XML 89 R69.htm IDEA: XBRL DOCUMENT v3.10.0.1
Fair Value - Financial Statement Items Measured at Fair Value on a Recurring Basis (Details) - USD ($)
$ in Thousands
12 Months Ended
Dec. 31, 2017
Sep. 30, 2018
Fair value    
Interest rate threshold used in determination of accounting for loans underlying mortgage servicing rights (as a percent) 4.50%  
Assets:    
Short-term investments at fair value $ 170,080 $ 145,476
Mortgage loans held for sale at fair value 3,099,103 2,416,955
Derivative assets:    
Derivative asset, before netting 85,046 92,814
Netting (6,867) (19,196)
Total derivative assets 78,179 73,618
Mortgage servicing rights at fair value 638,010 2,785,964
Derivative liabilities:    
Derivative liability, before netting 10,043 36,261
Netting (4,247) (23,568)
Net amounts of liabilities presented in the consolidated balance sheet 5,796 12,693
Mortgage servicing liabilities 14,120 9,769
PMT    
Derivative assets:    
Investment in PennyMac Mortgage Investment Trust 1,205 1,518
Interest rate lock commitments    
Derivative assets:    
Total derivative assets 60,012 41,075
Forward contracts | Purchases    
Derivative assets:    
Derivative asset, before netting 4,288 821
Derivative liabilities:    
Derivative liability, before netting 1,272 29,569
Forward contracts | Sales    
Derivative assets:    
Derivative asset, before netting 2,101 16,892
Derivative liabilities:    
Derivative liability, before netting 7,031 2,780
MBS put options    
Derivative assets:    
Derivative asset, before netting 3,481 4,413
MBS call options    
Derivative assets:    
Derivative asset, before netting   12
Call options on interest rate futures | Purchases    
Derivative assets:    
Derivative asset, before netting 938 63
Put options on interest rate futures | Purchases    
Derivative assets:    
Derivative asset, before netting 3,570 3,063
Recurring basis    
Assets:    
Short-term investments at fair value 170,080 145,476
Mortgage loans held for sale at fair value 3,099,103 2,416,955
Derivative assets:    
Derivative asset, before netting 85,046 92,814
Netting (6,867) (19,196)
Total derivative assets 78,179 73,618
Mortgage servicing rights at fair value 638,010 2,785,964
Total assets 3,986,577 5,423,531
Derivative liabilities:    
Derivative liability, before netting 10,043 36,261
Netting (4,247) (23,568)
Net amounts of liabilities presented in the consolidated balance sheet 5,796 12,693
Mortgage servicing liabilities 14,120 9,769
Total liabilities 256,450 245,737
Recurring basis | PMT    
Derivative assets:    
Investment in PennyMac Mortgage Investment Trust 1,205 1,518
Derivative liabilities:    
Excess servicing spread financing at fair value to affiliate 236,534 223,275
Recurring basis | Interest rate lock commitments    
Derivative assets:    
Derivative asset, before netting 60,012 41,075
Derivative liabilities:    
Derivative liability, before netting 1,740 3,912
Recurring basis | Repurchase agreement derivatives    
Derivative assets:    
Derivative asset, before netting 10,656 26,475
Recurring basis | Forward contracts | Purchases    
Derivative assets:    
Derivative asset, before netting 4,288 821
Derivative liabilities:    
Derivative liability, before netting 1,272 29,569
Recurring basis | Forward contracts | Sales    
Derivative assets:    
Derivative asset, before netting 2,101 16,892
Derivative liabilities:    
Derivative liability, before netting 7,031 2,780
Recurring basis | MBS put options    
Derivative assets:    
Derivative asset, before netting 3,481 4,413
Recurring basis | MBS call options    
Derivative assets:    
Derivative asset, before netting   12
Recurring basis | Call options on interest rate futures | Purchases    
Derivative assets:    
Derivative asset, before netting 938 63
Recurring basis | Put options on interest rate futures | Purchases    
Derivative assets:    
Derivative asset, before netting 3,570 3,063
Recurring basis | Level 1    
Assets:    
Short-term investments at fair value 170,080 145,476
Derivative assets:    
Derivative asset, before netting 4,508 3,126
Total derivative assets 4,508 3,126
Total assets 175,793 150,120
Recurring basis | Level 1 | PMT    
Derivative assets:    
Investment in PennyMac Mortgage Investment Trust 1,205 1,518
Recurring basis | Level 1 | Call options on interest rate futures | Purchases    
Derivative assets:    
Derivative asset, before netting 938 63
Recurring basis | Level 1 | Put options on interest rate futures | Purchases    
Derivative assets:    
Derivative asset, before netting 3,570 3,063
Recurring basis | Level 2    
Assets:    
Mortgage loans held for sale at fair value 2,316,892 2,051,652
Derivative assets:    
Derivative asset, before netting 9,870 22,138
Total derivative assets 9,870 22,138
Total assets 2,326,762 2,073,790
Derivative liabilities:    
Derivative liability, before netting 8,303 32,349
Net amounts of liabilities presented in the consolidated balance sheet 8,303 32,349
Total liabilities 8,303 32,349
Recurring basis | Level 2 | Forward contracts | Purchases    
Derivative assets:    
Derivative asset, before netting 4,288 821
Derivative liabilities:    
Derivative liability, before netting 1,272 29,569
Recurring basis | Level 2 | Forward contracts | Sales    
Derivative assets:    
Derivative asset, before netting 2,101 16,892
Derivative liabilities:    
Derivative liability, before netting 7,031 2,780
Recurring basis | Level 2 | MBS put options    
Derivative assets:    
Derivative asset, before netting 3,481 4,413
Recurring basis | Level 2 | MBS call options    
Derivative assets:    
Derivative asset, before netting   12
Recurring basis | Level 3    
Assets:    
Mortgage loans held for sale at fair value 782,211 365,303
Derivative assets:    
Derivative asset, before netting 70,668 67,550
Total derivative assets 70,668 67,550
Mortgage servicing rights at fair value 638,010 2,785,964
Total assets 1,490,889 3,218,817
Derivative liabilities:    
Derivative liability, before netting 1,740 3,912
Net amounts of liabilities presented in the consolidated balance sheet 1,740 3,912
Mortgage servicing liabilities 14,120 9,769
Total liabilities 252,394 236,956
Recurring basis | Level 3 | PMT    
Derivative liabilities:    
Excess servicing spread financing at fair value to affiliate 236,534 223,275
Recurring basis | Level 3 | Interest rate lock commitments    
Derivative assets:    
Derivative asset, before netting 60,012 41,075
Derivative liabilities:    
Derivative liability, before netting 1,740 3,912
Recurring basis | Level 3 | Repurchase agreement derivatives    
Derivative assets:    
Derivative asset, before netting $ 10,656 $ 26,475