights and_4

Mortgage Servicing Rights and Mortgage Servicing Liabilities - Mortgage Servicing Liabilities Carried at FV (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Amortized cost:
Mortgage servicing liabilities resulting from loan sales			$ 6,576	$ 7,632
Mortgage servicing liabilities
Amortized cost:
Balance at beginning of period	$ 29,761	$ 7,844	29,140	8,681
Mortgage servicing liabilities resulting from loan sales		6,838	6,576	7,632
Changes in valuation inputs used in valuation model	9,673	2,756	14,105	6,057
Other changes in fair value	(9,576)	(4,490)	(19,963)	(9,422)
Total change in fair value	97	(1,734)	(5,858)	(3,365)
Balance at end of period	$ 29,858	$ 12,948	$ 29,858	$ 12,948

Mortgage Servicing Rights and_5

Mortgage Servicing Rights and Mortgage Servicing Liabilities - Servicing, Late, Ancillary and Other Fees Relating to MSRs (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Contractual servicing fees	$ 199,178	$ 180,753	$ 397,831	$ 347,543
Other fees:
Other	28,543	26,008	57,298	48,025
Mortgage servicing rights
Contractual servicing fees	199,178	180,753	397,831	347,543
Other fees:
Late charges	8,490	9,015	21,103	18,827
Other	5,971	2,612	10,821	4,273
Bank Servicing Fees	$ 213,639	$ 192,380	$ 429,755	$ 370,643

Leases (Details)

Leases (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
Leases (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019
Leases
Operating lease option to extend			true
Lease expenses:
Operating leases	$ 4,034	$ 3,232	$ 7,966	$ 6,461
Short-term leases	224	214	480	431
Sublease income		(27)		(59)
Total lease cost	4,258	3,419	8,446	6,833
Cash payments for operating leases	4,354	3,884	8,794	7,730
Upon adoption of ASU 2016-02				58,598
New leases	4,964	87	6,498	115
Right-of-use assets obtained in exchange for lease obligations	$ 4,964	$ 87	$ 6,498	$ 58,713
Remaining lease term (in year)	6 years 7 months 6 days	6 years 4 months 24 days	6 years 7 months 6 days	6 years 4 months 24 days
Discount rate (as a percent)	4.20%	4.60%	4.20%	4.60%
Operating lease liabilities
2021	$ 17,995		$ 17,995
2022	16,712		16,712
2023	16,221		16,221
2024	14,851		14,851
2025	12,925		12,925
Thereafter	30,363		30,363
Total lease payments	109,067		109,067
Less imputed interest	(15,462)		(15,462)
Total	$ 93,605		$ 93,605		$ 91,320
Minimum
Leases
Remaining operating lease term			1 year
Maximum
Leases
Remaining operating lease term			10 years
Operating lease renewal term	5 years		5 years

Other Assets (Details)

Other Assets (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Carrying value:
Margin deposits	$ 126,121	$ 84,118
Deposits	125,017
Capitalized software, net	90,250	63,130
Furniture, fixtures, equipment and building improvements, net	29,377	30,480
Real estate acquired in settlement of loans	19,554	20,326
Other	132,306	135,503
Other assets	522,625	333,557
Fair value of assets securing revolving line of credit:
Deposits	125,017
Capitalized software, net	9,730	12,192
Furniture, fixture, equipment and building improvements, net	6,670	20,406
Assets securing revolving line of credit	$ 141,417	$ 32,598

Borrowings - Assets Sold Under

Borrowings - Assets Sold Under Agreement to Repurchase (Details) - USD ($)	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Apr. 01, 2020	Dec. 31, 2019
During the period:
Total interest expense	$ 17,487,000	$ 19,645,000	$ 43,171,000	$ 28,280,000
Carrying value:
Unpaid principal balance	3,769,495,000		3,769,495,000			$ 4,141,680,000
Unamortized debt issuance costs and premiums	(10,180,000)		(10,180,000)			(627,000)
Unamortized debt issuance costs	(10,180,000)		(10,180,000)			(627,000)
Total loans sold under agreements to repurchase	$ 3,759,315,000		$ 3,759,315,000			$ 4,141,053,000
Weighted average interest rate (as a percent)	2.13%		2.13%			3.29%
Available borrowing capacity committed						$ 125,810,000
Available borrowing capacity uncommitted	$ 2,090,894,000		$ 2,090,894,000			782,510,000
Available borrowing capacity	2,090,894,000		2,090,894,000			908,320,000
Servicing advances	197,094,000		197,094,000			207,460,000
Margin deposits placed with counterparties	4,375,000		4,375,000			5,000,000
Loans held for sale
Carrying value:
Fair value of assets pledged to secure	4,315,116,000		4,315,116,000			4,322,789,000
Mortgage servicing rights
Carrying value:
Fair value of assets pledged to secure	2,188,921,000		2,188,921,000			2,902,721,000
Servicing advances
Carrying value:
Fair value of assets pledged to secure	197,094,000		197,094,000			207,460,000
Financing receivable
Carrying value:
Fair value of assets pledged to secure	90,101,000		90,101,000			$ 107,512,000
Deposits
Carrying value:
Fair value of assets pledged to secure	125,017,000		125,017,000
Note Payable
During the period:
Average balance of assets sold under agreements to repurchase	1,300,000,000	1,300,000,000	1,300,000,000	1,300,000,000
Carrying value:
Amortization of debt issuance costs	451,000	445,000	896,000	889,000
Assets sold under agreements to repurchase
During the period:
Average balance of assets sold under agreements to repurchase	$ 2,529,217,000	$ 1,988,920,000	$ 2,833,444,000	$ 1,715,846,000
Weighted-average interest rate (as a percent)	2.32%	4.35%	2.74%	4.40%
Total interest expense	$ 17,487,000	$ 19,645,000	$ 43,171,000	$ 28,280,000
Maximum daily amount outstanding	3,769,495,000	2,748,375,000	3,769,495,000	2,748,375,000
Carrying value:
Amortization of debt issuance costs	$ 2,800,000		$ 4,400,000
Amortization of premium		2,000,000		9,400,000
Amount of Master Repurchase Agreement incentives to refinance include in interest expense		$ 3,900,000		$ 13,200,000
PLS \| Credit Suisse First Boston Mortgage Capital LLC \| Note Payable
Mortgage loans sold under agreement to repurchase
Maximum loan amount					$ 600,000,000

Borrowings - Maturities of Outs

Borrowings - Maturities of Outstanding Advances Under Repurchase Agreements (Details) - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2020	Dec. 31, 2019
Mortgage loans sold under agreement to repurchase
Unpaid principal balance	$ 3,769,495	$ 4,141,680
Weighted-average maturity (in months)	1 month 12 days
Within 30 days
Mortgage loans sold under agreement to repurchase
Unpaid principal balance	$ 1,244,673
Over 30 to 90 days
Mortgage loans sold under agreement to repurchase
Unpaid principal balance	2,116,162
Over 90 to 180 days
Mortgage loans sold under agreement to repurchase
Unpaid principal balance	$ 408,660

Borrowings - Mortgage Loans Sol

Borrowings - Mortgage Loans Sold Under Agreement to Repurchase by Counterparty (Details) - Assets sold under agreements to repurchase $ in Thousands	Jun. 30, 2020USD ($)
Credit Suisse First Boston Mortgage Capital LLC Tranche Two
Mortgage loans sold under agreement to repurchase
Amount at risk	$ 1,032,963
Credit Suisse First Boston Mortgage Capital LLC Tranche One
Mortgage loans sold under agreement to repurchase
Amount at risk	352,900
Bank of America, N.A.
Mortgage loans sold under agreement to repurchase
Amount at risk	120,991
JP Morgan
Mortgage loans sold under agreement to repurchase
Amount at risk	9,812
Citibank, N.A.
Mortgage loans sold under agreement to repurchase
Amount at risk	27,323
Morgan Stanley Bank
Mortgage loans sold under agreement to repurchase
Amount at risk	34,949
BNP Paribas
Mortgage loans sold under agreement to repurchase
Amount at risk	14,888
Royal Bank of Canada
Mortgage loans sold under agreement to repurchase
Amount at risk	$ 35,008

Borrowings - Mortgage Loan Part

Borrowings - Mortgage Loan Participation and Sale Agreement (Details) - USD ($)	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019
During the period:
Total interest expense	$ 1,061,000	$ 2,419,000	$ 2,871,000	$ 4,730,000
Carrying value:
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates	$ 536,395,000		$ 536,395,000		$ 497,948,000
Weighted average interest rate (as a percent)	2.13%		2.13%		3.29%
Fair value of loans pledged to secure	$ 558,546,000		$ 558,546,000		$ 523,349,000
Mortgage Loan Participation and Sale Agreement member
During the period:
Average balance	$ 240,119,000	$ 251,997,000	$ 243,965,000	$ 244,374,000
Weighted-average interest rate (as a percent)	1.53%	3.63%	2.09%	3.65%
Total interest expense	$ 1,061,000	$ 2,419,000	$ 2,871,000	$ 4,730,000
Carrying value:
Unpaid principal balance of mortgage loan participation and sale agreement secured by mortgage loan participation certificates	536,395,000		536,395,000		497,948,000
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates	$ 536,395,000		$ 536,395,000		$ 497,948,000
Weighted average interest rate (as a percent)	1.43%		1.43%		3.05%
Fair value of loans pledged to secure	$ 558,546,000		$ 558,546,000		$ 523,349,000
Amortization of debt issuance costs	145,000	135,000	318,000	270,000
Maximum \| Mortgage Loan Participation and Sale Agreement member
Carrying value:
Mortgage loan participation and sale agreement secured by mortgage loan participation certificates	$ 540,977,000	$ 523,279,000	$ 540,977,000	$ 548,038,000

Borrowings - Obligations Under

Borrowings - Obligations Under Capital Lease (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019
Leases
Average balance	$ 17,272	$ 10,135	$ 18,367	$ 8,406
Weighted average interest rate	2.70%	4.39%	3.05%	4.39%
Total interest expense	$ 104	$ 136	$ 271	$ 202
Unpaid principal balance	$ 16,749		$ 16,749		$ 20,810
Weighted average interest rate	2.70%		2.70%		3.74%
Furniture, fixtures, equipment and building improvements pledged to creditors	$ 6,670		$ 6,670		$ 20,406
Capitalized software pledged to creditors	9,730		9,730		$ 12,192
Maximum
Leases
Maximum daily amount outstanding	$ 18,145	$ 28,295	$ 20,810	$ 28,295

Borrowings - Note Payable (Deta

Borrowings - Note Payable (Details) - USD ($)	3 Months Ended		6 Months Ended		12 Months Ended
Borrowings - Note Payable (Details) - USD ($)	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019	Nov. 01, 2018	Feb. 01, 2018
During the period:
Total interest expense	$ 11,581,000	$ 18,039,000	$ 26,930,000	$ 36,034,000
Carrying value:
Notes payable	1,294,949,000		1,294,949,000		$ 1,294,070,000
Unused amount	2,090,894,000		2,090,894,000		908,320,000
Notes payable
Maximum loan amount	1,300,000,000		1,300,000,000
Note Payable
During the period:
Average balance	$ 1,300,000,000	$ 1,300,000,000	$ 1,300,000,000	$ 1,300,000,000
Weighted-average interest rate (as a percent)	3.28%	5.27%	3.86%	5.26%
Total interest expense	$ 11,109,000	$ 17,564,000	$ 25,955,000	$ 35,074,000
Maximum daily amount outstanding	1,300,000,000	1,300,000,000	1,300,000,000	1,300,000,000
Carrying value:
Unpaid principal balance	1,300,000,000		1,300,000,000		1,300,000,000
Unamortized debt issuance costs	(5,051,000)		(5,051,000)		(5,930,000)
Notes payable	$ 1,294,949,000		$ 1,294,949,000		$ 1,294,070,000
Weighted-average interest rate (as a percent)	2.92%		2.92%		4.46%
Amortization of Financing Costs	$ 451,000	$ 445,000	$ 896,000	$ 889,000
Note Payable \| Revolving credit agreement
Short-term debt
Maximum loan amount						$ 150,000,000
Notes payable
Increase in loan amount			0		$ 0
Note Payable \| Credit Suisse AG
Short-term debt
Maximum loan amount							$ 400,000,000
Note Payable \| Mortgage servicing rights
Carrying value:
Assets pledged to secure	2,129,361,000		2,129,361,000		2,861,442,000
Notes payable
Increase in loan amount			0		0
Note Payable \| Servicing advances
Carrying value:
Assets pledged to secure	197,094,000		197,094,000		$ 207,460,000
Note Payable \| Deposits
Carrying value:
Assets pledged to secure	125,017,000		$ 125,017,000
Notes Payable Term Loan 2018-GT1
Notes payable
Debt instrument option to extend period			2 years
Notes Payable Term Loan 2018-GT1 \| LIBOR
Notes payable
Maximum loan amount	650,000,000		$ 650,000,000
Interest rate spread			2.85%
Notes Payable Term Loan 2018-GT2
Notes payable
Debt instrument option to extend period			2 years
Notes Payable Term Loan 2018-GT2 \| LIBOR
Notes payable
Maximum loan amount	$ 650,000,000		$ 650,000,000
Interest rate spread			2.65%

Borrowings - Corporate Revolvin

Borrowings - Corporate Revolving Line of Credit (Details) - Revolving credit agreement - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019
Short-term debt
Interest expense	$ 472	$ 475	$ 975	$ 960
Unused amount	150,000		150,000		$ 150,000
Cash pledged to secure corporate revolver	$ 896,058		$ 896,058		$ 52,599

Liability for Losses Under Re_3

Liability for Losses Under Representations and Warranties (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
During the year:
Balance at beginning of period	$ 23,202	$ 17,982	$ 21,446	$ 21,155
Provision for losses on loans sold resulting from sales of loans	4,189	1,647	7,901	2,714
Provision for losses on loans sold reduction in liability due to change in estimate	(1,270)	(920)	(2,946)	(5,130)
Losses incurred, net	(212)		(492)	(30)
Balance at end of period	25,909	18,709	25,909	18,709
Unpaid principal balance of loans subject to representations and warranties at end of year	$ 192,064,630	$ 127,670,206	$ 192,064,630	$ 127,670,206

Income Taxes - General (Details

Income Taxes - General (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
Income Taxes - General (Details) - USD ($) $ in Millions	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Reconciliation of the entity's provision for income taxes at statutory rates to the provision for income taxes at the entity's effective tax rate
Effective tax rate (as a percent)	26.60%	27.00%	26.40%	25.70%
Increase in permanent differences			$ 0.5
Pretax income/(loss)			$ 735.2

Commitments and Contingencies -

Commitments and Contingencies - Other (Details) - USD ($) $ in Billions	Oct. 24, 2018	Jun. 30, 2020
Contingencies
Total commitments to purchase and fund mortgage loans		$ 12.2
Garfield Action \| Settled Litigation
Contingencies
Percent of shareholder approval for reorganization of the company (as a percent)	99.80%

Stockholders' Equity (Details)

Stockholders' Equity (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended		6 Months Ended		37 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2017
Stockholders' Equity
Cost of shares of common stock repurchased	$ 237,162	$ 1,056	$ 241,283	$ 1,056
Common Stock
Stockholders' Equity
Authorized stock repurchase shares	6,975,323		6,975,323		6,975,323
Share Price	$ 34		$ 34		$ 34
Authorized stock repurchase amount	$ 500,000		$ 500,000		$ 500,000	$ 50,000
Shares of common stock repurchased	6,975,000	51,000	7,213,000	51,000	8,029,000
Cost of shares of common stock repurchased	$ 237,162	$ 1,056	$ 241,283	$ 1,056	$ 256,231

Net Gains on Loans Held for S_3

Net Gains on Loans Held for Sale (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Cash loss:
Loans	$ 502,416	$ (13,579)	$ 614,173	$ (54,821)
Hedging activities	(227,013)	(73,145)	(349,679)	(82,072)
Cash gain (loss), net of effects of cash hedging, on sale of loans held for sale	275,403	(86,724)	264,494	(136,893)
Non-cash gain:
Mortgage servicing rights and mortgage servicing liabilities resulting from loan sales	225,534	176,493	501,273	291,450
Provision for losses relating to representations and warranties on loans sold pursuant to loan sales	(4,189)	(1,647)	(7,901)	(2,714)
Provision for losses relating to representations and warranties on loans sold reduction in liability due to change in estimate	1,270	920	2,946	5,130
Change in fair value of loans and derivatives held at period end:
Interest rate lock commitments	52,871	45,711	231,414	62,438
Loans	10,978	(29,522)	(61,102)	(29,686)
Hedging derivatives	125,898	5,991	23,007	(19,750)
From non-affiliates	687,765	111,222	954,131	169,975
Recapture payable to PennyMac Mortgage Investment Trust	(5,592)	36,311	72,324	62,334
Net gains on loans held for sale at fair value	$ 682,173	$ 147,533	$ 1,026,455	$ 232,309

Net Interest Income (Details)

Net Interest Income (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
Net Interest Income (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Interest income:
Cash and short-term investments	$ 1,893	$ 2,706	$ 3,604	$ 4,639
Loans held for sale at fair value	32,586	34,366	79,012	65,709
Placement fees relating to custodial funds	12,047	32,136	35,256	55,397
Interest income, excluding related parties	46,526	69,208	117,872	125,745
Interest income	47,318	70,900	119,882	129,233
Interest expense:
Assets sold under agreements to repurchase	17,487	19,645	43,171	28,280
Mortgage loan participation purchase and sale agreements	1,061	2,419	2,871	4,730
Obligations under capital lease	104	136	271	202
Notes payable	11,581	18,039	26,930	36,034
Interest shortfall on repayments of mortgage loans serviced for Agency securitizations	18,954	8,214	33,825	12,525
Interest on mortgage loan impound deposits	1,648	1,704	3,305	2,863
Interest expense, non-affiliates	50,835	50,157	110,373	84,634
Interest expense	53,207	52,924	114,719	90,467
Net interest (expense) income	(5,889)	17,976	5,163	38,766
PMT
Interest income:
From PennyMac Mortgage Investment Trust	792	1,692	2,010	3,488
Interest expense:
To PennyMac Mortgage Investment Trust Excess servicing spread financing at fair value	2,372	2,767	4,346	5,833
Assets sold under agreements to repurchase
Interest expense:
Assets sold under agreements to repurchase	$ 17,487	19,645	$ 43,171	28,280
Incentives recorded		$ 3,900		$ 13,200

Stock-based Compensation - Othe

Stock-based Compensation - Other (Details) shares in Thousands, $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020USD ($)itemshares	Jun. 30, 2019USD ($)shares	Jun. 30, 2020USD ($)itemshares	Jun. 30, 2019USD ($)shares
Stock-Based Compensation
Number of stock based compensation plans \| item	1		1
Grant date fair value \| $	$ 150		$ 28,381	$ 25,763
Stock-based compensation expense \| $	$ 6,757	$ 5,652	$ 19,125	$ 10,183
Stock Options
Stock-Based Compensation
Granted (in units)			273	344
Grant date fair value \| $			$ 2,770	$ 2,965
Exercised (in units)	144	29	324	118
Performance-based RSUs
Stock-Based Compensation
Granted (in units)			422	665
Grant date fair value \| $			$ 14,788	$ 15,253
Vested (in units)			603	648
Time-based RSUs
Stock-Based Compensation
Granted (in units)	5		310	330
Grant date fair value \| $	$ 150		$ 10,823	$ 7,545
Vested (in units)			348	291

Earnings Per Share of Common _3

Earnings Per Share of Common Stock (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Basic earnings per share of common stock:
Net income attributable to common stockholders	$ 352,677	$ 72,696	$ 658,920	$ 118,831
Weighted-average common stock outstanding (in shares)	77,790	78,335	78,240	77,996
Basic earnings per share of common stock (in dollars per share)	$ 4.53	$ 0.93	$ 8.42	$ 1.52
Diluted earnings per share of common stock:
Net income attributable to common stockholders	$ 352,677	$ 72,696	$ 658,920	$ 118,831
Weighted-average common stock outstanding applicable to basic earnings per share (in shares)	77,790	78,335	78,240	77,996
Effect of dilutive shares:
Common shares issuable under stock-based compensation plans (in shares)	2,634	983	3,001	1,305
Weighted-average shares of common stock applicable to diluted earnings per share (in shares)	80,424	79,318	81,241	79,301
Diluted earnings per share of common stock (in dollars per share)	$ 4.39	$ 0.92	$ 8.11	$ 1.50
Total anti-dilutive shares and units (in shares)	774	2,793	591	2,393
Performance-based RSUs
Effect of dilutive shares:
Total anti-dilutive shares and units (in shares)	422	1,811	292	1,547
Time-based RSUs
Effect of dilutive shares:
Total anti-dilutive shares and units (in shares)	79		110	1
Stock Options
Effect of dilutive shares:
Total anti-dilutive shares and units (in shares)	273	982	189	845
Weighted-average exercise price of anti-dilutive stock options (in dollars per share)	$ 35.03	$ 18.34	$ 35.03	$ 18.34

Supplemental Cash Flow Inform_3

Supplemental Cash Flow Information (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Cash paid for interest			$ 127,806	$ 73,905
Cash paid (refunds received) for income taxes, net			3,871	261
Non-cash investing activity:
Mortgage servicing rights resulting from loan sales			507,849	299,082
Mortgage servicing liabilities resulting from loan sales			6,576	7,632
Unsettled portion of MSR acquisitions			1,053	9,457
Operating right-of-use assets recognized	$ 4,964	$ 87	6,498	58,713
Non-cash financing activity:
Issuance of Excess servicing spread payable to PennyMac Mortgage Investment Trust pursuant to a recapture agreement			862	950
Issuance of common stock in settlement of director fees	$ 48	$ 50	$ 96	$ 136

Regulatory Capital and Liquid_3

Regulatory Capital and Liquidity Requirements (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Jan. 31, 2020	Jun. 30, 2020	Dec. 31, 2015	Dec. 31, 2019
Fannie Mae / Freddie Mac - PLS
Regulatory Net Worth and Agency Capital Requirements
Net worth	$ 3,116,330		$ 3,116,330		$ 2,247,751
Capital Requirement	604,026		604,026		585,674
Liquidity	900,628		900,628		257,794
Liquidity requirement	$ 82,578		$ 82,578		$ 79,991
Tangible net worth / Total assets ratio actual	14.00%		14.00%		22.00%
Tangible net worth / Total assets ratio requirement	6.00%		6.00%		6.00%
Ginnie Mae - PLS
Regulatory Net Worth and Agency Capital Requirements
Net worth	$ 2,644,288		$ 2,644,288		$ 1,907,398
FHFA net worth requirement spread		0.35%
FHFA liquidity spread of UPB serviced		0.10%
Capital Requirement	966,795		966,795		910,456
Liquidity	900,628		900,628		257,794
Liquidity requirement	$ 220,894		$ 220,894		$ 216,119
Adjusted net worth / Total assets ratio actual	11.00%		11.00%		19.00%
Adjusted net worth / Total assets ratio requirement	6.00%		6.00%		6.00%
Ginnie Mae - PennyMac \| 1-4 unit servicing portfolio
Regulatory Net Worth and Agency Capital Requirements
Net worth	$ 2,500		$ 2,500
FHFA net worth requirement spread			0.35%
FHFA liquidity spread of UPB serviced			0.10%
Liquidity requirement	1,000		$ 1,000
HUD - PLS
Regulatory Net Worth and Agency Capital Requirements
Net worth	2,644,288		2,644,288		$ 1,907,398
Capital Requirement	$ 2,500		$ 2,500		$ 2,500
Federal Housing Finance Agency
Regulatory Net Worth and Agency Capital Requirements
Net worth		$ 2,500		$ 2,500
FHFA liquidity spread of UPB serviced	0.035%			0.035%
FHFA additional liquidity spread of UPB in excess of set percent	2.00%	3.00%		2.00%
FHFA additional liquidity spread of UPB excluded	70.00%
Federal Housing Finance Agency \| 1-4 unit servicing portfolio
Regulatory Net Worth and Agency Capital Requirements
FHFA net worth requirement spread		0.25%		0.25%

Segments (Details)

Segments (Details) $ in Thousands	3 Months Ended		6 Months Ended
Segments (Details) $ in Thousands	Jun. 30, 2020USD ($)	Jun. 30, 2019USD ($)	Jun. 30, 2020USD ($)segment	Jun. 30, 2019USD ($)	Dec. 31, 2019USD ($)
Segments and Related Information
Number of segments \| segment			3
Revenues:
Net gains on loans held for sale at fair value	$ 682,173	$ 147,533	$ 1,026,455	$ 232,309
Loan origination fees	58,948	36,924	116,519	60,854
Fulfillment fees from PennyMac Mortgage Investment Trust			94,755	57,164
Net loan servicing fees	22,337	59,134	280,145	139,705
Net interest income (expense):
Interest income	47,318	70,900	119,882	129,233
Interest expense, before non-segment activities	53,207	52,924	114,719	90,467
Net interest expense, before non-segment activities	(5,889)	17,976	5,163	38,766
Management fees	8,288	8,832	17,343	16,080
Other	2,962	2,988	3,079	5,804
Total net revenues, before non-segment activities	821,634	302,977	1,543,459	550,682
Expenses	341,272	203,387	648,367	390,801
Income before provision for income taxes	480,362	99,590	895,092	159,881
Assets:
Segment assets at period end	23,226,475	8,398,376	23,226,475	8,398,376	$ 10,204,017
PMT
Revenues:
Fulfillment fees from PennyMac Mortgage Investment Trust	52,815	29,590	94,755	57,164
Net interest income (expense):
Management fees	8,288	8,832	$ 17,343	16,080
Mortgage banking
Segments and Related Information
Number of segments \| segment			2
Operating segment
Assets:
Segment assets at period end	23,226,475	8,398,376	$ 23,226,475	8,398,376
Operating segment \| Investment management
Net interest income (expense):
Interest expense, before non-segment activities	5	11	14	18
Net interest expense, before non-segment activities	(5)	(11)	(14)	(18)
Management fees	8,288	8,832	17,343	16,080
Other	2,250	1,539	3,057	3,102
Total net revenues, before non-segment activities	10,533	10,360	20,386	19,164
Expenses	5,822	6,341	11,918	13,023
Income before provision for income taxes	4,711	4,019	8,468	6,141
Assets:
Segment assets at period end	18,210	18,333	18,210	18,333
Operating segment \| Mortgage banking
Revenues:
Net gains on loans held for sale at fair value	682,173	147,533	1,026,455	232,309
Loan origination fees	58,948	36,924	116,519	60,854
Fulfillment fees from PennyMac Mortgage Investment Trust			94,755	57,164
Net loan servicing fees	22,337	59,134	280,145	139,705
Net interest income (expense):
Interest income	47,318	70,900	119,882	129,233
Interest expense, before non-segment activities	53,202	52,913	114,705	90,449
Net interest expense, before non-segment activities	(5,884)	17,987	5,177	38,784
Other	712	1,449	22	2,702
Total net revenues, before non-segment activities	811,101	292,617	1,523,073	531,518
Expenses	335,450	197,046	636,449	377,778
Income before provision for income taxes	475,651	95,571	886,624	153,740
Assets:
Segment assets at period end	23,208,265	8,380,043	23,208,265	8,380,043
Operating segment \| Mortgage banking \| PMT
Revenues:
Fulfillment fees from PennyMac Mortgage Investment Trust	52,815	29,590
Operating segment \| Mortgage banking Production
Revenues:
Net gains on loans held for sale at fair value	619,728	124,860	936,363	191,581
Loan origination fees	58,948	36,924	116,519	60,854
Fulfillment fees from PennyMac Mortgage Investment Trust			94,755	57,164
Net interest income (expense):
Interest income	19,205	18,900	45,790	33,269
Interest expense, before non-segment activities	12,642	13,898	32,799	17,813
Net interest expense, before non-segment activities	6,563	5,002	12,991	15,456
Other	361	117	351	605
Total net revenues, before non-segment activities	738,415	196,493	1,160,979	325,660
Expenses	200,352	98,249	382,785	180,410
Income before provision for income taxes	538,063	98,244	778,194	145,250
Assets:
Segment assets at period end	5,419,219	3,556,575	5,419,219	3,556,575
Operating segment \| Mortgage banking Production \| PMT
Revenues:
Fulfillment fees from PennyMac Mortgage Investment Trust	52,815	29,590
Operating segment \| Mortgage banking Servicing
Revenues:
Net gains on loans held for sale at fair value	62,445	22,673	90,092	40,728
Net loan servicing fees	22,337	59,134	280,145	139,705
Net interest income (expense):
Interest income	28,113	52,000	74,092	95,964
Interest expense, before non-segment activities	40,560	39,015	81,906	72,636
Net interest expense, before non-segment activities	(12,447)	12,985	(7,814)	23,328
Other	351	1,332	(329)	2,097
Total net revenues, before non-segment activities	72,686	96,124	362,094	205,858
Expenses	135,098	98,797	253,664	197,368
Income before provision for income taxes	(62,412)	(2,673)	108,430	8,490
Assets:
Segment assets at period end	$ 17,789,046	$ 4,823,468	$ 17,789,046	$ 4,823,468

Subsequent Events (Details)

Subsequent Events (Details)	Aug. 06, 2020$ / shares
Subsequent Event
Subsequent Event
Dividends declared (in dollars per share)	$ 0.15