Note 6—Loan Sales and Variable Interest Entities

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

Unconsolidated VIEs with Continuing Involvement

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

	Year ended December 31,
	2016		2015		2014
	(in thousands)
Cash flows:
Proceeds from sales	$	23,525,952	$	14,206,816	$	11,703,015
Mortgage loan servicing fees received (1)	$	125,961	$	97,633	$	70,294

(1)	Net of guarantee fees.

	December 31,
	2016		2015
	(in thousands)
UPB of mortgage loans outstanding	$	56,303,664	$	42,300,338
Delinquent mortgage loans:
30-89 days delinquent	$	262,467	$	175,599
90 or more days delinquent:
Not in foreclosure or bankruptcy	$	53,200	$	38,669
In foreclosure or bankruptcy	$	61,537	$	31,386

Consolidated VIEs

Credit Risk Transfer Agreements

Following is a summary of the CRT Agreements:

	Year ended December 31,
	2016			2015
	(in thousands)
During the year:
UPB of mortgage loans sold under CRT Agreements	$	11,190,933		$	4,602,507
Deposits of cash securing CRT Agreements	$	306,507		$	147,446
Interest earned on Deposits securing CRT Agreements	$	930		$	—
Gains recognized on CRT Agreements included in Net gain (loss) on investments
Realized	$	21,298		$	1,831
Resulting from valuation changes		15,316			(1,238	)
		36,614			593
Change in fair value of interest-only security payable at fair value		(4,114	)		—
	$	32,500		$	593
Payments made to settle losses	$	90		$	—

	December 31, 2016		December 31, 2015
	(in thousands)
UPB of mortgage loans subject to credit guarantee obligations	$	14,379,850	$	4,546,265
Delinquency status (in UPB):
Current—89 days delinquent	$	14,372,247	$	4,546,265
90 or more days delinquent	$	5,711	$	—
Foreclosure	$	1,892	$	—
Carrying value of CRT Agreements:
Derivative assets	$	15,610	$	593
Deposits securing credit risk transfer agreements	$	450,059	$	147,000
Interest-only security payable at fair value	$	4,114	$	—
Commitments to fund Deposits securing credit risk transfer agreements	$	92,109	$	—

Jumbo Mortgage Loan Financing

On September 30, 2013, the Company completed a securitization transaction in which PMT Loan Trust 2013-J1, a VIE, issued $537.0 million in UPB of certificates backed by fixed-rate prime jumbo mortgage loans, at a 3.9% weighted yield. The Company initially retained $366.8 million in fair value of such certificates. During the years ended December 31, 2015 and December 31, 2016, the Company sold $111.0 million and $208.8 million in UPB of those certificates, respectively, which reduced the fair value of the certificates retained by the Company to $8.9 million as of December 31, 2016.